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Objective Rationality and Uncertainty Averse Preferences

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  • Simone Cerreia-Vioglio

Abstract

We provide a bridge between Bewley preferences [2] and Uncertainty averse preferences [4]. In doing this, we generalize the ?ndings of Gilboa, Maccheroni, Marinacci, and Schmeidler [11]. To exemplify this new framework, we then study a class of preferences that we call Constrained Multiplier preferences and that was ?rst proposed by Wang [19].

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Bibliographic Info

Paper provided by IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University in its series Working Papers with number 413.

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Date of creation: 2011
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Handle: RePEc:igi:igierp:413

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References

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  1. Itzhak Gilboa & Fabio Maccheroni & Massimo Marinacci & David Schmeidler, 2008. "Objective and Subjective Rationality in a Multiple Prior Model," Carlo Alberto Notebooks, Collegio Carlo Alberto 73, Collegio Carlo Alberto, revised 2008.
  2. Tomasz Strzalecki, 2011. "Axiomatic Foundations of Multiplier Preferences," Econometrica, Econometric Society, Econometric Society, vol. 79(1), pages 47-73, 01.
  3. Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, American Economic Association, vol. 91(2), pages 60-66, May.
  4. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2008. "Uncertainty Averse Preferences," Carlo Alberto Notebooks, Collegio Carlo Alberto 77, Collegio Carlo Alberto.
  5. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2004. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Carlo Alberto Notebooks, Collegio Carlo Alberto 12, Collegio Carlo Alberto, revised 2006.
  6. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  7. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, Elsevier, vol. 102(2), pages 251-289, February.
  8. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2008. "Complete Monotone Quasiconcave Duality," Carlo Alberto Notebooks, Collegio Carlo Alberto 80, Collegio Carlo Alberto.
  9. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2011. "Ambiguity and Robust Statistics," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 382, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  10. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  11. Nehring, Klaus, 2009. "Imprecise probabilistic beliefs as a context for decision-making under ambiguity," Journal of Economic Theory, Elsevier, Elsevier, vol. 144(3), pages 1054-1091, May.
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Citations

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Cited by:
  1. Eric André, 2014. "Crisp Fair Gambles," Working Papers, HAL halshs-00984352, HAL.
  2. Rigotti, Luca & Shannon, Chris, 2012. "Sharing risk and ambiguity," Journal of Economic Theory, Elsevier, Elsevier, vol. 147(5), pages 2028-2039.
  3. Faro, José Heleno & Lefort, Jean Philippe, 2013. "Dynamic Objective and Subjective Rationality," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_312, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  4. Matthias Lang & Achim Wambach, 2010. "The fog of fraud – mitigating fraud by strategic ambiguity," Working Paper Series of the Max Planck Institute for Research on Collective Goods, Max Planck Institute for Research on Collective Goods 2010_24, Max Planck Institute for Research on Collective Goods.
  5. Grant, Simon & Polak, Ben, 2013. "Mean-dispersion preferences and constant absolute uncertainty aversion," Journal of Economic Theory, Elsevier, Elsevier, vol. 148(4), pages 1361-1398.
  6. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2011. "Ambiguity and Robust Statistics," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 382, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  7. Anna Gumena & Andrei Savochkin, 2012. "Dynamically Stable Preferences," Carlo Alberto Notebooks, Collegio Carlo Alberto 263, Collegio Carlo Alberto.
  8. S. Cerreia-Vioglio & F. Maccheroni & M. Marinacci & A. Rustichini, 2014. "The Structure of Variational Preferences," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 520, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  9. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2010. "Probabilistic Sophistication, Second Order Stochastic Dominance, and Uncertainty Aversion," Carlo Alberto Notebooks, Collegio Carlo Alberto 174, Collegio Carlo Alberto.

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