When is ambiguity–attitude constant?

Jürgen Eichberger, Simon Grant and David Kelsey

Journal of Risk and Uncertainty, 2012, vol. 45, issue 3, 239-263

Abstract: This paper studies how updating affects ambiguity attitude. In particular we focus on generalized Bayesian updating of the Jaffray–Philippe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity attitude to be the same before and after updating. A necessary and sufficient condition for ambiguity attitude to be unchanged when updated on an arbitrary event is for the capacity to be neo-additive. We find a condition for updating on a given partition to preserve ambiguity attitude. We relate this to necessary and sufficient conditions for dynamic consistency. Finally, we study whether ambiguity increases or decreases after updating. Copyright Springer Science+Business Media New York 2012

Keywords: Ambiguity; Generalized Bayesian update; Learning; Dynamic consistency; Choquet expected utility; C72; D81 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Working Paper: When is Ambiguity-Attitude Constant? (2012)
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DOI: 10.1007/s11166-012-9153-5

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