We study the problem of elicitation of subjective beliefs of an agent when the beliefs are ambiguous (the set of beliefs is a non-singleton set) and the agent's preference exhibits ambiguity aversion; in particular, as represented by alpha-maxmin preferences. We construct a direct revelation...

Risk and time are intertwined. The present is known while the future is inherently risky. Discounted expected utility provides a simple, coherent structure for analyzing decisions in intertemporal, uncertain environments. However, we document robust violations of discounted expected utility,...

Probabilistic preference models predict that a subject makes different choices with different probabilities in repeatedly experiments with the same stimuli. This paper explains why. First, we prove that a gamble is a statistical ensemble or sample function of a random field with canonical...

Prospect theory (PT) is the dominant descriptive theory of decision making under risk today. For the modeling of choices, PT relies on a psychologically founded separation of risk attitudes into attitudes towards outcomes, captured in a value function; and attitudes towards probabilities,...

We propose and axiomatically characterize a representation of ambiguity sensitive preferences. The distinguishing feature of our axiomatization is that we do not require preferences to be event-wise separable over any domain of acts. Even without any such separability restrictions, we are able...