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Larry Epstein

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzaleck, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Boston University - Department of Economics - Working Papers Series WP2013-002, Boston University - Department of Economics.

    Mentioned in:

    1. The price of long-run risk
      by Economic Logician in Economic Logic on 2013-11-12 20:49:00
  2. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.

    Mentioned in:

    1. About very large risk aversion estimates
      by Economic Logician in Economic Logic on 2011-08-05 19:59:00
    2. The price of long-run risk
      by Economic Logician in Economic Logic on 2013-11-12 20:49:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Larry G. Epstein & Martin Schneider, 2007. "Learning Under Ambiguity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1275-1303.

    Mentioned in:

    1. Learning Under Ambiguity (REStud 2007) in ReplicationWiki ()

Working papers

  1. Zengjing Chen & Larry G. Epstein & Guodong Zhang, 2021. "A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits," Papers 2106.05472, arXiv.org, revised May 2022.

    Cited by:

    1. Zengjing Chen & Larry G. Epstein & Guodong Zhang, 2022. "Approximate optimality and the risk/reward tradeoff in a class of bandit problems," Papers 2210.08077, arXiv.org, revised Dec 2023.

  2. Larry G. Epstein & Yoram Halevy, 2019. "Hard-to-Interpret Signals," Working Papers tecipa-634, University of Toronto, Department of Economics.

    Cited by:

    1. Philippe Jehiel & Juni Singh, 2021. "Multi-state choices with aggregate feedback on unfamiliar alternatives," Post-Print halshs-03672197, HAL.
    2. Castagnetti, Alessandro & Schmacker, Renke, 2022. "Protecting the ego: Motivated information selection and updating," European Economic Review, Elsevier, vol. 142(C).

  3. Larry G. Epstein & Yoram Halevy, 2017. "Ambiguous Correlation," Boston University - Department of Economics - Working Papers Series WP2017-006, Boston University - Department of Economics.

    Cited by:

