Differentiating Ambiguity: A Comment.

Paper number: 06/06

Paper date: 17 August, 2005

Year: 2006

Paper Category: Working Paper


Jurgen Eichberger, Simon Grant and David Kelsey


In [4] Ghirardato, Macheroni and MArcinaccri (GMM) propose a method for distinguishing between percieved ambiguity and the decision-maker's reaction to it. They study a general class of preferences which includes CEU and α-MEU and axiomatise a subclass of α-MEU preferences. We show that for Hurwicz preferences the proposed measure of ambiguity depends on parameters which intuitively reflect ambiguity-attitude. Furthermore, any α-MEU preferences which satisfy the CEU axioms, satisfy GMM's axioms if and only if α = 0 or 1, that is, the capacity must be convex or concave

Differentiating Ambiguity: A Comment. Differentiating Ambiguity: A Comment.