A note on comparative ambiguity aversion and justi?fiability

Pierpaolo Battigalli (), Simone Cerreia-Vioglio, Fabio Maccheroni and Massimo Marinacci

No 527, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: We consider a decision maker who ranks actions according to the smooth ambiguity criterion of Klibanos et al. (2005). An action is justifiable if it is a best reply to some belief over probabilistic models. We show that higher ambiguity aversion expands the set of justifiable actions. In turn, this implies that higher ambiguity aversion expands the set of rationalizable actions of a game. Our results follow from a generalization of the duality lemma of Wald (1949) and Pearce (1984).

Date: 2014
New Economics Papers: this item is included in nep-mic
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Journal Article: A Note on Comparative Ambiguity Aversion and Justifiability (2016)
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