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Ambiguity and Second-Order Belief

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  • Kyoungwon Seo

Abstract

Anscombe and Aumann (1963) wrote a classic characterization of subjective expected utility theory. This paper employs the same domain for preference and a closely related (but weaker) set of axioms to characterize preferences that use second-order beliefs (beliefs over probability measures). Such preferences are of interest because they accommodate Ellsberg-type behavior. Copyright 2009 The Econometric Society.

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  • Kyoungwon Seo, 2009. "Ambiguity and Second-Order Belief," Econometrica, Econometric Society, vol. 77(5), pages 1575-1605, September.
    • Handle: RePEc:ecm:emetrp:v:77:y:2009:i:5:p:1575-1605
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