Bayesian learning with multiple priors and nonvanishing ambiguity

DOI10.1007/S00199-016-1007-YMaRDI QIDQ683822zbMATH OpenOpenAlexFDO

Authors Alexander Zimper, Wei Ma

Publication date 9 February 2018

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL http://www.up.ac.za/media/shared/61/WP/wp_2015_35.zp57405.pdf

zbMATH Keywords

Kullback-Leibler divergenceambiguityBayesian learningEllsberg paradoxBerk's theoremmisspecified priors

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3065411 (Why is no real title available?)
• scientific article; zbMATH DE number 3087284 (Why is no real title available?)
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• Learning from ambiguous urns
• Limiting Behavior of Posterior Distributions when the Model is Incorrect
• Maxmin expected utility with non-unique prior
• Misspecification in infinite-dimensional Bayesian statistics
• Nonlinear Decision Weights in Choice Under Uncertainty
• On Information and Sufficiency
• On the consistency of Bayes estimates
• Prospect theory. For risk and ambiguity.
• Risk, ambiguity and the Savage axioms
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Speculative trade under ambiguity
• Subjective Probability and Expected Utility without Additivity
• The possibility of speculative trade between dynamically consistent agents.

Cited in

(8)

• When does ambiguity fade away?
• Incentive contracting under ambiguity aversion
• Do Bayesians Learn Their Way Out of Ambiguity?
• Speculative trade under ambiguity
• Learning from ambiguous and misspecified models
• Ambiguous implementation: the partition model
• Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes
• Bayesian learning for a class of priors with prescribed marginals

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