Ambiguity and Second-Order Belief

Kyoungwon Seo

Econometrica, 2009, vol. 77, issue 5, pages 1575-1605

Abstract: Anscombe and Aumann (1963) wrote a classic characterization of subjective expected utility theory. This paper employs the same domain for preference and a closely related (but weaker) set of axioms to characterize preferences that use second-order beliefs (beliefs over probability measures). Such preferences are of interest because they accommodate Ellsberg-type behavior. Copyright 2009 The Econometric Society.

Date: 2009

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