The a-MEU Model: A Comment
Simon Grant (),
David Kelsey and
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Gleb Koshevoy: Central Institute of Mathematics and Economics RAS
No 903, Discussion Papers from University of Exeter, Department of Economics
In  Ghirardato, Macheroni and Marinacci (GMM) propose a method for distinguishing between perceived ambiguity and the decision-maker's reaction to it. They study a general class of preferences which they refer to as invariant biseparable. This class includes CEU and MEU. They axiomatize a subclass of a-MEU preferences. If attention is restricted to finite state spaces, we show that any a-MEU preference relation, satisfies GMM's axioms if and only if a = 0 or 1, that is, the preferences must be either maxmin or maxmax. We show by example that these axioms may be satisfied when the state space is [0,1].
Keywords: Ambiguity; multiple priors; invariant biseparable; Clarke derivative; ambiguity-preference. (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
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