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Risk, ambiguity, and state-preference theory

  • Robert Nau

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    File URL: http://hdl.handle.net/10.1007/s00199-011-0632-8
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    Article provided by Springer in its journal Economic Theory.

    Volume (Year): 48 (2011)
    Issue (Month): 2 (October)
    Pages: 437-467

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    Handle: RePEc:spr:joecth:v:48:y:2011:i:2:p:437-467
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    1. Karni, Edi, 1979. "On Multivariate Risk Aversion," Econometrica, Econometric Society, vol. 47(6), pages 1391-1401, November.
    2. Jürgen Eichberger & David Kelsey, 2008. "Are the Treasures of Game Theory Ambiguous?," Working Papers 0469, University of Heidelberg, Department of Economics, revised Jul 2008.
    3. Luca Rigotti & Chris Shannon=20, 2002. "Uncertainty and Risk in Financial Markets," Game Theory and Information 0201001, EconWPA.
    4. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002. "A smooth model of decision making under ambiguity," ICER Working Papers - Applied Mathematics Series 11-2003, ICER - International Centre for Economic Research, revised Apr 2003.
    5. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 469-491, October.
    6. Jack Stecher & Radhika Lunawat & Kira Pronin & John Dickhaut, 2007. "Decision Making and Trade without Probabilities," CIRANO Working Papers 2007s-21, CIRANO.
    7. Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
    8. Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2012. "Decision theory under ambiguity," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-00643580, HAL.
    9. Takashi Hayashi, 2005. "Intertemporal substitution, risk aversion and ambiguity aversion," Economic Theory, Springer, vol. 25(4), pages 933-956, 06.
    10. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
    11. Sujoy Mukerji & Peter Klibanoff, 2009. "On the Smooth Ambiguity Model: A Reply," Economics Series Working Papers 449, University of Oxford, Department of Economics.
    12. 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.
    13. repec:oup:restud:v:78:y:2011:i:3:p:821-845 is not listed on IDEAS
    14. Mark Machina, 2004. "Almost-objective uncertainty," Economic Theory, Springer, vol. 24(1), pages 1-54, 07.
    15. K. J. Arrow, 1964. "The Role of Securities in the Optimal Allocation of Risk-bearing," Review of Economic Studies, Oxford University Press, vol. 31(2), pages 91-96.
    16. Chew, Soo Hong & Sagi, Jacob S., 2008. "Small worlds: Modeling attitudes toward sources of uncertainty," Journal of Economic Theory, Elsevier, vol. 139(1), pages 1-24, March.
    17. Sujoy Mukerji & Peter Klibanoff & Massimo Marinacci, 2011. "Definitions of Ambiguous Events and the Smooth Ambiguity Model," Economics Series Working Papers 525, University of Oxford, Department of Economics.
    18. Kyoungwon Seo, 2009. "Ambiguity and Second-Order Belief," Econometrica, Econometric Society, vol. 77(5), pages 1575-1605, 09.
    19. Duncan, George T, 1977. "A Matrix Measure of Multivariate Local Risk Aversion," Econometrica, Econometric Society, vol. 45(4), pages 895-903, May.
    20. Jayant V Ganguli & Scott Condie, 2008. "Ambiguity and rational expectations equilibria," 2008 Meeting Papers 719, Society for Economic Dynamics.
    21. Efe A. Ok & Pietro Ortoleva & Gil Riella, 2012. "Incomplete Preferences Under Uncertainty: Indecisiveness in Beliefs versus Tastes," Econometrica, Econometric Society, vol. 80(4), pages 1791-1808, 07.
    22. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
    23. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 229-242, October.
    24. Eichberger, Jurgen & Kelsey, David, 2000. "Non-Additive Beliefs and Strategic Equilibria," Games and Economic Behavior, Elsevier, vol. 30(2), pages 183-215, February.
    25. Nicholas Stern, 1986. "A Note on Commodity Taxation: The Choice of Variable and the Slutsky, Hessian and Antonelli Matrices (SHAM)," Review of Economic Studies, Oxford University Press, vol. 53(2), pages 293-299.
    26. Robert F. Nau, 2006. "Uncertainty Aversion with Second-Order Utilities and Probabilities," Management Science, INFORMS, vol. 52(1), pages 136-145, January.
    27. Karni, Edi & Schmeidler, David & Vind, Karl, 1983. "On State Dependent Preferences and Subjective Probabilities," Econometrica, Econometric Society, vol. 51(4), pages 1021-31, July.
    28. Robert Nau, 2001. "De Finetti was Right: Probability Does Not Exist," Theory and Decision, Springer, vol. 51(2), pages 89-124, December.
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