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Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data

Author

Listed:
  • Stefania Minardi

    () (Economics and Decision Sciences Department, HEC Paris, 78351, Jouy-en-Josas, France)

  • Andrei Savochkin

    () (New Economic School, Skolkovo, 143025 Moscow, Russia)

Abstract

In the Anscombe-Aumann setup, we provide conditions for a collection of observations to be consistent with a well-known class of smooth ambiguity preferences (Klibanoff P, Marinacci M, Mukerji S (2005) A smooth model of decision making under ambiguity. Econometrica 73(6):1849–1892.). Each observation is assumed to take the form of an equivalence between an uncertain act and a certain outcome. We provide three results that describe these conditions for data sets of different cardinality. Our findings uncover surprising links between the smooth ambiguity model and classic mathematical results in complex and functional analysis.

Suggested Citation

  • Stefania Minardi & Andrei Savochkin, 2017. "Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data," Mathematics of Operations Research, INFORMS, vol. 42(1), pages 167-178, January.
  • Handle: RePEc:inm:ormoor:v:42:y:2017:i:1:p:167-178
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    File URL: http://dx.doi.org/10.1287/moor.2016.0799
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    References listed on IDEAS

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