Comment on “A theoretical foundation of ambiguity measurement” [J. Econ. Theory 187 (2020) 105001]

Ruonan Fu, Bertrand Melenberg and Nikolaus Schweizer

Journal of Economic Theory, 2023, vol. 207, issue C

Abstract: In this paper, we study asymptotic expansions for distorted probabilities under ambiguity, revisiting the framework and analysis of Izhakian (2020b). We argue that the first order terms in these expansions need to be corrected and provide alternatives. We also revisit later results in this paper on the separation of ambiguity and ambiguity attitudes. We argue that a crucial lemma is flawed implying that Izhakian's ambiguity measure ℧2 is not an equivalent way of representing the preferences it is supposed to represent.

Keywords: Ambiguity; Model uncertainty; Probability weighting (search for similar items in EconPapers)
JEL-codes: D81 D84 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:207:y:2023:i:c:s0022053122001636

DOI: 10.1016/j.jet.2022.105573

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