an:05939219
Zbl 1247.91061
Eichberger, J??rgen; Grant, Simon; Kelsey, David; Koshevoy, Gleb A.
The \(\alpha \)-MEU model: a comment
EN
J. Econ. Theory 146, No. 4, 1684-1698 (2011).
00284616
2011
j
91B16 91B06
ambiguity; multiple priors; invariant biseparable; Clarke derivative; ambiguity-preference
Summary: \textit{P. Ghirardato, F. Maccheroni} and \textit{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 \([0,1]\).
Zbl 1112.91021