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Ambiguity and Second‐Order Belief
Author(s) -
Seo Kyoungwon
Publication year - 2009
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.3982/ecta6727
Subject(s) - ambiguity , order (exchange) , mathematical economics , economics , philosophy , linguistics , finance
Anscombe and Aumann (1963) wrote a classic characterization of subjective expected utility theory. This paper employs the same domain for preference and a closely related (but weaker) set of axioms to characterize preferences that use second‐order beliefs (beliefs over probability measures). Such preferences are of interest because they accommodate Ellsberg‐type behavior.