Abstract
This paper studies how updating affects ambiguity attitude. In particular we focus on generalized Bayesian updating of the Jaffray-Philippe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity attitude to be the same before and after updating. A necessary and sufficient condition for ambiguity attitude to be unchanged when updated on an arbitrary event is for the capacity to be neo-additive. We find a condition for updating on a given partition to preserve ambiguity attitude. We relate this to necessary and sufficient conditions for dynamic consistency. Finally, we study whether ambiguity increases or decreases after updating.
Original language | English |
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Pages (from-to) | 239-263 |
Number of pages | 25 |
Journal | Journal of Risk and Uncertainty |
Volume | 45 |
Issue number | 3 |
DOIs | |
Publication status | Published - Dec 2012 |
Externally published | Yes |