527. A note on comparative ambiguity aversion and justi
by P. Battigalli, S. Cerreia-Vioglio, F. Maccheroni, M. Marinacci
We consider a decision maker who ranks actions according to the smooth ambiguity criterion of Klibanoff et al. (2005). An action is justifiable if it is a best reply to some belief over probabilistic models. We show that higher ambiguity aversion expands the set of justifiable actions. In turn, this implies that higher ambiguity aversion expands the set of rationalizable actions of a game. Our results follow from a generalization of the duality lemma of Wald (1949) and Pearce (1984).
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