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Purely subjective extended Bayesian models with Knightian unambiguity

Abstract : This paper provides a model of belief representation in which ambiguity and unambiguity are endogenously distinguished in a purely subjective setting where objects of choices are, as usual, maps from states to consequences. Specifically, I first extend the maxmin expected utility theory and get a representation of beliefs such that the probabilistic beliefs over each ambiguous event are represented by a non-degenerate interval, while the ones over each unambiguous event are represented by a number. I then consider a class of the biseparable preferences. Two representation results are achieved and can be used to identify the unambiguity in the context of the biseparable preferences. Finally a subjective definition of ambiguity is suggested. It provides a choice theoretic foundation for the Knightian distinction between ambiguity and unambiguity.
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https://hal.archives-ouvertes.fr/hal-01437537
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Submitted on : Tuesday, January 17, 2017 - 12:20:29 PM
Last modification on : Friday, April 29, 2022 - 10:12:42 AM

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Xiangyu Qu. Purely subjective extended Bayesian models with Knightian unambiguity. Theory and Decision, Springer Verlag, 2015, 79 (4), pp.547-571. ⟨10.1007/s11238-015-9489-9⟩. ⟨hal-01437537⟩

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