Probabilistically Sophisticated Multiple Priors

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Probabilistically Sophisticated Multiple Priors

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Simon Grant (Department of Economics, Rice University)
Atsushi Kajii (Institute of Economic Research, Kyoto University)

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Abstract

We characterize the intersection of the probabilistically sophisticated and multiple prior models. We show this class is strictly larger than the subjective expected utility model and that its elements can be generated from a generalized class of the -contaminated priors, which we dub the - contaminated/ -truncated prior.

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Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 608.

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Length: 27pages
Date of creation: Oct 2005
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Handle: RePEc:kyo:wpaper:608

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Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-12-20 (All new papers)
NEP-ECM-2005-12-20 (Econometrics)
NEP-UPT-2005-12-20 (Utility Models & Prospect Theory)

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Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April. [Downloadable!] (restricted)
Machina, Mark J & Schmeidler, David, 1992. "A More Robust Definition of Subjective Probability," Econometrica, Econometric Society, vol. 60(4), pages 745-80, July. [Downloadable!] (restricted)
Other versions:
- Mark J. Machina & David Schmeidler, 1990. "A More Robust Definition of Subjective Probability," University of California at San Diego, Economics Working Paper Series 90-29, Department of Economics, UC San Diego.
- Mark J. Machina & David Schmeidler, 1990. "A More Robust Definition of Subjective Probability," Discussion Paper Serie A 306, University of Bonn, Germany.
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Itzhak Gilboa & David Schmeidler, 1992. "Canonical Representation of Set Functions," Discussion Papers 986, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
Haluk Ergin & Faruk Gul, 2003. "A Subjective Theory of Compound Lotteries," Levine's Bibliography 506439000000000406, UCLA Department of Economics. [Downloadable!]
Other versions:
- Haluk Ergin & Faruk Gul, 2004. "A subjective theory of compound lotteries," Econometric Society 2004 North American Summer Meetings 152, Econometric Society. [Downloadable!]
Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November. [Downloadable!] (restricted)
Other versions:
- 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. [Downloadable!]
Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2004. "Search and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 119(2), pages 299-333, December. [Downloadable!] (restricted)
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Safra, Zvi & Segal, Uzi, 1998. "Constant Risk Aversion," Journal of Economic Theory, Elsevier, vol. 83(1), pages 19-42, November. [Downloadable!] (restricted)
Epstein, Larry G & Zhang, Jiankang, 2001. "Subjective Probabilities on Subjectively Unambiguous Events," Econometrica, Econometric Society, vol. 69(2), pages 265-306, March.
Other versions:
- Larry G. Epstein & Jiankang Zhang, 1999. "Subjective Probabilities on Subjectively Unambiguous Events," Carleton Economic Papers 99-18, Carleton University, Department of Economics. [Downloadable!]
Massimo Marinacci, 2002. "Probabilistic Sophistication and Multiple Priors," Econometrica, Econometric Society, vol. 70(2), pages 755-764, March. [Downloadable!] (restricted)
Other versions:
- Massimo Marinacci, 2001. "Probabilistic sophistication and multiple priors," ICER Working Papers - Applied Mathematics Series 08-2001, ICER - International Centre for Economic Research. [Downloadable!]
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. [Downloadable!] (restricted)
Epstein, Larry G, 1999. "A Definition of Uncertainty Aversion," Review of Economic Studies, Blackwell Publishing, vol. 66(3), pages 579-608, July. [Downloadable!] (restricted)
Kin Chung Lo, 1998. "Epistemic Conditions for Agreement and Stochastic Independence of epsilon-Contaminated Beliefs," Working Papers 1998_02, York University, Department of Economics. [Downloadable!]
Grant, Simon & Karni, Edi, 2004. "A theory of quantifiable beliefs," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 515-546, August. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Jan Werner, 2009. "Risk and risk aversion when states of nature matter," Economic Theory, Springer, vol. 41(2), pages 231-246, November. [Downloadable!] (restricted)

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