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Differentiating ambiguity and ambiguity attitude. (English) Zbl 1112.91021
Summary: The objective of this paper is to show how ambiguity, and a decision maker (DM)’s response to it, can be modelled formally in the context of a general decision model. We introduce a relation derived from the DM’s preferences, called “unambiguous preference”, and show that it can be represented by a set of probabilities. We provide such set with a simple differential characterization,and argue that it is a behavioral representation of the ”ambiguity” that the DM may perceive. Given such revealed ambiguity, we provide a representation of ambiguity attitudes. We also characterize axiomatically a special case of our decision model, the “$$\alpha$$-maxmin” expected utility model.

##### MSC:
 91B16 Utility theory 91B06 Decision theory 91B08 Individual preferences 91B10 Group preferences
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