A belief-based definition of ambiguity aversion

Xiangyu Qu (1)

1 CES - Centre d'économie de la Sorbonne

This paper proposes a notion of ambiguity aversion and characterizes it in the context of biseparable preferences, which include many popular ambiguity models in the literature. The defined properties suggest that ambiguity aversion is characterized by the properties of its capacity. This formalizes a sharp distinction between ambiguity and risk aversion, where risk aversion is characterized by the properties of its utility index and its probability weighting function.

Mots clés: Ambiguity aversion; Biseparable preference; Maxmin expected utility; Choquet expected utility

Domaines: Economies et finances

Xiangyu Qu. A belief-based definition of ambiguity aversion. Theory and Decision, 2015, 79 (1), pp.15-30. ⟨10.1007/s11238-014-9452-1⟩. ⟨hal-01437539⟩