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A Note on Comparative Ambiguity Aversion and Justifiability

Econometrica, ISSN: 1468-0262, Vol: 84, Issue: 5, Page: 1903-1916
2016
  • 14
    Citations
  • 0
    Usage
  • 33
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    14
    • Citation Indexes
      14
  • Captures
    33

Article Description

We consider a decision maker who ranks actions according to the smooth ambiguity criterion of Klibanoff, Marinacci, and Mukerji (2005). An action is justifiable if it is a best reply to some belief over probabilistic models. We show that higher ambiguity aversion expands the set of justifiable actions. A similar result holds for risk aversion. Our results follow from a generalization of the duality lemma of Wald (1949) and Pearce (1984).

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