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Title:When is ambiguity-attitude constant? PDF Logo
Authors:Eichberger, Jürgen
Grant, Simon
Kelsey, David
Issue Date:2012
Series/Report no.:CESifo working paper: Behavioural Economics 3768
Abstract:This paper studies how updating affects ambiguity-attitude. In particular we focus on the generalized Bayesian update of the Jaffray-Phillipe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity-attitude to be the same before and after updating. A necessary and sufficient condition for ambiguity-attitude to be unchanged when updated on an arbitrary event is for the capacity to be neo-additive. We find a condition for updating on a given partition to preserve ambiguity-attitude. We relate this to necessary and sufficient conditions for dynamic consistency. Finally we study whether ambiguity increases or decreases after updating.
Subjects:ambiguity
generalized Bayesian update
learning
dynamic consistency
Choquet Expected Utility
JEL:C72
D81
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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