A Note on Comparative Ambiguity Aversion and Justifiability

Pierpaolo Battigalli (), S. Cerreia‐Vioglio, F. Maccheroni and Massimo Marinacci
Authors registered in the RePEc Author Service: Simone Cerreia-Vioglio

Econometrica, 2016, vol. 84, 1903-1916

Abstract: We consider a decision maker who ranks actions according to the smooth ambiguity criterion of Klibanoff, Marinacci, and Mukerji (2005). An action is justifiable if it is a best reply to some belief over probabilistic models. We show that higher ambiguity aversion expands the set of justifiable actions. A similar result holds for risk aversion. Our results follow from a generalization of the duality lemma of Wald (1949) and Pearce (1984).

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://hdl.handle.net/

Related works:
Working Paper: A note on comparative ambiguity aversion and justi?fiability (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:emetrp:v:84:y:2016:i::p:1903-1916

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Guido W. Imbens

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().