A note on comparative ambiguity aversion and justifiability

• Autores: Pierpaolo Battigalli, Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci
• Localización: Econométrica: Journal of the Econometric Society, ISSN 0012-9682, Vol. 84, Nº 5, 2016, págs. 1903-1916
• Idioma: inglés
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• Resumen

  • We consider a decision maker who ranks actions according to the smooth ambiguity criterion of Klibanoff, Marinacci, and Mukerji (2005). An action is justifiable if it is a best reply to some belief over probabilistic models. We show that higher ambiguity aversion expands the set of justifiable actions. A similar result holds for risk aversion. Our results follow from a generalization of the duality lemma of Wald (1949) and Pearce (1984). [web URL: http://onlinelibrary.wiley.com/doi/10.3982/ECTA14429/abstract]