Theory and Decision

, Volume 79, Issue 1, pp 15–30 | Cite as

A belief-based definition of ambiguity aversion

Article

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 

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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  1. 1.THEMAUniversité de Cergy-PontoiseCergy-PontoiseFrance

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