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Ambiguity Author info | Abstract | Publisher info | Download info | Related research | Statistics Eichberger, Jürgen () (Sonderforschungsbereich 504)
Kelsey, David () (Department of Economics, The University of Birmingham)
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registered author(s):
Ambiguity refers to a decision situation under uncertainty when there is incomplete information about the likelihood of events. Different formal models of this notion have been developed with differing implications about the representation of ambiguity and ambiguity aversion.
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Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number
07-50.
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Length: 31 pages
Date of creation: 11 Jul 2007Date of revision:
Handle: RePEc:xrs:sfbmaa:07-50Contact details of provider: Postal: D-68131 Mannheim Phone: (49) (0) 621-292-2547 Fax: (49) (0) 621-292-5594 Email: Web page: http://www.sfb504.uni-mannheim.de/ More information through EDIRC
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Paper Jürgen Eichberger & David Kelsey, 2007.
"Ambiguity ,"
Working Papers
0448, University of Heidelberg, Department of Economics, revised Jul 2007.
[Downloadable!] This paper has been announced in the following NEP Reports :
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.: Chateauneuf, Alain & Eichberger, Jürgen & Grant, Simon, 2003.
"Choice under Uncertainty with the Best and Worst in Mind: Neo-additive Capacities ,"
Sonderforschungsbereich 504 Publications
03-10, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
[Downloadable!]
Other versions:
Grant, Simon & Chateauneuf, A. & Eichberger, J., 2002.
"Choice under Uncertainty with the Best and Worst in Mind: Neo-additive Capacities ,"
Working Papers
2002-10, Rice University, Department of Economics.
[Downloadable!] Chateauneuf, Alain & Eichberger, Jurgen & Grant, Simon, 2007.
"Choice under uncertainty with the best and worst in mind: Neo-additive capacities ,"
Journal of Economic Theory ,
Elsevier, vol. 137(1), pages 538-567, November.
[Downloadable!] (restricted) Epstein, Larry G & Wang, Tan, 1994.
"Intertemporal Asset Pricing Under Knightian Uncertainty ,"
Econometrica ,
Econometric Society, vol. 62(2), pages 283-322, March.
[Downloadable!] (restricted)
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)
Rose-Anne Dana, 2004.
"Ambiguity, uncertainty aversion and equilibrium welfare ,"
Economic Theory ,
Springer, vol. 23(3), pages 569-587, March.
[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.
Machina,Mark & Schmeidler,David, 1991.
"A more robust definition of subjective probability ,"
Discussion Paper Serie A
365, University of Bonn, Germany.
Wakker, Peter P, 2001.
"Testing and Characterizing Properties of Nonadditive Measures through Violations of the Sure-Thing Principle ,"
Econometrica ,
Econometric Society, vol. 69(4), pages 1039-59, July.
Eichberger, Jurgen & Kelsey, David, 2000.
"Non-Additive Beliefs and Strategic Equilibria ,"
Games and Economic Behavior ,
Elsevier, vol. 30(2), pages 183-215, February.
[Downloadable!] (restricted)
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!]
Other versions:
Mukerji, S. & Tallon, J.-M., 1999.
"Ambiguity Aversion and Incompleteness of Financial Markets ,"
Papiers d'Economie Mathématique et Applications
1999-28, Université Panthéon-Sorbonne (Paris 1).
Sujoy Mukerji & Jean-Marc Tallon, 2000.
"Ambiguity Aversion and Incompleteness of Financial Markets ,"
Economics Series Working Papers
046, University of Oxford, Department of Economics.
[Downloadable!] Mukerji, Sujoy & Tallon, Jean-Marc, 2001.
"Ambiguity Aversion and Incompleteness of Financial Markets ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 68(4), pages 883-904, October.
Larry G. Epstein, 2001.
"Sharing Ambiguity ,"
American Economic Review ,
American Economic Association, vol. 91(2), pages 45-50, May.
[Downloadable!] (restricted)
Gilboa, Itzhak, 1987.
"Expected utility with purely subjective non-additive probabilities ,"
Journal of Mathematical Economics ,
Elsevier, vol. 16(1), pages 65-88, February.
[Downloadable!] (restricted)
Tversky, Amos & Wakker, Peter, 1995.
"Risk Attitudes and Decision Weights ,"
Econometrica ,
Econometric Society, vol. 63(6), pages 1255-80, November.
[Downloadable!] (restricted)
Grant, Simon & Quiggin, John, 2005.
