Ambiguity Aversion and Model Misspecification: An Economic Perspective
نویسندگان
چکیده
منابع مشابه
Ambiguity and Ambiguity Aversion
Consider the following choice problem, known as “Ellsberg’s three-color urn example”, or simply the “Ellsberg Paradox” (Ellsberg [7]). An urn contains 30 red balls, and 60 green and blue balls, in unspecified proportions; subjects are asked to compare (i) a bet on a red draw vs. a bet on a green draw, and (ii) a bet on a red or blue draw vs. a bet on a green or blue draw. If the subject wins a ...
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We study a model of non-Bayesian updating, based on the Hypothesis Testing model of Ortoleva (2012), for ambiguity averse agents. Agents ranks acts following the MaxMin Expected Utility model of Gilboa and Schmeidler (1989) and when they receive new information they update their set of priors as follows: If the information is such that all priors in the original set of priors assign to it a pro...
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Under which condition does the set of desirable uncertain prospects expand when wealth increases? We show that the decreasing concavity (DC) of the utility function is necessary and sufficient in the −maxmin expected utility model. In the smooth ambiguity aversion model with the ambiguity valuation function , the DC of and of ◦ is necessary and sufficient. An alternative definition of d...
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This paper considers when the utility function of the bidders is ambiguity averse, how does the bidding strategy differ in four classical auction mechanisms. In particular, if there is no information affiliation, i.e., when first order sealed auction is equivalent to English auction in terms of bidding, bidders may bid higher or lower relative to ambiguity neutral case. From the seller’s point ...
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Loss Set A Set A Set A Set A Investment Set B Set B Set B Set B Insurance Set B Set B Set B Set B Furthermore, the subjects face four different types of information in both decision frames and treatments. The ‘precise’ information frame has exact probabilities and exact payments stated. In the ‘ambiguity in probability’ frames, the probability is stated as a range and the payment is fixed. Conv...
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ژورنال
عنوان ژورنال: Statistical Science
سال: 2016
ISSN: 0883-4237
DOI: 10.1214/16-sts570