Although much of the theoretical literature on ambiguity works under the assumption of uncertainty aversion, experimental evidence suggests that it is not a universal behavioral trait. This paper introduces and axiomatises the family of α-UA (for α-Uncertainty Attitude) preferences: a simple...

This paper develops a belief update rule under ambiguity, motivated by the maxim: in the face of new information, retain those conditional beliefs in which you are more confident, and relinquish only those in which you have less confidence. We provide a preference-based axiomatisation, drawing...

We propose a class of multiple-prior representations of preferences under ambiguity where the belief the decision-maker (DM) uses to evaluate an uncertain prospect is the outcome of a game played by two conflicting forces, Pessimism and Optimism. The model does not restrict the sign of the DM's...

We characterize prior-by-prior Bayesian updating using a model proposed by Gilboa, Maccheroni, Marinacci and Schmeidler (2010) that jointly considers objective and subjective rationality. These rationality concepts are subject to the Bewley unanimity rule and maxmin expected utility,...

This paper generalizes the concept of Sequential Equilibrium to allow for ambiguous incomplete information about types or states. We characterize conditions that ensure existence of Sequential Equilibria under ambiguous incomplete information. Under these conditions players form subjective prior...

Many decision situations involve two or more of the following divergences from subjective expected utility: imprecision of beliefs (or ambiguity), imprecision of tastes (or multi-utility), and state dependence of utility. Examples include multi-attribute decisions under uncertainty, such as some...

This paper extends decision theory under imprecise probabilistic information to dynamic settings. We explore the relationship between the given objective probabilistic information, an agent's subjective multiple priors, and updating. Dynamic consistency implies rectangular sets of priors at the...

Two of the most well known regularities observed in preferences under risk and uncertainty are ambiguity aversion and the Allais paradox. We study the behav- ior of an agent who can display both tendencies simultaneously. We introduce a novel notion of preference for hedging that applies to both...

We present a model of incomplete information games with sets of priors. Upon arrival of private information, each player "updates" by the Bayes rule each of priors in this set to construct the set of posteriors consistent with the arrived piece of information. Then the player uses a possibly...

This paper considers a two agent model of trade with multiple priors. First, we characterize the existence of an agreeable bet on some event in terms of the set of priors. It is then shown that the existence of an agreeable bet on some event is a strictly stronger condition than the existence of...