# A belief-based definition of ambiguity aversion

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## Abstract

This paper proposes a notion of ambiguity aversion and characterizes it in the context of biseparable preferences, which include many popular ambiguity models in the literature. The defined properties suggest that ambiguity aversion is characterized by the properties of its capacity. This formalizes a sharp distinction between ambiguity and risk aversion, where risk aversion is characterized by the properties of its utility index and its probability weighting function.

## Keywords

Ambiguity aversion Biseparable preference Maxmin expected utility Choquet expected utility## JEL Classification

D80 D81## Notes

### Acknowledgments

I am deeply indebted to David Schmeidler for his guidance and generous advices. I also wish to thank Ani Guerdjikova, Edi Karni, Dan Levin and Horst Zank for helpful comments and discussion. I am very much thankful for the editor and two referees, who help improve this paper greatly.

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