Making the Anscombe-Aumann approach to ambiguity suitable for descriptive applications

The Anscombe-Aumann (AA) model, originally introduced to give a normative basis to expected utility, is nowadays mostly used for another purpose: to analyze deviations from expected utility due to ambiguity (unknown probabilities). The AA model makes two ancillary assumptions that do not refer to ambiguity: expected utility for risk and backward induction. These assumptions, even if normatively appropriate, fail descriptively. This paper relaxes these ancillary assumptions to avoid the descriptive violations, while maintaining AA\xe2\x80\x99s convenient mixture operation. Thus, it becomes possible to test and apply all AA-based ambiguity theories descriptively while avoiding confounds due to violated ancillary assumptions. The resulting tests use only simple stimuli, avoiding noise due to complexity. We demonstrate the latter in a simple experiment where we find that three assumptions about ambiguity, commonly made in AA theories, are violated: reference independence, universal ambiguity aversion, and weak certainty independence. The second, theoretical, part of the paper accommodates the violations found for the first ambiguity theory in the AA model\xe2\x80\x94Schmeidler\xe2\x80\x99s CEU theory\xe2\x80\x94by introducing and axiomatizing a reference dependent generalization. That is, we extend the AA ambiguity model to prospect theory

A simplified axiomatic approach to ambiguity aversion

Ambiguity, Savage axioms, Anscombe–Aumann framework, Independence axiom, Ellsberg paradox, D81,

Continuity and continuous multi-utility representations of nontotal preorders: some considerations concerning restrictiveness

A continuous multi-utility fully represents a not necessarily total preorder on a topological space by means of a family of continuous increasing functions. While it is very attractive for obvious reasons, and therefore it has been applied in different contexts, such as expected utility for example, it is nevertheless very restrictive. In this paper we first present some general characterizations of the existence of a continuous order-preserving function, and respectively a continuous multi-utility representation, for a preorder on a topological space. We then illustrate the restrictiveness associated to the existence of a continuous multi-utility representation, by referring both to appropriate continuity conditions which must be satisfied by a preorder admitting this kind of representation, and to the Hausdorff property of the quotient order topology corresponding to the equivalence relation induced by the preorder. We prove a very restrictive result, which may concisely described as follows: the continuous multi-utility representability of all closed (or equivalently weakly continuous) preorders on a topological space is equivalent to the requirement according to which the quotient topology with respect to the equivalence corresponding to the coincidence of all continuous functions is discrete