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Probabilistic Sophistication and Multiple Priors

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  • Massimo Marinacci

    ()
    (Dipartimento di Statistica e Matematica Applicata, Universit� di Torino, Piazza Arbarello 8, 10122 Torino, Italy, and ICER)

Abstract

We show that under fairly mild conditions, a maximin expected utility preference relation is probabilistically sophisticated if and only if it is subjective expected utility.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 70 (2002)
Issue (Month): 2 (March)
Pages: 755-764

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Handle: RePEc:ecm:emetrp:v:70:y:2002:i:2:p:755-764

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References

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  1. Machina, Mark J & Schmeidler, David, 1992. "A More Robust Definition of Subjective Probability," Econometrica, Econometric Society, vol. 60(4), pages 745-80, July.
  2. Massimo Marinacci & Fabio Maccheroni & Alain Chateauneuf & Jean-Marc Tallon, 2003. "Monotone Continuous Multiple Priors," ICER Working Papers - Applied Mathematics Series 30-2003, ICER - International Centre for Economic Research.
  3. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
  4. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
  5. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  6. Larry Epstein, 1997. "Uncertainty Aversion," Working Papers epstein-97-01, University of Toronto, Department of Economics.
  7. Grant, Simon, 1995. "Subjective Probability without Monotonicity: Or How Machina's Mom May Also Be Probabilistically Sophisticated," Econometrica, Econometric Society, vol. 63(1), pages 159-89, January.
  8. Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research.
  9. Casadesus-Masanell, Ramon & Klibanoff, Peter & Ozdenoren, Emre, 2000. "Maxmin Expected Utility over Savage Acts with a Set of Priors," Journal of Economic Theory, Elsevier, vol. 92(1), pages 35-65, May.
  10. Epstein Larry G. & Le Breton Michel, 1993. "Dynamically Consistent Beliefs Must Be Bayesian," Journal of Economic Theory, Elsevier, vol. 61(1), pages 1-22, October.
  11. Ramon Casadesus-Masanell & Peter Klibanoff & Emre Ozdenoren, 1998. "Maximum Expected Utility over Savage Acts with a Set of Priors," Discussion Papers 1218, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  12. Ghirardato, Paolo & Klibanoff, Peter & Marinacci, Massimo, 1998. "Additivity with multiple priors," Journal of Mathematical Economics, Elsevier, vol. 30(4), pages 405-420, November.
  13. Epstein, L.G. & Zhang, J., 1998. "Subjective Probabilities on Subjectivity Unambiguous Event," RCER Working Papers 456, University of Rochester - Center for Economic Research (RCER).
  14. Paolo Ghirardato & Massimo Marinacci, 2000. "The impossibility of compromise: some uniqueness properties of expected utility preferences," Economic Theory, Springer, vol. 16(2), pages 245-258.
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Citations

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Cited by:
  1. Fabio Maccheroni & William H. Ruckle, 2001. "BV as a dual space," ICER Working Papers - Applied Mathematics Series 29-2001, ICER - International Centre for Economic Research.
  2. Enrico Diecidue & Fabio Maccheroni, 2002. "Coherence without Additivity," ICER Working Papers - Applied Mathematics Series 10-2002, ICER - International Centre for Economic Research.
  3. Tomasz, Strzalecki, 2011. "Probabilistic sophistication and variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2117-2125, September.
  4. Ghirardato, Paolo & Maccheroni, Fabio & Marinacci, Massimo, 2004. "Differentiating ambiguity and ambiguity attitude," Journal of Economic Theory, Elsevier, vol. 118(2), pages 133-173, October.
  5. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
  6. Cerreia-Vioglio, Simone & Maccheroni, Fabio & Marinacci, Massimo & Montrucchio, Luigi, 2012. "Probabilistic sophistication, second order stochastic dominance and uncertainty aversion," Journal of Mathematical Economics, Elsevier, vol. 48(5), pages 271-283.
  7. Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research.
  8. Simone Cerreia-Vioglio & Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2011. "Rational preferences under ambiguity," Economic Theory, Springer, vol. 48(2), pages 341-375, October.
  9. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2004. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Carlo Alberto Notebooks 12, Collegio Carlo Alberto, revised 2006.
  10. Fumihiro Yamane & Kyohei Matsushita & Toshio Fujimi & Hideaki Ohgaki & Kota Asano, 2014. "A Simple Way to Elicit Subjective Ambiguity: Application to Low-dose Radiation Exposure in Fukushima," Discussion Papers 1417, Graduate School of Economics, Kobe University.
  11. Dominiak, Adam & Eichberger, Jürgen & Lefort, Jean-Philippe, 2012. "Agreeable trade with optimism and pessimism," Mathematical Social Sciences, Elsevier, vol. 64(2), pages 119-126.
  12. Klaus Nehring, 2006. "Decision-Making in the Context of Imprecise Probabilistic Beliefs," Economics Working Papers 0034, Institute for Advanced Study, School of Social Science.
  13. Kopylov, Igor, 2010. "Unbounded probabilistic sophistication," Mathematical Social Sciences, Elsevier, vol. 60(2), pages 113-118, September.
  14. Zhijun Zhao, 2011. "Preference Relativity, Ambiguity and Social Welfare Evaluation," Working Papers 352011, Hong Kong Institute for Monetary Research.
  15. Qu, Xiangyu, 2013. "Maxmin expected utility with additivity on unambiguous events," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 245-249.
  16. Sbuelz, A. & Trojani, F., 2002. "Equilibrium Asset Pricing with Time-Varying Pessimism," Discussion Paper 2002-102, Tilburg University, Center for Economic Research.

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