We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information … and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and … Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified …

We propose and axiomatically characterize dynamically consistent update rules for decision making under ambiguity … of preferences over acts, to be able to reconcile typical behavior in the face of ambiguity (as exemplified by Ellsberg …’s paradox) with dynamic consistency for all non-null events. Updating takes the form of applying Bayes’ rule to subsets of the …

equivalent consistency under updating characterise a family of capacities, called Genralised Neo-Additive Capacities (GNAC). This …

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 …

Decisions under ambiguity depend on the beliefs regarding possible scenarios and the attitude towards ambiguity. This … studies. We use laboratory experiments to estimate the subjective belief formation and belief updating process in an ambiguous … be rejected. The recovered belief updating rules reveal that the Bayesian updating hypothesis can be rejected for 84% of …

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

updating rules are quite heterogeneous. For most subjects, we can reject the objective equality hypothesis that beliefs are … pessimism/optimism in beliefs. The Bayesian updating hypothesis can be rejected; Most subjects under-adjust beliefs in response …