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 …

characterize dynamically consistent updating for two important models of ambiguity averse preferences: the ambiguity averse smooth …Dynamic consistency leads to Bayesian updating under expected utility. We ask what it implies for the updating of more … ambiguity aversion. This characterization extends to regret-based models as well. As an application of our general result, we …

characterize dynamically consistent updating for two important models of ambiguity averse preferences: the ambiguity averse smooth …Dynamic consistency leads to Bayesian updating under expected utility. We ask what it implies for the updating of more … ambiguity aversion. This characterization extends to regret-based models as well. As an appli- cation of our general result, we …

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 …

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 …

, which leads to a recursive structure for utility, to 'rectangular' sets of priors and to prior-by-prior Bayesian updating as … the updating rule for such sets of priors. It is argued that dynamic consitency is intuitive in a wide range of situations … and that the model is consistent with a rich set of possibilities for dynamic behavior under ambiguity. …

This paper studies the effect of learning new information on decision under uncertainty.Using ambiguity models, we show … the effect of learning on beliefs and ambiguity attitudes. We develop a new method to correct beliefs for ambiguity … attitudes and decompose ambiguity attitudes into pessimism (capturing ambiguity aversion) and likelihood insensitivity. We apply …