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Probabilistic sophistication and multiple priors

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  • Massimo Marinacci

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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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File URL: http://www.icer.it/docs/wp2001/Marinacci8-01.pdf
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Bibliographic Info

Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 08-2001.

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Length: 18 pages
Date of creation: Jan 2001
Date of revision:
Handle: RePEc:icr:wpmath:08-2001

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References

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  1. Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research.
  2. 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.
  3. 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.
  4. Ghirardato, Paolo & Klibanoff, Peter & Marinacci, Massimo, 1998. "Additivity with multiple priors," Journal of Mathematical Economics, Elsevier, vol. 30(4), pages 405-420, November.
  5. Zengjing Chen & Larry G. Epstein, 2000. "Ambiguity, risk and asset returns in continuous time," RCER Working Papers 474, University of Rochester - Center for Economic Research (RCER).
  6. 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.
  7. Larry Epstein, 1997. "Uncertainty Aversion," Working Papers epstein-97-01, University of Toronto, Department of Economics.
  8. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  9. Mark J. Machina & David Schmeidler, 1990. "A More Robust Definition of Subjective Probability," Discussion Paper Serie A 306, University of Bonn, Germany.
  10. Epstein, L.G. & Zhang, J., 1998. "Subjective Probabilities on Subjectivity Unambiguous Event," RCER Working Papers 456, University of Rochester - Center for Economic Research (RCER).
  11. Alain Chateauneuf & Fabio Macheronni & Massimo Marinacci & Jean-Marc Tallon, 2005. "Monotone continuous multiple priors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00177057, HAL.
  12. 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.
  13. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  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. Kopylov, Igor, 2010. "Unbounded probabilistic sophistication," Mathematical Social Sciences, Elsevier, vol. 60(2), pages 113-118, September.
  2. Klaus Nehring, 2006. "Decision-Making in the Context of Imprecise Probabilistic Beliefs," Economics Working Papers 0034, Institute for Advanced Study, School of Social Science.
  3. Tomasz Strzalecki, . "Probabilistic Sophistication and Variational Preferences," Working Paper 8337, Harvard University OpenScholar.
  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. 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.
  6. Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research.
  7. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
  8. Sbuelz, A. & Trojani, F., 2002. "Equilibrium Asset Pricing with Time-Varying Pessimism," Discussion Paper 2002-102, Tilburg University, Center for Economic Research.
  9. Qu, Xiangyu, 2013. "Maxmin expected utility with additivity on unambiguous events," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 245-249.
  10. 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.
  11. Simone Cerreia-Vioglio & Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2010. "Rational Preferences under Ambiguity," Carlo Alberto Notebooks 169, Collegio Carlo Alberto.
  12. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2010. "Probabilistic Sophistication, Second Order Stochastic Dominance, and Uncertainty Aversion," Carlo Alberto Notebooks 174, Collegio Carlo Alberto.
  13. Dominiak, Adam & Eichberger, Jürgen & Lefort, Jean-Philippe, 2012. "Agreeable trade with optimism and pessimism," Mathematical Social Sciences, Elsevier, vol. 64(2), pages 119-126.
  14. Zhijun Zhao, 2011. "Preference Relativity, Ambiguity and Social Welfare Evaluation," Working Papers 352011, Hong Kong Institute for Monetary Research.
  15. Enrico Diecidue & Fabio Maccheroni, 2002. "Coherence without Additivity," ICER Working Papers - Applied Mathematics Series 10-2002, ICER - International Centre for Economic Research.

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