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Comment on A theoretical foundation of ambiguity measurement

Fu,Ruonan
; 
Melenberg,Bertrand
; 
Schweizer,Nikolaus
Abstract
In this paper, we study asymptotic expansions for distorted probabilities under ambiguity, revisiting the framework and analysis of Izhakian (2020b). We argue that the first order terms in these expansions need to be corrected and provide alternatives. We also revisit later results in this paper on the separation of ambiguity and ambiguity attitudes. We argue that a crucial lemma is flawed implying that Izhakian's ambiguity measure ℧ 2 is not an equivalent way of representing the preferences it is supposed to represent.
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Publisher Copyright: © 2022 The Author(s)
Date
2023-01
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Tilburg University Research Output Collection
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Keywords
ambiguity, model uncertainty, probability weighting, D81 - Criteria for Decision-Making under Risk and Uncertainty, D84 - Expectations ; Speculations
Citation
Fu, R, Melenberg, B & Schweizer, N 2023, 'Comment on A theoretical foundation of ambiguity measurement', Journal of Economic Theory, vol. 207, 105573. https://doi.org/10.1016/j.jet.2022.105573
URI
https://hdl.handle.net/20.500.14602/78054
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