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Research Details
On the Smooth Ambiguity Model: A Reply, Econometrica
Abstract
We find that Epstein (2010)'s Ellsberg-style thought experiments pose, contrary to his claims, no paradox or difficulty for the smooth ambiguity model of decision making under uncertainty developed by Klibanoff, Marinacci and Mukerji (2005). Not only are the thought experiments naturally handled by the smooth ambiguity model, but our reanalysis shows that they highlight some of its strengths compared to models such as the maxmin expected utility model (Gilboa and Schmeidler, 1989). In particular, these examples pose no challenge to the model's foundations, interpretation of the model as affording a separation of ambiguity and ambiguity attitude or the potential for calibrating ambiguity attitude in the model.
Type
Article
Author(s)
Peter Klibanoff, Massimo Marinacci, Sujoy Mukerji
Date Published
2012
Citations
Klibanoff, Peter, Massimo Marinacci, and Sujoy Mukerji. 2012. On the Smooth Ambiguity Model: A Reply. Econometrica. 80(3): 1303-1321.
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