Measuring Beliefs Under Ambiguity

Mohammed Abdellaoui, Han Bleichrodt, Emmanuel Kemel () and Olivier l’Haridon ()
Additional contact information
Emmanuel Kemel: Department of Economics and Decision Sciences, GREGHEC-CNRS, HEC-Paris, 78350 Jouy-en-Josas, France;
Olivier l’Haridon: Univ Rennes, CNRS, CREM UMR 6211, F-35000 Rennes, France
Authors registered in the RePEc Author Service: Olivier L'Haridon

Operations Research, 2021, vol. 69, issue 2, 599-612

Abstract: This paper presents a simple method to measure the beliefs of a decision-maker with nonneutral ambiguity attitudes. Our method requires three simple choices, is incentive compatible, and allows for risk aversion and deviations from expected utility, including probability weighting and ambiguity aversion. An experiment using two natural sources of uncertainty (the temperature in Rotterdam and in New York City) shows that the model’s estimated beliefs are well calibrated, sensitive to the source of uncertainty, and similar to beliefs estimated by more sophisticated but time-consuming methods.

Keywords: belief measurement; ambiguity (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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https://doi.org/10.1287/opre.2020.1980 (application/pdf)

Related works:
Working Paper: Measuring Beliefs Under Ambiguity (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:69:y:2021:i:2:p:599-612

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