A belief-based definition of ambiguity aversion

Theory and Decision 79 (1):15-30 (2015)
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Abstract

This paper proposes a notion of ambiguity aversion and characterizes it in the context of biseparable preferences, which include many popular ambiguity models in the literature. The defined properties suggest that ambiguity aversion is characterized by the properties of its capacity. This formalizes a sharp distinction between ambiguity and risk aversion, where risk aversion is characterized by the properties of its utility index and its probability weighting function.

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10.1007/s11238-014-9452-1

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References found in this work

A treatise on probability.John Maynard Keynes - 1921 - Mineola, N.Y.: Dover Publications.
Risk, Uncertainty and Profit.Frank H. Knight - 1921 - University of Chicago Press.
A treatise on probability.J. Keynes - 1924 - Revue de Métaphysique et de Morale 31 (1):11-12.
On the Composition of Risk Preference and Belief.Peter P. Wakker - 2004 - Psychological Review 111 (1):236-241.

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