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Maxmin expected utility with additivity on unambiguous events

Abstract : This paper provides a model of beliefs representation in which ambiguity and unambiguity are endogenously distinguished in the maxmin expected utility model of Gilboa and Schmeidler (1989). Specifically, I first extend it by getting a representation of beliefs such that the probabilistic beliefs over each ambiguous event are represented by a nondegenerate interval, while the ones over each unambiguous event are represented by a number. I then suggest a behavioral definition of ambiguity. It provides a choice theoretical foundation for the Knightian distinction between ambiguity and unambiguity.
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https://hal.archives-ouvertes.fr/hal-01437540
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Submitted on : Tuesday, January 17, 2017 - 12:28:09 PM
Last modification on : Friday, April 29, 2022 - 10:12:42 AM

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Xiangyu Qu. Maxmin expected utility with additivity on unambiguous events. Journal of Mathematical Economics, Elsevier, 2013, 49 (3), pp.245 - 249. ⟨10.1016/j.jmateco.2013.02.004⟩. ⟨hal-01437540⟩

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