On ambiguity apportionment

Christophe Courbage and Beatrice Rey (rey-fournier@gate.cnrs.fr)
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Christophe Courbage: The Geneva Association

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Abstract: This paper investigates the notion of changes in ambiguity over loss probabilities in the smooth ambiguity model developed by Klibanoff, Marinacci and Mukerji (Econometrica 73:1849-1892, 2005). Changes in ambiguity over loss probabilities are expressed through the specific concept of stochastic dominance of order n defined by Ekern (Econ Lett 6:329-333, 1980). We characterize conditions on the function capturing attitudes towards ambiguity under which an individual always considers one situation to be more ambiguous than another in a model of two states of nature. We propose an intuitive interpretation of the properties of this function in terms of preferences for harms disaggregation over probabilities, also labelled ambiguity apportionment.

Keywords: Smooth ambiguity aversion; more ambiguity; ambiguity apportionment; stochastic dominance (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

Published in Journal of Economics, 2016, 118 (3), pp.265-275. ⟨10.1007/s00712-016-0473-9⟩

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Related works:
Journal Article: On ambiguity apportionment (2016)
Working Paper: On ambiguity apportionment (2015)
Working Paper: On ambiguity apportionment (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01290062

DOI: 10.1007/s00712-016-0473-9

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