When Does Ambiguity Fade Away?

9 Pages Posted: 30 Oct 2019

See all articles by Filippo Massari

Filippo Massari

Bocconi University - Department of Decision Sciences

Jonathan Newton

Kyoto University - Institute of Economic Research

Date Written: October 22, 2019

Abstract

Is long-run ambiguity a possible outcome of the multiple prior Bayesian learning model? If the prior support is finite, long-run ambiguity is known to be a possible outcome only if the learning problem is misspecified (Marinacci-Massari 2019). Conversely, here we show that, under natural assumptions, ambiguity fades away on most paths if the prior support is naturally rich.

Keywords: ambiguity, learning, robust statistical decisions, misspecified learning

JEL Classification: D81, D83, C11

Suggested Citation

Massari, Filippo and Newton, Jonathan, When Does Ambiguity Fade Away? (October 22, 2019). Available at SSRN: https://ssrn.com/abstract=3473625

Filippo Massari (Contact Author)

Bocconi University - Department of Decision Sciences ( email )

Via Roentgen 1
Milan, 20136
Italy

Jonathan Newton

Kyoto University - Institute of Economic Research ( email )

Yoshida-Honmachi
Sakyo-ku
Kyoto 606-8501
JAPAN

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