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DR@W Forum - Horst Zank (School of Social Sciences, University of Manchester)
Horst Zank (School of Social Sciences, University of Manchester)
Uncovering Ambiguity by Means of Utility
(joint work with Mohammed Abdellaoui)
The familiar tool of economic analysis, i.e., continuous utility, is used to provide preference foundations for the study of ambiguity attitudes in individual decision making. Working within the Anscombe and Aumann (1963, Annals of Mathematical Statistics) framework, we provide generalizations to their subjective expected utility model, Schmeidler's (1989, Econometrica) Choquet expected utility and the smooth ambiguity model of Klibanoff, Marinacci and Mukherji (2005, Econometrica). Our model serves as a foundation for Wakker's (2004, Psychological Review) theory of decomposing nonadditive decision weights into a risk component and pure belief.