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A lot of ambiguity

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  • Safra, Zvi
  • Segal, Uzi

Abstract

We consider a risk averse decision maker who dislikes ambiguity as in the Ellsberg urns. We analyze attitudes to ambiguity when the decision maker is exposed to unrelated sequences of ambiguous situations. We discuss the Choquet expected utility, the smooth, and the maxmin models. Our main results offer conditions under which ambiguity aversion disappears even without learning and conditions under which it does not. An appendix analyzes compound gambles within the expected utility model and demonstrates how to rank them.

Suggested Citation

  • Safra, Zvi & Segal, Uzi, 2022. "A lot of ambiguity," Journal of Economic Theory, Elsevier, vol. 200(C).
    • Handle: RePEc:eee:jetheo:v:200:y:2022:i:c:s0022053121002106
    DOI: 10.1016/j.jet.2021.105393
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    Cited by:

    1. Zvi Safra & Uzi Segal, 2021. "Large Compound Lotteries," Boston College Working Papers in Economics 1057, Boston College Department of Economics, revised 01 Aug 2023.

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    More about this item

    Keywords

    Ellsberg urns; Repeated ambiguity; Compound gambles; Choquet expected utility; Maxmin; The smooth model;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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