    1. Halevy, Yoram & Ozdenoren, Emre, 2008. "Uncertainty and Compound Lotteries: Calibration," Microeconomics.ca working papers yoram_halevy-2008-7, Vancouver School of Economics, revised 17 Jun 2008.
    2. Aurélien Baillon & Yoram Halevy & Chen Li, 2022. "Experimental elicitation of ambiguity attitude using the random incentive system," Experimental Economics, Springer;Economic Science Association, vol. 25(3), pages 1002-1023, June.
    3. Filiz-Ozbay, Emel & Gulen, Huseyin & Masatlioglu, Yusufcan & Ozbay, Erkut Y., 2022. "Comparing ambiguous urns with different sizes," Journal of Economic Theory, Elsevier, vol. 199(C).
    4. Ilke AYDOGAN & Loïc BERGER & Valentina BOSETTI & Ning LIU, 2022. "Three layers of uncertainty," Working Papers 2022-iRisk-01, IESEG School of Management.
    5. Loïc Berger & Valentina Bosetti, 2020. "Characterizing ambiguity attitudes using model uncertainty," Post-Print hal-03031502, HAL.
    6. Ilke Aydogan & Loïc Berger & Valentina Bosetti & Ning Liu, 2022. "Three layers of uncertainty," Working Papers hal-03031751, HAL.
    7. Yi Li, 2021. "The ABC mechanism: an incentive compatible payoff mechanism for elicitation of outcome and probability transformations," Experimental Economics, Springer;Economic Science Association, vol. 24(3), pages 1019-1046, September.
    8. Safra, Zvi & Segal, Uzi, 2022. "A lot of ambiguity," Journal of Economic Theory, Elsevier, vol. 200(C).
    9. Helen Hui Huang & Yanjie Wang & Shunming Zhang, 2021. "Heterogeneous Beliefs, Limited Participation and Flight-to-Quality," Annals of Economics and Finance, Society for AEF, vol. 22(2), pages 467-524, November.
    10. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2021. "Robust state-dependent mean–variance portfolio selection: a closed-loop approach," Finance and Stochastics, Springer, vol. 25(3), pages 529-561, July.
    11. Cason, Timothy N. & Sharma, Tridib & Vadovič, Radovan, 2020. "Correlated beliefs: Predicting outcomes in 2 × 2 games," Games and Economic Behavior, Elsevier, vol. 122(C), pages 256-276.
    12. Timothy N. Cason & Tridib Sharma & Radovan Vadovic, 2019. "Corelated beliefs: Predicting outcomes in 2X2 games," Purdue University Economics Working Papers 1321, Purdue University, Department of Economics.
    13. Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022. "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, vol. 203(C).
    14. Ilke Aydogan & Loïc Berger & Vincent Théroude, 2023. "More Ambiguous or More Complex? An Investigation of Individual Preferences under Uncertainty," Working Papers of BETA 2023-10, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    15. Levy, Gilat & Razin, Ronny, 2022. "Combining forecasts in the presence of ambiguity over correlation structures," Journal of Economic Theory, Elsevier, vol. 199(C).
    16. Evan Calford, 2017. "Uncertainty Aversion in Game Theory: Experimental Evidence," Purdue University Economics Working Papers 1291, Purdue University, Department of Economics.
    17. Helen Hui Huang & Yanjie Wang & Shunming Zhang, 2023. "Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4604-4626, October.
    18. Masaki Aoyagi & Takehito Masuda & Naoko Nishimura, 2021. "Strategic Uncertainty and Probabilistic Sophistication," ISER Discussion Paper 1117, Institute of Social and Economic Research, Osaka University.
    19. Ilke Aydogan, 2021. "Prior Beliefs and Ambiguity Attitudes in Decision from Experience," Management Science, INFORMS, vol. 67(11), pages 6934-6945, November.
    20. Ilke Aydogan & Lo?c Berger & Valentina Bosetti & Ning Liu, 2018. "Three Layers of Uncertainty: an Experiment," Working Papers 2018.24, Fondazione Eni Enrico Mattei.
    21. Makarov, Dmitry, 2021. "Optimal portfolio under ambiguous ambiguity," Finance Research Letters, Elsevier, vol. 43(C).
    22. Ilke AYDOGAN & Loïc BERGER & Vincent THEROUDE, 2023. "More Ambiguous or More Complex? An Investigation of Individual Preferences under Model Uncertainty," Working Papers 2023-iRisk-02, IESEG School of Management.
    23. Cathleen Johnson & Aurélien Baillon & Han Bleichrodt & Zhihua Li & Dennie Dolder & Peter P. Wakker, 2021. "Prince: An improved method for measuring incentivized preferences," Journal of Risk and Uncertainty, Springer, vol. 62(1), pages 1-28, February.
    24. Lin, Qian & Luo, Yulei & Sun, Xianming, 2022. "Robust investment strategies with two risky assets," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    25. Sautua, Santiago I., 2020. "When diversification clashes with the reinforcement heuristic: An experimental investigation," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 196-211.
    26. Henrique de Oliveira & Yuhta Ishii & Xiao Lin, 2021. "Robust Merging of Information," Papers 2106.00088, arXiv.org.
    27. Julian Holzermann, 2023. "Optimal Investment with Stochastic Interest Rates and Ambiguity," Papers 2306.13343, arXiv.org, revised Oct 2023.
    28. Lee, Velma & Viale, Ariel M., 2023. "Total factor productivity in East Asia under ambiguity," Economic Modelling, Elsevier, vol. 121(C).

  4. Larry G. Epstein & Shaolin Ji, 2017. "Optimal Learning and Ellsberg’s Urns," Boston University - Department of Economics - Working Papers Series WP2017-010, Boston University - Department of Economics.

    Cited by:

    1. Ian Dew-Becker & Charles G. Nathanson, 2017. "Directed Attention and Nonparametric Learning," NBER Working Papers 23917, National Bureau of Economic Research, Inc.

  5. Larry G. Epstein & Shaolin Ji, 2017. "Optimal Learning under Robustness and Time-Consistency," Papers 1708.01890, arXiv.org, revised Mar 2019.

