Differentiating Ambiguity and Ambiguity Attitude∗

The objective of this paper is to show how ambiguity, and a decision maker (DM)’s response to it, can be modelled formally in the context of a general decision model. We introduce a relation derived from the DM’s preferences, called “unambiguous pref-erence”, and show that it can be represented by a set of probabilities. We provide such set with a simple differential characterization, and argue that it is a behavioral representation of the “ambiguity ” that the DM may perceive. Given such revealed ambiguity, we pro-vide a representation of ambiguity attitudes. We also characterize axiomatically a special case of our decision model, the “α-maxmin ” expected utility model. Journal of Economi