Ambiguity aversion and ambiguity content in decision making under uncertainty

The Subjectively Weighted Linear Utility (SWLU) model for decision making under uncertainty can accommodate non-neutral attitudes toward ambiguity. The paper first characterizes ambiguity aversion in terms of the SWLU model parameters. In addition, it shows that ambiguity content may reasonably be regarded as residing in the decision maker’s subjective probabiltiy distribution of induced utility. In particular, (a) a special kind of mean preserving spread of the induced utility distribution will always increase ambiguity content, and (b) utility distributions which are more shiftable by new information have higher ambiguity content.