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An overview of economic applications of David Schmeidler`s models of decision making under uncertainty

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Author Info
Sujoy Mukerji
Jean-Marc Tallon

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Abstract

This paper surveys some economic applications of the decision theoretic framework pioneered by David Schmeidler. We have organized the discussion around three themes: financial markets, contractual arrangements and game theory. The first section discusses papers that have contributed to a better understanding of financial market outcomes based on ambiguity aversion. The second section focusses on contractual arrangements and is divided into two sub-sections. The first sub-section reports research on optimal risk sharing arrangements, while in the second sub-section, discusses research on incentive contracts. The third section concentrates on strategic interaction and reviews several papers that have extended different game theoretic solution concepts to settings with ambiguity averse players. A final section deals with several contributions that are linked only at a formal level, in terms of the pure mathematical structures involved, with Schmeidler`s models of decision making under ambiguity. The contributions involve issues such as, inequality measurement, intertemporal decision making and multi-attribute choice.

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Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 165.

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Date of creation: 2003
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Handle: RePEc:oxf:wpaper:165

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Related research
Keywords: Ellsberg Paradox; ambiguity aversion; uncertainty aversion.;

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

References listed on IDEAS
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.:

  1. Sujoy Mukerji & Jean-Marc Tallon, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00174539_v1, HAL. [Downloadable!]
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  2. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November. [Downloadable!] (restricted)
  3. Marinacci, Massimo, 1999. "Limit Laws for Non-additive Probabilities and Their Frequentist Interpretation," Journal of Economic Theory, Elsevier, vol. 84(2), pages 145-195, February. [Downloadable!] (restricted)
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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.)

  1. Jacob Gyntelberg & Frank Hansen, 2004. "Expected Utility Theory with “Small Worlds”," FRU Working Papers 2004/04, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  2. Massimo Guidolin & Francesca Rinaldi, 2009. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Working Papers 2009-020, Federal Reserve Bank of St. Louis. [Downloadable!]
  3. Gabrielle Demange, 2008. "Sharing aggregate risks under moral hazard," PSE Working Papers 2008-27, PSE (Ecole normale supérieure). [Downloadable!]
  4. Sujoy Mukerji, 2009. "Foundations of ambiguity and economic modeling," Economics Series Working Papers 433, University of Oxford, Department of Economics. [Downloadable!]
  5. Daniel Laskar, 2008. "Monetary policy uncertainty and macroeconomic performance: An extended non-bayesian framework," PSE Working Papers 2008-01, PSE (Ecole normale supérieure). [Downloadable!]
  6. Azrieli, Yaron & Teper, Roee, 2009. "Uncertainty aversion and equilibrium existence in games with incomplete information," MPRA Paper 17615, University Library of Munich, Germany. [Downloadable!]
  7. Jacob Gyntelberg & Frank Hansen, 2004. "Expected utility theory with ”small worlds”," Discussion Papers 04-20, University of Copenhagen. Department of Economics, revised Jan 2005. [Downloadable!]
  8. Sujoy Mukerji, 2003. "Ambiguity Aversion and Cost-Plus Procurement Contracts," Economics Series Working Papers 171, University of Oxford, Department of Economics. [Downloadable!]
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