This paper discusses models of choice under imprecise objective probabilistic information featuring beliefs about beliefs -- second order beliefs. A new model, called Second Order Dual Expected Utility (SODEU) featuring non-additive second order beliefs is introduced, axiomatized and...

This paper studies mechanism design when agents are maxmin expected utility maximizers. A first result gives a general necessary condition for a social choice rule to be implementable. The condition combines an inequality version of the standard envelope characterization of payoffs in...

We report a portfolio-choice experiment that enables us to estimate parametric models of ambiguity aversion at the level of the individual subject. The assets are Arrow securities that correspond to three states of nature, where one state is risky with known probability and two states are...

Most models of ambiguity aversion satisfy Anscombe-Aumann's Monotonicity axiom. Monotonicity imposes separability of preferences across events that occur with unknown probability. We construct a test of Monotonicity by modifying the Allais paradox to a setting with both subjective and objective...

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

Designing efficient environmental policies requires knowledge about households' preference parameters for their intertemporal decisions. By conducting an original Internet-based survey using Japanese participants (n=2,906) and a follow-up survey (n=1,407), we examine how people evaluate...

This paper offers an ambiguity-based interpretation of variance premium - the difference between risk-neutral and objective expectations of market return variance - as a compounding effect of both belief distortion and variance differential regarding the uncertain economic regimes. Our approach...

In this paper, we present a model of finitely repeated games in which players can strategically make use of objective ambiguity. In each round of a finite rep- etition of a finite stage-game, in addition to the classic pure and mixed actions, players can employ objectively ambiguous actions by...

Beauchêne, Li, and Li (2019) show that ambiguous persuasion leads to new interim equilibria with higher ex ante value for the Sender compared to the standard Bayesian persuasion. However, in their equilibrium the strategy of the Receiver is in general not ex ante optimal. This note, defines...

We focus on the effect of preference specifications on the current day valuation of future outcomes. Specifically, we analyze the effect of risk aversion, ambiguity aversion and the elasticity of intertemporal substitution on the willingness to pay to avoid climate change risk. The first part of...