What do uncertainty-averse decision-makers believe?
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This paper introduces the concept of firm belief, which is proposed as a new epistemic model for a wide class of preferences. In particular, firm beliefs are shown to have the following desirable properties: (i) they are derived from preferences according to a plausible rule of epistemic inference; (ii) they satisfy standard logical properties; and (iii) tractable representations of firm belief are available for all (suitably continuous) biseparable preferences [13, 14], including the Choquet expected utility  and maxmin expected utility  classes. We also use firm belief to construct a generalization of Nash equilibrium for (two-player) normal form games.
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