Related papers: Eliciting ambiguity with mixing bets

We conduct an incentivized experiment on a nationally representative US sample \\ (N=708) to test whether people prefer to avoid ambiguity even when it means choosing dominated options. In contrast to the literature, we find that 55\% of…

Decision under ambiguity (uncertainty with unknown probabilities) has been attracting attention in behavioral and neuroeconomics. However, recent neuroimaging studies have mainly focused on gain domains while little attention has been paid…

Ambiguity-averse decision makers typically dislike not only the presence of ambiguous events but also their increase, contrary to what standard ambiguity models predict. We axiomatically study such a decision maker. She avoids ex ante…

Ambiguity and ambiguity aversion have been widely studied in decision theory and economics both at a theoretical and an experimental level. After Ellsberg's seminal studies challenging subjective expected utility theory (SEUT), several…

I introduce novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. I compare these preferences with Gilboa and Schmeidler's maxmin expected utility as well as variational…

The Machina thought experiments pose to major non-expected utility models challenges that are similar to those posed by the Ellsberg thought experiments to subjective expected utility theory (SEUT). We test human choices in the `Ellsberg…

This paper introduces a qualitative measure of ambiguity and analyses its relationship with other measures of uncertainty. Probability measures relative likelihoods, while ambiguity measures vagueness surrounding those judgments. Ambiguity…

We suggest that one individual holds multiple degrees of belief about an outcome, given the evidence. We then investigate the implications of such noisy probabilities for a buyer and a seller of binary options and find the odds agreed upon…

We design and implement lab experiments to evaluate the normative appeal of behavior arising from models of ambiguity-averse preferences. We report two main empirical findings. First, we demonstrate that behavior reflects an incomplete…

We study the identification and estimation of first-price auction models where bidders have ambiguity about the valuation distribution and their preferences are represented by maxmin expected utility. When entry is exogenous, the…

We explore whether ambiguous communication can be beneficial to the sender in a persuasion problem, when the receiver (and possibly the sender) is ambiguity averse. Our analysis highlights the necessity of using a collection of experiments…

We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…

This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the…

We experimentally study a game in which success requires a sufficient total contribution by members of a group. There are significant uncertainties surrounding the chance and the total effort required for success. A theoretical model with…

We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…

In this work we show that the ordering ambiguity on quantization depends on the representation choice. This property is then used to solve unambiguously some particular systems. Finally, we speculate on the consequences for more involved…

Completeness and transitivity are standard rationality conditions in economics. However, under ambiguity, decision makers sometimes violate these requirements because of the difficulty of forming accurate predictions about ambiguous events.…

We explore the deliberate infusion of ambiguity into the design of contracts. We show that when the agent is ambiguity-averse and hence chooses an action that maximizes their minimum utility, the principal can strictly gain from using an…

Machine learning (ML) is increasingly used in high-stakes settings, yet multiplicity - the existence of multiple good models - means that some predictions are essentially arbitrary. ML researchers and philosophers posit that multiplicity…

We elicit incomplete preferences over monetary gambles with subjective uncertainty. Subjects rank gambles, and these rankings are used to estimate preferences; payments are based on estimated preferences. About 40\% of subjects express…