    Cited by:

    1. Farzad Pourbabaee, 2022. "Robust experimentation in the continuous time bandit problem," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(1), pages 151-181, February.
    2. Luis H. R. Alvarez E. & Soren Christensen, 2019. "The Impact of Ambiguity on the Optimal Exercise Timing of Integral Option Contracts," Papers 1906.07533, arXiv.org.
    3. Roxane Bricet, 2018. "The price for instrumentally valuable information," THEMA Working Papers 2018-10, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    4. Farzad Pourbabaee, 2021. "Robust Experimentation in the Continuous Time Bandit Problem," Papers 2104.00102, arXiv.org.
    5. Luis H. R. Alvarez E. & Soren Christensen, 2019. "A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty," Papers 1907.04046, arXiv.org.

  6. Larry G. Epstein & Hiroaki Kaido & Kyoungwon Seo, 2015. "Robust confidence regions for incomplete models," CeMMAP working papers 20/15, Institute for Fiscal Studies.

    Cited by:

    1. Zvi Safra & Uzi Segal, 2018. "A Lot of Ambiguity," Boston College Working Papers in Economics 954, Boston College Department of Economics, revised 31 Mar 2020.
    2. Hyejin Cho, 2017. "Economics Of Regulation: Credit Rationing And Excess Liquidity," Post-Print hal-01375423, HAL.
    3. Francesca Molinari, 2020. "Microeconometrics with Partial Identification," Papers 2004.11751, arXiv.org.
    4. Hiroaki Kaido & Yi Zhang, 2019. "Robust likelihood ratio tests for incomplete economic models," CeMMAP working papers CWP68/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Safra, Zvi & Segal, Uzi, 2022. "A lot of ambiguity," Journal of Economic Theory, Elsevier, vol. 200(C).
    6. Xiaoyu Cheng, 2022. "Robust Data-Driven Decisions Under Model Uncertainty," Papers 2205.04573, arXiv.org.
    7. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Chen, Zengjing & Epstein, Larry G. & Zhang, Guodong, 2023. "A central limit theorem, loss aversion and multi-armed bandits," Journal of Economic Theory, Elsevier, vol. 209(C).
    9. Chen, Zengjing & Epstein, Larry G., 2022. "A central limit theorem for sets of probability measures," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 424-451.
    10. Shuowen Chen & Hiroaki Kaido, 2022. "Robust Tests of Model Incompleteness in the Presence of Nuisance Parameters," Papers 2208.11281, arXiv.org, revised Sep 2023.
    11. Undral Byambadalai, 2022. "Identification and Inference for Welfare Gains without Unconfoundedness," Papers 2207.04314, arXiv.org.
    12. Leung, Michael P., 2019. "A weak law for moments of pairwise stable networks," Journal of Econometrics, Elsevier, vol. 210(2), pages 310-326.

  7. Epstein, Larry G. & Halevy, Yoram, 2014. "No Two Experiments are Identical," Microeconomics.ca working papers yoram_halevy-2014-9, Vancouver School of Economics, revised 15 Feb 2017.

    Cited by:

    1. Epstein, Larry G. & Seo, Kyoungwon, 2014. "De Finetti meets Ellsberg," Research in Economics, Elsevier, vol. 68(1), pages 11-26.
    2. Pierpaolo Battigalli & Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2017. "Mixed extensions of decision problems under uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(4), pages 827-866, April.
    3. Olivier Armantier & Nicolas Treich, 2016. "The Rich Domain of Risk," Management Science, INFORMS, vol. 62(7), pages 1954-1969, July.
    4. Evan Calford, 2017. "Uncertainty Aversion in Game Theory: Experimental Evidence," Purdue University Economics Working Papers 1291, Purdue University, Department of Economics.
    5. Kfir Eliaz & Pietro Ortoleva, 2016. "Multidimensional Ellsberg," Management Science, INFORMS, vol. 62(8), pages 2179-2197, August.

  8. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzaleck, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Boston University - Department of Economics - Working Papers Series WP2013-002, Boston University - Department of Economics.

