Bayesian Updating for Complementarily Additive Beliefs under Ambiguity

Mayumi Horie ()
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Mayumi Horie: Hiroshima University of Economics

No 935, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: This paper proposes a formal characterization of extended Bayesian updating for complementarily additive subjective beliefs under ambiguity, which are compatible with a wide range of choice behavior toward ambiguity. The main result shows that, based on the biseparability of Ghirardato and Marinacci (2001), extended Bayesian updating characterizes the update rule which is a step-by-step composite updating for priors, where one of Dempster-Shafer rule, Bayes'update rule and Fagin-Halpern rule is applied to each step. As applications, more speciÂ…c preference relations are examined, such as the maxmin expected utility, the rank-dependent expected utility, and the concave expected utility preferences by Lehrer (2009).

Keywords: ambiguous belief; Bayesian update rule; multiple priors; non-additive measure; subjective probability; biseparable preference (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 28pages
Date: 2016-02
New Economics Papers: this item is included in nep-mic and nep-upt
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