A belief-based definition of ambiguity aversion

Xiangyu Qu

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This paper proposes a notion of ambiguity aversion and characterizes it in the context of biseparable preferences, which include many popular ambiguity models in the literature. The defined properties suggest that ambiguity aversion is characterized by the properties of its capacity. This formalizes a sharp distinction between ambiguity and risk aversion, where risk aversion is characterized by the properties of its utility index and its probability weighting function.

Keywords: Ambiguity aversion; Biseparable preference; Maxmin expected utility; Choquet expected utility (search for similar items in EconPapers)
Date: 2015-07
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Published in Theory and Decision, 2015, 79 (1), pp.15-30. ⟨10.1007/s11238-014-9452-1⟩

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Journal Article: A belief-based definition of ambiguity aversion (2015)
Working Paper: A belief-based definition of ambiguity aversion (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-01437539

DOI: 10.1007/s11238-014-9452-1

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