A Note on Comparative Ambiguity Aversion and Justifiability
P. Battigalli, S. Cerreia-Vioglio, F. Maccheroni, M. Marinacci
Econometrica · 2016 · Volume 84 · Issue 5
Abstract
We consider a decision maker who ranks actions according to the smooth ambiguity criterion of Klibanoff, Marinacci, and Mukerji (2005). An action is justifiable if it is a best reply to some belief over probabilistic models. We show that higher ambiguity aversion expands the set of justifiable actions. A similar result holds for risk aversion. Our results follow from a generalization of the duality lemma of Wald (1949) and Pearce (1984).
Keywords
Comparative ambiguity aversion, justifiability, rationalizability
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