Updating Under Imprecise Information

Yi-Hsuan Lin and Fernando Payró Chew

No 1424, Working Papers from Barcelona School of Economics

Abstract: This paper models an agent that ranks actions with uncertain payoffs after observing a signal that could have been generated by multiple objective information structures. Under the assumption that the agent's preferences conform to the multiple priors model (Gilboa and Schmeidler (1989)), we show that a simple behavioral axiom characterizes a generalization of Bayesian Updating. Our axiom requires that whenever all possible sources of information agree that it is more 'likely' for an action with uncertain payoffs to be better than one with certain payoffs, the agent prefers the former. We also provide axiomatizations for several special cases. Finally, we consider the situation where the informational content of a signal is purely subjective. We characterize the existence of a subjective set of information structures under full Bayesian updating for two extreme cases: (i) No ex-ante state ambiguity, and (ii) No signal ambiguity.

Keywords: ambiguity; updating; Â imprecise information; MaxMin (search for similar items in EconPapers)
JEL-codes: D11 (search for similar items in EconPapers)
Date: 2024-02
New Economics Papers: this item is included in nep-cta, nep-mic and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bw.bse.eu/wp-content/uploads/2024/02/1424-file.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:1424

Access Statistics for this paper

More papers in Working Papers from Barcelona School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Bruno Guallar ().