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Second order beliefs models of choice under imprecise risk: Nonadditive second order beliefs versus nonlinear second order utility

Author

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  • Raphaël Giraud

    (LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis)

Abstract

This paper discusses models of choice under imprecise objective probabilistic information featuring beliefs about beliefs, i.e., second order beliefs. A new model, called second order dual expected utility, featuring nonadditive second order beliefs , is introduced, axiomatized, and systematically contrasted with the leading alternative model of this kind, i.e., the second order subjective expected utility model (Klibanoff et al. 2005, Nau 2006, Seo 2009) for which, for the sake of comparison , we provide a new axiomatization, dispensing with the complex constructs used in extant axiomatizations. Ambiguity attitude and attitude toward information in general are discussed and characterized.

Suggested Citation

  • Raphaël Giraud, 2014. "Second order beliefs models of choice under imprecise risk: Nonadditive second order beliefs versus nonlinear second order utility," Post-Print halshs-00102346, HAL.
    • Handle: RePEc:hal:journl:halshs-00102346
    DOI: 10.3982/TE569
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00102346v3
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    Cited by:

    1. Henkel, Luca, 2024. "Experimental evidence on the relationship between perceived ambiguity and likelihood insensitivity," Games and Economic Behavior, Elsevier, vol. 145(C), pages 312-338.
    2. Norio Takeoka & Takashi Ui, 2021. "Imprecise Information and Second-Order Beliefs," Working Papers on Central Bank Communication 037, University of Tokyo, Graduate School of Economics.
    3. Edi Karni, 2020. "A mechanism for the elicitation of second-order belief and subjective information structure," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 69(1), pages 217-232, February.
    4. Frank Riedel, 2017. "Uncertain Acts in Games," Homo Oeconomicus: Journal of Behavioral and Institutional Economics, Springer, vol. 34(4), pages 275-292, December.
    5. Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
    6. Flores-Szwagrzak, Karol, 2022. "Learning by Convex Combination," Working Papers 16-2022, Copenhagen Business School, Department of Economics.

    More about this item

    Keywords

    Imprecise probabilistic information; second order beliefs; nonaddi-tive probabilities; ambiguity aversion; Ellsberg paradox; Choquet integral JEL classification D81;
    All these keywords.

    JEL classification:

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

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