On the Smooth Ambiguity Model: A Reply

Sujoy Mukerji, Peter Klibanoff and Massimo Marinacci

No 449, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: Epstein (2009) describes three Ellsberg-style thought experiments and argues that they pose difficulties for the smooth ambiguity model of decision making under uncertainty developed by Klibanoff, Marinacci and Mukerji (2005). We revisit these thought exeperiments and find, to the contrary, that they either point to strengths of the smooth ambiguity model compared to other models, such as the maximum expected utility model (Gilboa and Schmeidler, 1989), or, in the case of one thought experiment, raise criticisms that apply equally to a broad range of current ambiguity models.

Keywords: Ambiguity; Uncertainty; Knightian uncertainy; Ambiguity aversion; Uncertainty aversion; Ellsberg paradox; Ambiguity attitude (search for similar items in EconPapers)
JEL-codes: D80 D81 (search for similar items in EconPapers)
Date: 2009-09-01
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On the Smooth Ambiguity Model: A Reply (2012)
Working Paper: On the Smooth Ambiguity Model: A Reply (2011)
Working Paper: On the Smooth Ambiguity Model: A Reply (2009)
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