A lot of ambiguity

Zvi Safra and Uzi Segal

Journal of Economic Theory, 2022, vol. 200, issue C

Abstract: We consider a risk averse decision maker who dislikes ambiguity as in the Ellsberg urns. We analyze attitudes to ambiguity when the decision maker is exposed to unrelated sequences of ambiguous situations. We discuss the Choquet expected utility, the smooth, and the maxmin models. Our main results offer conditions under which ambiguity aversion disappears even without learning and conditions under which it does not. An appendix analyzes compound gambles within the expected utility model and demonstrates how to rank them.

Keywords: Ellsberg urns; Repeated ambiguity; Compound gambles; Choquet expected utility; Maxmin; The smooth model (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:200:y:2022:i:c:s0022053121002106

DOI: 10.1016/j.jet.2021.105393

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