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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/57290
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| Title: | | When is ambiguity-attitude constant?  |
| 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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