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Uncertainty averse preferences

  • Cerreia-Vioglio, S.
  • Maccheroni, F.
  • Marinacci, M.
  • Montrucchio, L.

We study uncertainty averse preferences, that is, complete and transitive preferences that are convex and monotone. We establish a representation result, which is at the same time general and rich in structure. Many objective functions commonly used in applications are special cases of this representation.

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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 146 (2011)
Issue (Month): 4 (July)
Pages: 1275-1330

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Handle: RePEc:eee:jetheo:v:146:y:2011:i:4:p:1275-1330
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  1. Massimo Marinacci & Fabio Maccheroni & Alain Chateauneuf & Jean-Marc Tallon, 2003. "Monotone Continuous Multiple Priors," ICER Working Papers - Applied Mathematics Series 30-2003, ICER - International Centre for Economic Research.
  2. 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.
  3. Larry G. Epstein, 1999. "A Definition of Uncertainty Aversion," Review of Economic Studies, Oxford University Press, vol. 66(3), pages 579-608.
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  9. Tomasz Strzalecki, . "Axiomatic Foundations of Multiplier Preferences," Working Paper 8239, Harvard University OpenScholar.
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  14. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Macroeconomic Risk," American Economic Review, American Economic Association, vol. 97(2), pages 1-30, May.
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  17. Machina,Mark & Schmeidler,David, 1991. "A more robust definition of subjective probability," Discussion Paper Serie A 365, University of Bonn, Germany.
  18. Massimo Marinacci & Luigi Montrucchio, 2006. "On Concavity and Supermodularity," Carlo Alberto Notebooks 5, Collegio Carlo Alberto.
  19. Itzhak Gilboa & Fabio Maccheroni & Massimo Marinacci & David Schmeidler, 2008. "Objective and Subjective Rationality in a Multiple Prior Model," Carlo Alberto Notebooks 73, Collegio Carlo Alberto, revised 2008.
  20. Diewert, W.E., 1993. "Duality approaches to microeconomic theory," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 12, pages 535-599 Elsevier.
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  23. F J Anscombe & R J Aumann, 2000. "A Definition of Subjective Probability," Levine's Working Paper Archive 7591, David K. Levine.
  24. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2008. "Complete Monotone Quasiconcave Duality," Carlo Alberto Notebooks 80, Collegio Carlo Alberto.
  25. Hanany Eran & Klibanoff Peter, 2009. "Updating Ambiguity Averse Preferences," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 9(1), pages 1-53, November.
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