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Range convexity and ambiguity averse preferences

Ghirardato, Paolo and Marinacci, Massimo (2001) Range convexity and ambiguity averse preferences. Economic Theory, 17 (3). pp. 599-617. ISSN 0938-2259.

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We show that range convexity of beliefs, a `technical' condition that appears naturally in axiomatizations of preferences in a Savage-like framework, imposes some unexpected restrictions when modelling ambiguity averse preferences. That is, when it is added to a mild condition, range convexity makes the preferences collapse to subjective expected utility as soon as they satisfy structural conditions that are typically used to characterize ambiguity aversion.

Item Type:Article
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Additional Information:© 2001 Springer-Verlag. Received: February 25, 2000; revised version: April 17, 2000. This paper was circulated earlier with the title “Convex-Rangedness in Decision Making with Additive and Non-Additive Beliefs”. We thank an anonymous referee, Kim Border, Itzhak Gilboa, and especially Peter Wakker for helpful comments and discussions. Marinacci gratefully acknowledges the financial support of MURST.
Funding AgencyGrant Number
Ministero dell’Università e della Ricerca Scientifico-Tecnologica (MURST)UNSPECIFIED
Subject Keywords:Ambiguity aversion, Biseparable preferences, Choquet expected Utility, Maxmin expected utility, Range convexity
Issue or Number:3
Classification Code:JEL Classification Number: D81
Record Number:CaltechAUTHORS:20170809-101238911
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Official Citation:Ghirardato, P. & Marinacci, M. Econ Theory (2001) 17: 599.
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:80009
Deposited By: Ruth Sustaita
Deposited On:09 Aug 2017 17:44
Last Modified:03 Oct 2019 18:26

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