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Title: Random Ambiguity
We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified using binary choices. A novel stochastic order on random sets is introduced that characterizes greater uncertainty aversion under stochastic choice. If the set of priors is the Aumann expectation of the random set, then choices satisfy dynamic consistency. This corresponds to an agent who knows the distribution of signals but is uncertain about how to interpret signal realizations. More broadly, the analysis of stochastic properties of random ambiguity attitudes provides a theoretical foundation for the study of models of random non-linear utility.  more » « less
Award ID(s):
1919275
PAR ID:
10230654
Author(s) / Creator(s):
Editor(s):
Spiegler, Ran
Date Published:
Journal Name:
Theoretical economics
Volume:
16
Issue:
2
ISSN:
1933-6837
Page Range / eLocation ID:
539-570
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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