Second-order ambiguous beliefs
This paper provides an axiomatic characterization of ambiguous (= set valued) beliefs in the setting of a two-stage expected utility model. In an Anscombe-Aumann [\textit{F. J. Anscombe} and \textit{R. J. Aumann}, Ann. Math. Stat. 34, 199--205 (1963; Zbl 0114.07204)] setting but without reversal of order, and thus comparable to \textit{K. Seo}'s [Econometrica 77, No. 5, 1575--1605 (2009; Zbl 1178.91053)] characterization of two-stage expected utility, the paper characterizes (i) a representation that looks analogous to variational preferences, (ii) the special case in which the decision maker minimaxes over a set of second-stage beliefs, (iii) a further extension in which dropping the completeness axiom leads to an incomplete, ``multiple tastes preference (i.e., the preference relation is the intersection of many complete ones). The paper mostly speaks to theorists; a main contribution is to carefully elucidate how classic models like maxmin expected utility [\textit{I. Gilboa} and \textit{D. Schmeidler}, J. Math. Econ. 18, No. 2, 141--153 (1989; Zbl 0675.90012)] connect to the recent literature on two-stage expected utility. An instructive discussion of these connections is provided. The richness of the model, and a lack of uniqueness of second-stage beliefs, may limit the appeal of the paper's novel decision models to readers who have applications in mind.
- Ambiguity and Second-Order Belief
- Second order beliefs models of choice under imprecise risk: nonadditive second order beliefs versus nonlinear second order utility
- Maxmin expected utility with additivity on unambiguous events
- A class of incomplete and ambiguity averse preferences
- Differentiating ambiguity and ambiguity attitude
- A Definition of Subjective Probability
- A paradox for the ``smooth ambiguity model of preference
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- Ambiguity and Second-Order Belief
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Ambiguity, learning, and asset returns
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- Fragile beliefs and the price of uncertainty
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- Maxmin expected utility with non-unique prior
- Maxmin under risk
- Metric spaces, convexity and nonpositive curvature
- Niveloids
- Notions of convexity
- On the use of capacities in modeling uncertainty aversion and risk aversion
- On the uses of the monotonicity and independence axioms in models of ambiguity aversion
- Risk, ambiguity and the Savage axioms
- Subjective Probability and Expected Utility without Additivity
- The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach
- Two-Stage Lotteries without the Reduction Axiom
- Utility representation of an incomplete preference relation
- Utility Theory without the Completeness Axiom
- Ambiguous signals, partial beliefs, and propositional content
- A mechanism for the elicitation of second-order belief and subjective information structure
- A survey of decision making and optimization under uncertainty
- The dual theory of the smooth ambiguity model
- Decision making in phantom spaces
- Ambiguity and Second-Order Belief
- Cobb-Douglas preferences under uncertainty
- Second order beliefs models of choice under imprecise risk: nonadditive second order beliefs versus nonlinear second order utility
- The ex ante aggregation of opinions under uncertainty
- A class of incomplete and ambiguity averse preferences
- Eliciting second-order beliefs
- Identification of smooth ambiguity
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