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When is Ambiguity-Attitude Constant?

Jürgen Eichberger, Simon Grant () and David Kelsey

No 3768, CESifo Working Paper Series from CESifo

Abstract: This paper studies how updating affects ambiguity-attitude. In particular we focus on the generalized Bayesian update of the Jaffray-Phillipe 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.

Keywords: ambiguity; generalized Bayesian update; learning; dynamic consistency; Choquet Expected Utility (search for similar items in EconPapers)
JEL-codes: C72 D81 (search for similar items in EconPapers)
Date: 2012
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Journal Article: When is ambiguity–attitude constant? (2012) Downloads
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