Ambiguity and Second-Order Belief

Ambiguity and Second-Order Belief

Anscombe and Aumann (1963) wrote a classic characterization of subjective expected utility theory. This paper employs the same domain for preference and a closely related (but weaker) set of axioms to characterize preferences that use second-order beliefs (beliefs over probability measures). Such pr...

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Veröffentlicht in:Econometrica 2009-09, Vol.77 (5), p.1575-1605
1. Verfasser: Seo, Kyoungwon
Format: Artikel
Sprache:eng
Schlagworte:
Ambiguity
Applications
Belief & doubt
Beliefs
Betting
Decision theory
Econometric models
Economic theory
Economic utility
Ellsberg paradox
Exact sciences and technology
Expected utility
Insurance, economics, finance
Linear transformations
Lotteries
Mathematics
Paradoxes
Preferences
Probability and statistics
Probability theory and stochastic processes
Probability theory on algebraic and topological structures
Sciences and techniques of general use
second-order belief
Statistics
Studies
Topological spaces
Utility functions
Utility theory
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Beschreibung
Zusammenfassung:Anscombe and Aumann (1963) wrote a classic characterization of subjective expected utility theory. This paper employs the same domain for preference and a closely related (but weaker) set of axioms to characterize preferences that use second-order beliefs (beliefs over probability measures). Such preferences are of interest because they accommodate Ellsberg-type behavior.
ISSN:0012-9682
1468-0262
DOI:10.3982/ECTA6727