"Increasing uncertainty: a definition ,"
Mathematical Social Sciences ,
Elsevier, vol. 49(2), pages 117-141, March.
[Downloadable!] (restricted)
Other versions: Dow, James & Werlang, Sergio Ribeiro da Costa, 1992.
"Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio ,"
Econometrica ,
Econometric Society, vol. 60(1), pages 197-204, January.
[Downloadable!] (restricted)
Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity ,"
Econometrica ,
Econometric Society, vol. 57(3), pages 571-87, May.
[Downloadable!] (restricted)
Ghirardato, Paolo & Marinacci, Massimo, 2002.
"Ambiguity Made Precise: A Comparative Foundation ,"
Journal of Economic Theory ,
Elsevier, vol. 102(2), pages 251-289, February.
[Downloadable!] (restricted)
Quiggin, John, 1982.
"A theory of anticipated utility ,"
Journal of Economic Behavior & Organization ,
Elsevier, vol. 3(4), pages 323-343, December.
[Downloadable!] (restricted)
Kahneman, Daniel & Tversky, Amos, 1979.
"Prospect Theory: An Analysis of Decision under Risk ,"
Econometrica ,
Econometric Society, vol. 47(2), pages 263-91, March.
[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: Jürgen Eichberger & David Kelsey & Burkhard Schipper, 2008.
"Granny Versus Game Theorist: Ambiguity in Experimental Games ,"
Theory and Decision ,
Springer, vol. 64(2), pages 333-362, March.
[Downloadable!] (restricted)
Other versions: Kelsey David & Milne Frank, 1995.
"The Arbitrage Pricing Theorem with Non-expected Utility Preferences ,"
Journal of Economic Theory ,
Elsevier, vol. 65(2), pages 557-574, April.
[Downloadable!] (restricted)
Other versions: Epstein, Larry G, 1999.
"A Definition of Uncertainty Aversion ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 66(3), pages 579-608, July.
[Downloadable!] (restricted)
Sarin, Rakesh K & Wakker, Peter, 1992.
"A Simple Axiomatization of Nonadditive Expected Utility ,"
Econometrica ,
Econometric Society, vol. 60(6), pages 1255-72, November.
[Downloadable!] (restricted)
Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005.
"A Smooth Model of Decision Making under Ambiguity ,"
Econometrica ,
Econometric Society, vol. 73(6), pages 1849-1892, November.
[Downloadable!] (restricted)
Other versions: Lo, Kin Chung, 1996.
"Equilibrium in Beliefs under Uncertainty ,"
Journal of Economic Theory ,
Elsevier, vol. 71(2), pages 443-484, November.
[Downloadable!] (restricted)
Other versions: Kelsey, D., 1996.
"On the Measurement of Uncertainty Aversion ,"
Discussion Papers
96-02, Department of Economics, University of Birmingham.
Alain Chateauneuf & Michèle Cohen & Isaac Meilijson, 2005.
"More pessimism than greediness: a characterization of monotone risk aversion in the Rank-Dependent Expected Utility model ,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00211906_v1, HAL.
[Downloadable!]
Other versions:
Chateauneuf, A. & Cohen, M. & Meilijson, I., 1997.
"More Pessimism than Greediness: A Characterization of Monotone Risk Aversion in the Rank-Dependant Expected Utility Model ,"
Papiers d'Economie Mathématique et Applications
97.53, Université Panthéon-Sorbonne (Paris 1).
Alain Chateauneuf & Michéle Cohen & Isaac Meilijson, 2005.
"More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model ,"
Economic Theory ,
Springer, vol. 25(3), pages 649-667, 04.
[Downloadable!] (restricted) Heath, Chip & Tversky, Amos, 1991.
" Preference and Belief: Ambiguity and Competence in Choice under Uncertainty ,"
Journal of Risk and Uncertainty ,
Springer, vol. 4(1), pages 5-28, January.
Yaari, Menahem E., 1969.
"Some remarks on measures of risk aversion and on their uses ,"
Journal of Economic Theory ,
Elsevier, vol. 1(3), pages 315-329, October.
[Downloadable!] (restricted)
Marinacci, Massimo, 2000.
"Ambiguous Games ,"
Games and Economic Behavior ,
Elsevier, vol. 31(2), pages 191-219, May.
[Downloadable!] (restricted)
Ghirardato, Paolo & Maccheroni, Fabio & Marinacci, Massimo, 2004.
"Differentiating ambiguity and ambiguity attitude ,"
Journal of Economic Theory ,
Elsevier, vol. 118(2), pages 133-173, October.
[Downloadable!] (restricted)
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