    Cited by:

    1. Bossaerts, Peter & Suzuki, Shinsuke & O’Doherty, John P., 2019. "Perception of intentionality in investor attitudes towards financial risks," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 189-197.
    2. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
    3. van der Ploeg, Frederick & ,, 2018. "Pricing Carbon Under Economic and Climactic Risks: Leading-Order Results from Asymptotic Analysis," CEPR Discussion Papers 12642, C.E.P.R. Discussion Papers.
    4. Suvrat Dhanorkar & Suresh Muthulingam, 2020. "Do E‐Waste Laws Create Behavioral Spillovers? Quasi‐Experimental Evidence from California," Production and Operations Management, Production and Operations Management Society, vol. 29(7), pages 1738-1766, July.
    5. Stan Olijslagers & Sweder van Wijnbergen, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," Tinbergen Institute Discussion Papers 19-030/VI, Tinbergen Institute.
    6. Rick Van der Ploeg & Ton S. Van den Bremer, 2018. "The Risk-Adjusted Carbon Price," OxCarre Working Papers 203, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    7. Lorenzo Maria Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Papers 2304.04599, arXiv.org, revised Jul 2023.
    8. Mohammed Abdellaoui & Enrico Diecidue & Emmanuel Kemel & Ayse Onculer, 2021. "Temporal Risk Resolution: Utility versus Probability Weighting Approaches," Working Papers hal-03330225, HAL.
    9. Stan Olijslagers & Rick van der Ploeg & Sweder van Wijnbergen, 2021. "On current and future carbon prices in a risky world," Tinbergen Institute Discussion Papers 21-045/VI, Tinbergen Institute.
    10. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    11. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    12. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    13. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
    14. John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.
    15. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
    16. Rick van der Ploeg, 2020. "Discounting and Climate Policy," CESifo Working Paper Series 8441, CESifo.
    17. Frederick Ploeg, 2021. "Carbon pricing under uncertainty," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 28(5), pages 1122-1142, October.
    18. George M. Constantinides & Anisha Ghosh, 2017. "Asset Pricing with Countercyclical Household Consumption Risk," Journal of Finance, American Finance Association, vol. 72(1), pages 415-460, February.
    19. Patrick DeJarnette & David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2014. "Time Lotteries and Stochastic Impatience," PIER Working Paper Archive 18-021, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 13 Jun 2018.
    20. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    21. Harrison Hong & Neng Wang & Jinqiang Yang, 2023. "Mitigating Disaster Risks in the Age of Climate Change," Econometrica, Econometric Society, vol. 91(5), pages 1763-1802, September.
    22. Tomas E. Caravello & John Driffill & Turalay Kenc & Martin Sola, 2023. "Risk Aversion and Changes in Regime," Working Papers 237, Red Nacional de Investigadores en Economía (RedNIE).
    23. Hassan, Tarek & Mertens, Thomas M., 2014. "The Social Cost of Near-Rational Investment," CEPR Discussion Papers 10007, C.E.P.R. Discussion Papers.
    24. Eric T. Swanson, 2019. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," NBER Working Papers 25764, National Bureau of Economic Research, Inc.
    25. Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020. "Time-varying inflation risk and stock returns," Journal of Financial Economics, Elsevier, vol. 136(2), pages 444-470.
    26. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
    27. Patrick DeJarnette & David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2015. "Time Lotteries," PIER Working Paper Archive 15-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 31 Jul 2015.
    28. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    29. David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2018. "Stochastic Impatience and the Separation of Time and Risk Preferences," PIER Working Paper Archive 18-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 08 Sep 2018.
    30. Andreasen, Martin M. & Jørgensen, Kasper, 2020. "The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 95-117.
    31. Burkhard Heer & Alfred Maußner & Halvor Ruf, 2017. "Q-Targeting in New Keynesian Models," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(2), pages 189-224, November.
