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Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

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Author Info
Fabio Maccheroni
Massimo Marinacci
Aldo Rustichini

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Abstract

We characterize, in the Anscombe-Aumann framework, the preferences for which there are a utility functionu on outcomes and an ambiguity indexc on the set of probabilities on the states of the world such that, for all acts f and g, Copyright The Econometric Society 2006.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2006.00716.x
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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 74 (2006)
Issue (Month): 6 (November)
Pages: 1447-1498
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Handle: RePEc:ecm:emetrp:v:74:y:2006:i:6:p:1447-1498

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Alain Chateauneuf & Fabio Maccheroni & Massimo Marinacci & Jean-Marc Tallon, 2005. "Monotone continuous multiple priors," Economic Theory, Springer, vol. 26(4), pages 973-982, November. [Downloadable!] (restricted)
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  2. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March. [Downloadable!] (restricted)
  3. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Dynamic Variational Preferences," Carlo Alberto Notebooks 1, Collegio Carlo Alberto. [Downloadable!]
    Other versions:
  4. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April. [Downloadable!] (restricted)
  5. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation, Yale University. [Downloadable!]
  6. Machina, Mark J & Schmeidler, David, 1992. "A More Robust Definition of Subjective Probability," Econometrica, Econometric Society, vol. 60(4), pages 745-80, July. [Downloadable!] (restricted)
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  7. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004. "Portfolio Selection with Monotone Mean-Variance Preferences," ICER Working Papers - Applied Mathematics Series 27-2004, ICER - International Centre for Economic Research, revised Dec 2004. [Downloadable!]
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  8. Rose-Anne Dana, 2005. "A Representation Result For Concave Schur Concave Functions," Mathematical Finance, Blackwell Publishing, vol. 15(4), pages 613-634. [Downloadable!] (restricted)
  9. Schmeidler, David, 1979. "A bibliographical note on a theorem of Hardy, Littlewood, and Polya," Journal of Economic Theory, Elsevier, vol. 20(1), pages 125-128, February. [Downloadable!] (restricted)
  10. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May. [Downloadable!] (restricted)
  11. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February. [Downloadable!] (restricted)
  12. Massimo Marinacci, 2002. "Probabilistic Sophistication and Multiple Priors," Econometrica, Econometric Society, vol. 70(2), pages 755-764, March. [Downloadable!] (restricted)
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  13. Epstein, Larry G, 1999. "A Definition of Uncertainty Aversion," Review of Economic Studies, Blackwell Publishing, vol. 66(3), pages 579-608, July. [Downloadable!] (restricted)
  14. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September. [Downloadable!] (restricted)
  15. Lars Peter Hansen & Thomas J. Sargent, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Hill, Brian, 2009. "Confidence and ambiguity," Les Cahiers de Recherche 914, HEC Paris. [Downloadable!]
  2. Thibault Gajdos & Takashi Hayashi & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2008. "Attitude toward imprecise information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00177378_v1, HAL. [Downloadable!]
    Other versions:
  3. Massimo Guidolin & Francesca Rinaldi, 2009. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Working Papers 2009-020, Federal Reserve Bank of St. Louis. [Downloadable!]
  4. Michael Woodford, 2005. "Robustly optimal monetary policy with near-rational expectations," Discussion Papers 0506-13, Columbia University, Department of Economics. [Downloadable!]
    Other versions:
  5. Dirk Hackbarth & Jianjun Maio, 2007. "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series WP2007-017, Boston University - Department of Economics. [Downloadable!]
  6. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2008. "Portfolio Selection with Monotone Mean-Variance Preferences," Temi di discussione (Economic working papers) 664, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  7. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
  8. Berliant, Marcus, 2009. "Misbehavioral urban economics," MPRA Paper 14140, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  9. Anat Bracha & Donald J. Brown, 2008. "Affective Decision Making and the Ellsberg Paradox," Cowles Foundation Discussion Papers 1667R, Cowles Foundation, Yale University, revised Aug 2008. [Downloadable!]
  10. Faruk Gul & Wolfgang Pesendorfer, 2008. "Measurable Ambiguity," Levine's Bibliography 122247000000002185, UCLA Department of Economics. [Downloadable!]
  11. Itzhak Gilboa, 2009. "Questions in Decision Theory," Levine's Working Paper Archive 814577000000000335, David K. Levine. [Downloadable!]
  12. Eddie Dekel & Barton L. Lipman, 2009. "How (Not) to Do Decision Theory," Levine's Working Paper Archive 814577000000000339, David K. Levine. [Downloadable!]
  13. Burks, Stephen V. & Carpenter, Jeffrey P. & Goette, Lorenz & Rustichini, Aldo, 2008. "Cognitive Skills Explain Economic Preferences, Strategic Behavior, and Job Attachment," IZA Discussion Papers 3609, Institute for the Study of Labor (IZA). [Downloadable!]
  14. R. Luce & C. Ng & A. Marley & János Aczél, 2008. "Utility of gambling II: risk, paradoxes, and data," Economic Theory, Springer, vol. 36(2), pages 165-187, August. [Downloadable!] (restricted)
  15. Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research. [Downloadable!]
  16. Anat Bracha & Donald J. Brown, 2008. "Affective Decision Making and the Ellsberg Paradox," Cowles Foundation Discussion Papers 1667, Cowles Foundation, Yale University. [Downloadable!]
  17. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2007. "Probability and Uncertainty in Economic Modeling, Second Version," PIER Working Paper Archive 08-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Jan 2008. [Downloadable!]
  18. Elisa Luciano & Elena Vigna, 2006. "Non mean reverting affne processes for stochastic mortality," Carlo Alberto Notebooks 30, Collegio Carlo Alberto. [Downloadable!]
    Other versions:
  19. Chambers, Christopher P. & Echenique, Federico, . "When does aggregation reduce uncertainty aversion?," Working Papers 1299, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
  20. Martins-da-Rocha, V. F., 2009. "Interim efficiency with MEU-preferences," Economics Working Papers (Ensaios Economicos da EPGE) 696, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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