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A lot of ambiguity
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Safra, Zvi and Segal, Uzi (2022) A lot of ambiguity. Journal of Economic Theory, 200 . 105393. doi:10.1016/j.jet.2021.105393 ISSN 0022-0531.
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Official URL: https://doi.org/10.1016/j.jet.2021.105393
Abstract
We consider a risk averse decision maker who dislikes ambiguity as in the Ellsberg urns. We analyze attitudes to ambiguity when the decision maker is exposed to unrelated sequences of ambiguous situations. We discuss the Choquet expected utility, the smooth, and the maxmin models. Our main results offer conditions under which ambiguity aversion disappears even without learning and conditions under which it does not. An appendix analyzes compound gambles within the expected utility model and demonstrates how to rank them.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Library of Congress Subject Headings (LCSH): | Ambiguity, Decision making -- Mathematical models, Uncertainty -- Mathematical models, Risk perception, Choquet theory | ||||||||
Journal or Publication Title: | Journal of Economic Theory | ||||||||
Publisher: | Academic Press | ||||||||
ISSN: | 0022-0531 | ||||||||
Official Date: | March 2022 | ||||||||
Dates: |
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Volume: | 200 | ||||||||
Article Number: | 105393 | ||||||||
DOI: | 10.1016/j.jet.2021.105393 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 23 November 2021 | ||||||||
Date of first compliant Open Access: | 26 May 2023 | ||||||||
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