Recursive Ambiguity and Machina’s Examples

David Dillenberger () and Uzi Segal
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David Dillenberger: Department of Economics, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: Machina (2009, 2012) lists a number of situations where standard models of ambiguity aversion are unable to capture plausible features of ambiguity attitudes. Most of these problems arise in choice over prospects involving three or more outcomes. We show that the recursive non-expected utility model of Segal (1987) is rich enough to accommodate all these situations.

Keywords: Ambiguity; Ellsberg paradox; Choquet expected utility; recursive non-expected utility (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2012-05-20
New Economics Papers: this item is included in nep-mic and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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