Differentiating Ambiguity: A Comment

Jürgen Eichberger, Simon Grant and David Kelsey

No 606, Discussion Papers from University of Exeter, Department of Economics

Abstract: In Ghirardato, Macheroni and MArcinaccri (GMM) propose a method for distinguishing between percieved ambiguity and the decision-maker's reaction to it. They study a general class of preferences which includes CEU and a-MEU and axiomatise a subclass of a-MEU preferences. We show that for Hurwicz preferences the proposed measure of ambiguity depends on parameters which intuitively reflect ambiguity-attitude. Furthermore, any a-MEU preferences which satisfy the CEU axioms, satisfy GMM's axioms if and only if a = 0 or 1, that is, the capacity must be convex or concave.

Keywords: Ambiguity; multiple priors; Hurwicz; Choquet expected utility. (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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