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A Paradox for the “Smooth Ambiguity” Model of Preference

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  • Larry G. Epstein

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  • Larry G. Epstein, 2010. "A Paradox for the “Smooth Ambiguity” Model of Preference," Econometrica, Econometric Society, vol. 78(6), pages 2085-2099, November.
  • Handle: RePEc:ecm:emetrp:v:78:y:2010:i:6:p:2085-2099
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    References listed on IDEAS

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    1. Nosal, Ed & Wallace, Neil, 2007. "A model of (the threat of) counterfeiting," Journal of Monetary Economics, Elsevier, pages 994-1001.
    2. Veronica Guerrieri, 2008. "Inefficient Unemployment Dynamics under Asymmetric Information," Journal of Political Economy, University of Chicago Press, vol. 116(4), pages 667-708, August.
    3. Kenneth Burdett & Shouyong Shi & Randall Wright, 2001. "Pricing and Matching with Frictions," Journal of Political Economy, University of Chicago Press, vol. 109(5), pages 1060-1085, October.
    4. Moen, E.R., 1995. "Competitive Search Equilibrium," Memorandum 37/1995, Oslo University, Department of Economics.
    5. Alberto Bisin & Piero Gottardi, 2006. "Efficient Competitive Equilibria with Adverse Selection," Journal of Political Economy, University of Chicago Press, vol. 114(3), pages 485-516, June.
    6. Inderst, Roman & Wambach, Achim, 2001. "Competitive insurance markets under adverse selection and capacity constraints," European Economic Review, Elsevier, pages 1981-1992.
    7. Delacroix, Alain & Shi, Shouyong, 2013. "Pricing and signaling with frictions," Journal of Economic Theory, Elsevier, pages 1301-1332.
    8. Faig, Miquel & Jerez, Belen, 2005. "A theory of commerce," Journal of Economic Theory, Elsevier, pages 60-99.
    9. Moen, Espen R, 1997. "Competitive Search Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 105(2), pages 385-411, April.
    10. Moen, Espen R & Rosén, Åsa, 2006. "Incentives in Competitive Search Equilibrium and Wage Rigidity," CEPR Discussion Papers 5554, C.E.P.R. Discussion Papers.
    11. Inderst, Roman & Wambach, Achim, 2001. "Competitive insurance markets under adverse selection and capacity constraints," European Economic Review, Elsevier, pages 1981-1992.
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    Cited by:

    1. Chiaki Hara & Toshiki Honda, 2016. "Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio," KIER Working Papers 943, Kyoto University, Institute of Economic Research.
    2. Berger, Loïc & Bleichrodt, Han & Eeckhoudt, Louis, 2013. "Treatment decisions under ambiguity," Journal of Health Economics, Elsevier, pages 559-569.
    3. Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
    4. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
    5. Gonçalo Faria & João Correia-da-Silva, 2014. "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, pages 125-159.
    6. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    7. Giraud, Raphaël, 2014. "Second order beliefs models of choice under imprecise risk: non-additive second order beliefs vs. nonlinear second order utility," Theoretical Economics, Econometric Society.
    8. Attanasi, Giuseppe Marco & Gollier, Christian & Montesano, Aldo & Pace, Noémie, 2012. "Eliciting ambiguity aversion in unknown and in compound lotteries: A KMM experimental approach," IDEI Working Papers 744, Institut d'Économie Industrielle (IDEI), Toulouse.
    9. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, pages 183-217.
    10. Carvalho, M., 2011. "Essays in behavioral microeconomic theory," Other publications TiSEM 97fbb10e-5f12-420b-b8c4-e, Tilburg University, School of Economics and Management.
    11. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, pages 559-591.
    12. Gonçalo Faria & João Correia-da-Silva, 2011. "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers 399, Universidade do Porto, Faculdade de Economia do Porto.
    13. Jürgen Eichberger & Simon Grant & David Kelsey, 2016. "Randomization and dynamic consistency," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 547-566.
    14. Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
    15. Jürgen Eichberger & Simon Grant & David Kelsey, 2014. "Randomization and Dynamic Consistency," Discussion Papers 1409, Exeter University, Department of Economics.
    16. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, pages 507-531.
    17. Carvalho, M., 2012. "Static vs Dynamic Auctions with Ambiguity Averse Bidders," Discussion Paper 2012-022, Tilburg University, Center for Economic Research.
    18. Baillon, Aurélien & Driesen, Bram & Wakker, Peter P., 2012. "Relative concave utility for risk and ambiguity," Games and Economic Behavior, Elsevier, pages 481-489.
    19. Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
    20. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
    21. Giuseppe Attanasi & Christian Gollier & Aldo Montesano & Noemi Pace, 2014. "Eliciting ambiguity aversion in unknown and in compound lotteries: a smooth ambiguity model experimental study," Theory and Decision, Springer, pages 485-530.
    22. repec:spr:reecde:v:21:y:2017:i:2:d:10.1007_s10058-017-0198-4 is not listed on IDEAS
    23. Leandro Nascimento & Gil Riella, 2013. "Second-order ambiguous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 1005-1037.

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