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The \(\alpha \)-MEU model: a comment. (English) Zbl 1247.91061
Summary: P. Ghirardato, F. Maccheroni and M. Marinacci [J. Econ. Theory 118, No. 2, 133–173 (2004; Zbl 1112.91021)] proposed a method for distinguishing between perceived ambiguity and the decision-maker’s reaction to it. They study a general class of preferences which they refer to as invariant biseparable. This class includes CEU and MEU. They axiomatize a subclass of \(\alpha \)-MEU preferences. If attention is restricted to finite state spaces, we show that any \(\alpha \)-MEU preference relation, satisfies GMM’s axioms if and only if \(\alpha =0\) or \(1\), that is, the preferences must be either maxmin or maxmax. We show by example that these axioms may be satisfied when the state space is \([0,1]\).

91B16 Utility theory
91B06 Decision theory
Full Text: DOI
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