Econometrica: Sep 2009, Volume 77, Issue 5

Ambiguity and Second‐Order Belief
p. 1575-1605

Kyoungwon Seo

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.

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