    32. Antoine Bommier & Daniel Harenberg & François Le Grand & Cormac O'Dea, 2020. "Recursive Preferences, the Value of Life, and Household Finance," Cowles Foundation Discussion Papers 2231R, Cowles Foundation for Research in Economics, Yale University, revised Dec 2020.
    33. Alexander M. Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2020. "Necessary Evidence For A Risk Factor’s Relevance," NBER Working Papers 27227, National Bureau of Economic Research, Inc.
    34. Stanca Lorenzo, 2023. "Recursive preferences, correlation aversion, and the temporal resolution of uncertainty," Working papers 080, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    35. Tatyana Marchuk & Christian Schlag & Mariano Croce, 2017. "The Leading Premium," 2017 Meeting Papers 1251, Society for Economic Dynamics.
    36. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
    37. Bai, Hang & Zhang, Lu, 2022. "Searching for the equity premium," Journal of Financial Economics, Elsevier, vol. 143(2), pages 897-926.
    38. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    39. Christian Gollier, 2021. "The Welfare Cost of Ignoring the Beta," Working Papers 2021.03, Fondazione Eni Enrico Mattei.
    40. de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
    41. Klaus Adam & Johannes Beutel & Albert Marcet, 2014. "Stock Price Booms and Expected Capital Gains," UFAE and IAE Working Papers 948.14, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    42. Asen Kochov & Yangwei Song, 2023. "Intertemporal Hedging and Trade in Repeated Games With Recursive Utility," Econometrica, Econometric Society, vol. 91(6), pages 2333-2369, November.
    43. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    44. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2020. "Implied Volatility Duration: A measure for the timing of uncertainty resolution," SAFE Working Paper Series 265, Leibniz Institute for Financial Research SAFE.
    45. Patrick DeJarnette & David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2014. "Time Lotteries, Second Version," PIER Working Paper Archive 15-026v2, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 12 Jan 2018.
    46. Richard Kihlstrom & Christian Gollier, 2016. "Early resolution of uncertainty and asset prices," 2016 Meeting Papers 475, Society for Economic Dynamics.
    47. Anastasios G. Karantounias, 2013. "Optimal Fiscal Policy with Recursive Preferences," FRB Atlanta Working Paper 2013-07, Federal Reserve Bank of Atlanta.
    48. Frank N. Caliendo & Maria Casanova & Aspen Gorry & Sita Slavov, 2016. "The Welfare Cost of Retirement Uncertainty," NBER Working Papers 22609, National Bureau of Economic Research, Inc.
    49. M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019. "The Leading Premium," NBER Working Papers 25633, National Bureau of Economic Research, Inc.
    50. Croce, Mariano M., 2021. "Growth risks, asset prices, and welfare," Economics Letters, Elsevier, vol. 202(C).
    51. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    52. Martin M. Andreasen, 2021. "The New Keynesian Model and Bond Yields," CREATES Research Papers 2021-01, Department of Economics and Business Economics, Aarhus University.
    53. Thomas Douenne, 2020. "Disaster risks, disaster strikes, and economic growth: The role of preferences," Post-Print halshs-02973075, HAL.
    54. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
    55. Daria Pignalosa, 2019. "On the role of the utility function in the estimation of preference parameters," Metroeconomica, Wiley Blackwell, vol. 70(4), pages 793-820, November.
    56. Claudia Kelsall & Martin F Quaas & Nicolas Quérou, 2022. "Risk aversion in renewable resource harvesting," CEE-M Working Papers hal-03696726, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
    57. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    58. Al-Najjar, Nabil I. & Shmaya, Eran, 2019. "Recursive utility and parameter uncertainty," Journal of Economic Theory, Elsevier, vol. 181(C), pages 274-288.
    59. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.
    60. Meissner, Thomas & Pfeiffer, Philipp, 2022. "Measuring preferences over the temporal resolution of consumption uncertainty," Journal of Economic Theory, Elsevier, vol. 200(C).
    61. Tyler Abbot, 2017. "General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences," Papers 1706.05877, arXiv.org, revised Jun 2018.
    62. Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
    63. Merella, Vincenzo & Satchell, Stephen E., 2022. "By force of confidence," European Economic Review, Elsevier, vol. 150(C).
    64. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    65. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
