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A Paradox for the “Smooth Ambiguity” Model of Preference

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  • Larry G. Epstein

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 78 (2010)
Issue (Month): 6 (November)
Pages: 2085-2099

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Handle: RePEc:ecm:emetrp:v:78:y:2010:i:6:p:2085-2099

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Cited by:
  1. Sujoy Mukerji & Kevin Sheppard & Fabrice Collard and Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
  2. BERGER, Loïc & BLEICHRODT, Han & EECKHOUDT, Louis, . "Treatment decisions under ambiguity," CORE Discussion Papers RP -2494, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Hui Chen & Nengjiu Ju & Jianjun Miao, . "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics.
  4. Attanasi, Giuseppe & Gollier, Christian & Montesano, Aldo & Pace, Noémie, 2012. "Eliciting ambiguity aversion in unknown and in compound lotteries: A KMM experimental approach," IDEI Working Papers 744, Institut d'Économie Industrielle (IDEI), Toulouse.
  5. Loïc Berger, 2011. "Smooth Ambiguity Aversion in the Small and in the Large," Working Papers ECARES ECARES 2011-020, ULB -- Universite Libre de Bruxelles.
  6. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  7. Leandro Nascimento & Gil Riella, 2013. "Second-order ambiguous beliefs," Economic Theory, Springer, vol. 52(3), pages 1005-1037, April.
  8. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
  9. Giraud, Raphaël, 0. "Second order beliefs models of choice under imprecise risk: non-additive second order beliefs vs. nonlinear second order utility," Theoretical Economics, Econometric Society.
  10. Baillon, Aurélien & Driesen, Bram & Wakker, Peter P., 2012. "Relative concave utility for risk and ambiguity," Games and Economic Behavior, Elsevier, vol. 75(2), pages 481-489.

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