The α-MEU Model: A Comment
Paper number: 09/03
Paper date: 11th September 2009
Paper Category: Working Paper
Jürgen Eichberger, Simon Grant, David Kelsey and Gleb A. Koshevoy
In  Ghirardato, Macheroni and Marinacci (GMM) propose a method for distinguishing between perceived ambiguity and the decision-maker's reaction to it. They study a general class of preferences which they refer to as invariant biseparable. This class includes CEU and MEU. They axiomatize a subclass of α-MEU preferences. If attention is restricted to finite state spaces, we show that any α-MEU preference relation, satisfies GMM's axioms if and only if α = 0 or 1, that is, the preferences must be either maxmin or maxmax. We show by example that these axioms may be satisfied when the state space is [0,1].