The α-MEU model and the smooth ambiguity model are two popular models in decision making under ambiguity. However, the …

In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a … separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches … Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model …

In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a … separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches … characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model’s application in asset …

relevant measures as reflecting part of perceived ambiguity, meaning subjective uncertainty about probabilities over states …. Under mild conditions, we show that increases or decreases in ambiguity aversion cannot affect the relevant measures. This … property, necessary for the conclusion that these measures reflect only perceived ambiguity, distinguishes the set of relevant …

probabilities on the new states. The agents in the economy are classified with respect to their attitude towards this Ambiguity: the … financiers are (locally) Ambiguity-seeking while the consumers are Ambiguity-averse. An entrepreneur and a financier come together … contracting problem does not fall within the standard theory due to the presence of Ambiguity (on the financier’s side) and to the …

ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …

between the set of relevant measures, shown by KMS [21] to reflect only perceived ambiguity, and the set of measures (which we … perceived ambiguity. Regarding symmetry assumptions, we show that, under relatively mild conditions, a variety of preference … stringent. Only when it is satisfied may the Bewley set be interpreted as reflecting only perceived ambiguity and not also taste …