Differentiating ambiguity and ambiguity attitude. Ghirardato, P., Maccheroni, F., & Marinacci, M. Journal of Economic Theory, 118:133--173, 2004.
abstract   bibtex   
The objective of this paper is to show how ambiguity, and a decision maker (DM)'s response to it, can be modelled formally in the context of a general decision model. We introduce a relation derived from the DM's preferences, called "unambiguous preference", and show that it can be represented by a set of probabilities. We provide such set with a simple differential characterization, and argue that it is a behavioral representation of the "ambiguity" that the DM may perceive. Given such revealed ambiguity, we provide a representation of ambiguity attitudes. We also characterize axiomatically a special case of our decision model, the "$\alpha$-maxmin" expected utility model. © 2003 Elsevier Inc. All rights reserved.
@article{Ghirardato2004,
abstract = {The objective of this paper is to show how ambiguity, and a decision maker (DM)'s response to it, can be modelled formally in the context of a general decision model. We introduce a relation derived from the DM's preferences, called "unambiguous preference", and show that it can be represented by a set of probabilities. We provide such set with a simple differential characterization, and argue that it is a behavioral representation of the "ambiguity" that the DM may perceive. Given such revealed ambiguity, we provide a representation of ambiguity attitudes. We also characterize axiomatically a special case of our decision model, the "$\alpha$-maxmin" expected utility model. © 2003 Elsevier Inc. All rights reserved.},
author = {Ghirardato, P. and Maccheroni, F. and Marinacci, M.},
file = {:Users/hykel/Documents/library/Ghirardato, Maccheroni, Marinacci/Ghirardato, Maccheroni, Marinacci - 2004 - Differentiating ambiguity and ambiguity attitude.pdf:pdf},
isbn = {0415324947},
journal = {Journal of Economic Theory},
keywords = {Ambiguity,Clarke differentials,Unambiguous preference,$\alpha$-maxmin expected utility},
pages = {133--173},
title = {{Differentiating ambiguity and ambiguity attitude}},
volume = {118},
year = {2004}
}
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