Comment on A theoretical foundation of ambiguity measurement

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Abstract

In this paper, we study asymptotic expansions for distorted probabilities under ambiguity, revisiting the framework and analysis of Izhakian (2020b). We argue that the first order terms in these expansions need to be corrected and provide alternatives. We also revisit later results in this paper on the separation of ambiguity and ambiguity attitudes. We argue that a crucial lemma is flawed implying that Izhakian's ambiguity measure ℧ 2 is not an equivalent way of representing the preferences it is supposed to represent.
Original languageEnglish
Article number105573
JournalJournal of Economic Theory
Volume207
DOIs
Publication statusPublished - Jan 2023

Keywords

  • ambiguity
  • model uncertainty
  • probability weighting

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