Advanced Search
MyIDEAS: Login to save this paper or follow this series

A more robust definition of multiple priors

Contents:

Author Info

  • Paolo Ghirardato
  • Marciano Siniscalchi

Abstract

This paper provides a multiple-priors representation of ambiguous beliefs à la Ghirardato, Maccheroni, and Marinacci (2004) and Nehring (2002) for any preference that is (i) monotonic, (ii) Bernoullian, i.e. admits an affine utility representation when restricted to constant acts, and (iii) suitably continuous. Monotonicity is the main substantive assumption: we do not require either Certainty Independence or Uncertainty Aversion. We characterize the set of ambiguous beliefs in terms of Clarke-Rockafellar differentials. This allows us to provide an explicit calculation of the set of priors for several recent decision models: multiplier preferences, the smooth ambiguity model, the vector expected utility model, as well as confidence function, variational, general "uncertainty-averse" preferences, and mean-dispersion preferences.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.carloalberto.org/assets/working-papers/no.144.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 144.

as in new window
Length: 56 pages
Date of creation: 2010
Date of revision:
Handle: RePEc:cca:wpaper:144

Contact details of provider:
Postal: Via Real Collegio, 30, 10024 Moncalieri (To)
Phone: +390116705000
Fax: +390116476847
Email:
Web page: http://www.carloalberto.org/
More information through EDIRC

Related research

Keywords: Multiple Priors; Upper and Lower Probabilities; Ambiguity; Monotonic Preferences;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Luciano Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Economic Theory, Springer, vol. 48(2), pages 243-273, October.
  2. 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.
  3. Cerreia-Vioglio, Simone & Maccheroni, Fabio & Marinacci, Massimo & Montrucchio, Luigi, 2013. "Ambiguity and robust statistics," Journal of Economic Theory, Elsevier, vol. 148(3), pages 974-1049.
    • Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2011. "Ambiguity and Robust Statistics," Working Papers 382, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Dominiak, Adam & Schnedler, Wendelin, 2010. "Attitudes towards Uncertainty and Randomization: An Experimental Study," Working Papers 0494, University of Heidelberg, Department of Economics.
  5. Nabil I. Al-Najjar & Luciano De Castro, 2010. "Uncertainty, Efficiency and Incentive Compatibility," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1532, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  6. Amarante, M & Ghossoub, M & Phelps, E, 2013. "Innovation, Entrepreneurship and Knightian Uncertainty," Working Papers 12241, Imperial College, London, Imperial College Business School.
  7. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  8. Nascimento, Leandro, 2012. "The ex-ante aggregation of opinions under uncertainty," Theoretical Economics, Econometric Society, vol. 7(3), September.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cca:wpaper:144. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Giovanni Bert).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.