We axiomatize, in an Anscombe-Aumann framework, the class of preferences that admit a representation of the form V(f) = mu - rho(d), where mu is the mean utility of the act f with respect to a given probability, d is the vector of state-by-state utility deviations from the mean, and rho(d) is a...

Raiffa-QJE-1961 has suggested that ambiguity aversion will cause a strict preference for randomization. We show that dynamic consistency implies that individuals will be indifferent to ex ante randomizations. On the other hand, it is possible for a dynamically-consistent ambiguity averse...

We define and discuss Savage games, which are ordinal games of incomplete information set in L. J. Savage's framework of purely subjective uncertainty. Every Bayesian game is ordinally equivalent to a Savage game. However, Savage games are free of priors, probabilities and payoffs. Players'...

We propose a model of learning when experimentation is possible, but unawareness and ambiguity matter. In this model, complete lack of information regarding the underlying data generating process is expressed as a (maximal) family of priors. These priors yield posterior inferences that become...

This paper shows that, for CEU preferences, the axioms consquentialism, state independence and conditional certainty equivalent consistency under updating characterise a family of capacities, called Genralised Neo-Additive Capacities (GNAC). This family contains as special cases among others...

This paper studies how updating affects ambiguity-attitude. In particular we focus on the generalized Bayesian update of the Jaffray-Phillipe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity-attitude to be the same before and after updating. A necessary and...

We propose a solution concept for a class of extensive form games with ambiguity. Specifically we consider multi-stage games. Players have CEU preferences. The associated ambiguous beliefs are revised by Generalized Bayesian Updating. We assume individuals take account of possible changes in...

The concept of a non-extreme-outcome-additive capacity (neo-additive capacity ) is introduced. Neo-additive capacities model optimistic and pessimistic attitudes towards uncertainty as observed in many experimental studies. Moreover, neo-additive capacities can be applied easily in economic...

We define and discuss Savage games, which are ordinal games of incomplete information set in L. J. Savage's framework of purely subjective uncertainty. Every Bayesian game is ordinally equivalent to a Savage game. However, Savage games are free of priors, probabilities and payoffs. Players'...

We provide a theory of decision under ambiguity in which the worst-case and best-case expected utility representations are sufficient statistics for a decision maker's preferences; we refer to the new utility functions as meta-utilities. Our approach, which generalizes many of the commonly used...