We analyze a notion of self-confirming equilibrium with non-neutral ambiguity attitudes that generalizes the traditional concept. We show that the set of equilibria expands as ambiguity aversion increases. The intuition is quite simple: by playing the same strategy in a stationary environment,...

We study the interplay of probabilistic sophistication, second order stochastic dominance and uncertainty aversion, three fundamental notions in choice under uncertainty. In particular, our main result, Theorem 2, characterizes uncertainty averse preferences that are probabilistically...

Starting with the seminal paper of Gilboa and Schmeidler (1989) [32] an analogy between the maxmin approach of decision theory under ambiguity and the minimax approach of robust statistics – e.g., Blum and Rosenblatt (1967) [10] – has been hinted at. The present paper formally clarifies this...