Second order beliefs models of choice under imprecise risk: non-additive second order beliefs vs. nonlinear second order utility

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,: Department of Economics, University of Paris 8, LED
Authors registered in the RePEc Author Service: Raphaël Giraud

Theoretical Economics, 2014, vol. 9, issue 3

Abstract: This paper discusses models of choice under imprecise objective probabilistic information featuring beliefs about beliefs -- second order beliefs. A new model, called Second Order Dual Expected Utility (SODEU) featuring non-additive second order beliefs is introduced, axiomatized and systematically contrasted with the leading alternative model of this kind, the Second Order Subjective Expected Utility (SOSEU) model (Klibanoff, Marinacci, Mukerji, 2005; Nau, 2006; Seo, 2009) for which, for the sake of comparison, we provide a new axiomatization, dispensing with the complex constructs used in extant axiomatizations. Ambiguity attitude and attitude toward information in general are discussed and characterized.

Keywords: Imprecise probabilistic information; second order beliefs; non-additive probabilities; ambiguity aversion; Ellsberg paradox; Choquet integral (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2014-10-06
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Citations: View citations in EconPapers (8)

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Working Paper: Second order beliefs models of choice under imprecise risk: non-additive second order beliefs vs. nonlinear second order utility (2014)
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