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Risk, ambiguity, and state-preference theory

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  • Robert Nau

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    File URL: http://hdl.handle.net/10.1007/s00199-011-0632-8
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    Bibliographic Info

    Article provided by Springer in its journal Economic Theory.

    Volume (Year): 48 (2011)
    Issue (Month): 2 (October)
    Pages: 437-467

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    Handle: RePEc:spr:joecth:v:48:y:2011:i:2:p:437-467

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    Related research

    Keywords: Risk aversion; Ambiguity aversion; Smooth model; Ellsberg’s paradox; Risk neutral probabilities; State-preference theory; D800; D810;

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    1. Stern, Nicholas, 1986. "A Note on Commodity Taxation: The Choice of Variable and the Slutsky, Hessian and Antonelli Matrices (SHAM)," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 293-99, April.
    2. Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
    3. Jürgen Eichberger & David Kelsey, 2008. "Are the Treasures of Game Theory Ambiguous?," Working Papers 0469, University of Heidelberg, Department of Economics, revised Jul 2008.
    4. Eichberger, Jurgen & Kelsey, David, 2000. "Non-Additive Beliefs and Strategic Equilibria," Games and Economic Behavior, Elsevier, vol. 30(2), pages 183-215, February.
    5. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2011. "On the Smooth Ambiguity Model: A Reply," Working Papers 410, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    6. Rigotti, Luca & Shannon, Chris, 2001. "Uncertainty and Risk in Financial Markets," Department of Economics, Working Paper Series qt7pp7113z, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    7. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2011. "Definitions of ambiguous events and the smooth ambiguity model," Economic Theory, Springer, vol. 48(2), pages 399-424, October.
    8. Yaari, Menahem E., 1969. "Some remarks on measures of risk aversion and on their uses," Journal of Economic Theory, Elsevier, vol. 1(3), pages 315-329, October.
    9. John Dickhaut & Radhika Lunawat & Kira Pronin & Jack Stecher, 2011. "Decision making and trade without probabilities," Economic Theory, Springer, vol. 48(2), pages 275-288, October.
    10. Mark Machina, 2004. "Almost-objective uncertainty," Economic Theory, Springer, vol. 24(1), pages 1-54, 07.
    11. Robert F. Nau, 2006. "Uncertainty Aversion with Second-Order Utilities and Probabilities," Management Science, INFORMS, vol. 52(1), pages 136-145, January.
    12. Kyoungwon Seo, 2009. "Ambiguity and Second-Order Belief," Econometrica, Econometric Society, vol. 77(5), pages 1575-1605, 09.
    13. Chew, Soo Hong & Sagi, Jacob S., 2008. "Small worlds: Modeling attitudes toward sources of uncertainty," Journal of Economic Theory, Elsevier, vol. 139(1), pages 1-24, March.
    14. Robert Nau, 2001. "De Finetti was Right: Probability Does Not Exist," Theory and Decision, Springer, vol. 51(2), pages 89-124, December.
    15. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
    16. Jayant V Ganguli & Scott Condie, 2008. "Ambiguity and rational expectations equilibria," 2008 Meeting Papers 719, Society for Economic Dynamics.
    17. Karni, Edi & Schmeidler, David & Vind, Karl, 1983. "On State Dependent Preferences and Subjective Probabilities," Econometrica, Econometric Society, vol. 51(4), pages 1021-31, July.
    18. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005. "A Smooth Model of Decision Making under Ambiguity," Econometrica, Econometric Society, vol. 73(6), pages 1849-1892, November.
    19. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 229-242, October.
    20. Duncan, George T, 1977. "A Matrix Measure of Multivariate Local Risk Aversion," Econometrica, Econometric Society, vol. 45(4), pages 895-903, May.
    21. Takashi Hayashi, 2005. "Intertemporal substitution, risk aversion and ambiguity aversion," Economic Theory, Springer, vol. 25(4), pages 933-956, 06.
    22. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    23. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 469-491, October.
    24. Efe A. Ok & Pietro Ortoleva & Gil Riella, 2012. "Incomplete Preferences Under Uncertainty: Indecisiveness in Beliefs versus Tastes," Econometrica, Econometric Society, vol. 80(4), pages 1791-1808, 07.
    25. Karni, Edi, 1979. "On Multivariate Risk Aversion," Econometrica, Econometric Society, vol. 47(6), pages 1391-1401, November.
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    Cited by:
    1. Edi Karni, 2013. "Bayesian decision theory with action-dependent probabilities and risk attitudes," Economic Theory, Springer, vol. 53(2), pages 335-356, June.
    2. Lombardi, Michele & Yoshihara, Naoki, 2011. "A Full Characterization of Nash Implementation with Strategy Space Reduction," Discussion Paper Series a548, Institute of Economic Research, Hitotsubashi University.

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