Preferences with changing ambiguity aversion

• Main Author: XUE, Jingyi
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Ambiguity averse preferences; Ambiguity; Increasing relative ambiguity aversion; Decreasing absolute ambiguity aversion; Wealth effect; Variant constraint representation; Weighted maxmin representation; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/2237; https://ink.library.smu.edu.sg/context/soe_research/article/3236/viewcontent/PreferencesWithChangingAmbiguity_afv.pdf
• Institution: Singapore Management University

We provide two extensions of Gilboa and Schmeidler (J Math Econ 18:141–153, 1989)’s maxmin expected utility decision rule to accommodate a decision maker’s changing ambiguity attitudes. The two rules are, respectively, a weighted maxmin rule and a variant constraint rule. The former evaluates an act...