    66. Nicolas Petrosky-Nadeau & Lu Zhang & Lars-Alexander Kuehn, 2018. "Endogenous Disasters," American Economic Review, American Economic Association, vol. 108(8), pages 2212-2245, August.
    67. Mohammed Abdellaoui & Enrico Diecidue & Emmanuel Kemel & Ayse Onculer, 2022. "Temporal Risk: Utility vs. Probability Weighting," Management Science, INFORMS, vol. 68(7), pages 5162-5186, July.
    68. Elena Mattana & Ettore Panetti, 2021. "The Welfare Costs of Self‐Fulfilling Bank Runs," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 401-440, March.
    69. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    70. AJ A. Bostian & Christoph Heinzel, 2016. "Consumption Smoothing and Precautionary Saving under Recursive Preferences," FOODSECURE Working papers 44, LEI Wageningen UR.
    71. AJ A. Bostian & Christoph Heinzel, 2018. "Comparative precautionary saving under higher-order risk and recursive utility," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 95-114, May.
    72. Croce, Mariano & Schlag, Christian & Marchuk, Tatyana, 2018. "The Leading Premium," CEPR Discussion Papers 12631, C.E.P.R. Discussion Papers.
    73. Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.
    74. Caliendo, Frank N. & Gorry, Aspen & Slavov, Sita, 2019. "The cost of uncertainty about the timing of Social Security reform," European Economic Review, Elsevier, vol. 118(C), pages 101-125.
    75. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
    76. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
    77. Lorenzo Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Carlo Alberto Notebooks 693 JEL Classification: C, Collegio Carlo Alberto.
    78. Mu Zhang, 2021. "A Theory of Choice Bracketing under Risk," Papers 2102.07286, arXiv.org, revised Aug 2021.
    79. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
    80. AJ A. Bostian & Christoph Heinzel, 2018. "Comparative precautionary saving under higher-order risk and recursive utility," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 95-114, May.
    81. Keiichi Morimoto & Shiba Suzuki, 2022. "Ambiguity in a pandemic recession, asset prices, and lockdown policy," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 24(5), pages 1039-1070, October.
    82. Martin M. Andreasen, 2019. "Explaining Bond Return Predictability in an Estimated New Keynesian Model," CREATES Research Papers 2019-11, Department of Economics and Business Economics, Aarhus University.
    83. Amadeu DaSilva & Mira Farka, 2018. "Asset pricing puzzles in an OLG economy with generalized preference," European Financial Management, European Financial Management Association, vol. 24(3), pages 331-361, June.
    84. Juan Carlos CóRdoba & Marla Ripoll, 2017. "Risk Aversion and the Value of Life," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(4), pages 1472-1509.
    85. Myroslav Pidkuyko & Raffaele Rossi & Klaus Reiner Schenk-Hoppé, 2019. "The Resolution of Long-Run Risk," Economics Discussion Paper Series 1908, Economics, The University of Manchester.
    86. Frank Caliendo & Maria Casanova & Aspen Gorry & Sita Nataraj Slavov, 2023. "Retirement Timing Uncertainty: Empirical Evidence and Quantitative Evaluation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 226-266, December.
    87. Svenn Jensen & Christian P. Traeger & Christian Träger, 2021. "Pricing Climate Risk," CESifo Working Paper Series 9196, CESifo.
    88. Kubler, Felix & Selden, Larry & Wei, Xiao, 2020. "Incomplete market demand tests for Kreps-Porteus-Selden preferences," Journal of Economic Theory, Elsevier, vol. 185(C).
    89. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.

  9. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.

    Cited by:

    1. Gianluca Cassese, 2020. "Complete and competitive financial markets in a complex world," Papers 2003.01055, arXiv.org, revised Mar 2021.
    2. Lin, Qian, 2019. "Jensen inequality for superlinear expectations," Statistics & Probability Letters, Elsevier, vol. 151(C), pages 79-83.
    3. Hu, Mingshang & Ji, Shaolin, 2017. "Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 107-134.
    4. Patrick Beissner & Frank Riedel, 2018. "Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty," Finance and Stochastics, Springer, vol. 22(3), pages 603-620, July.
    5. Beißner, Patrick, 2014. "Coherent price systems and uncertainty-neutral valuation," Center for Mathematical Economics Working Papers 464, Center for Mathematical Economics, Bielefeld University.
    6. Epstein, Larry G. & Ji, Shaolin, 2014. "Ambiguous volatility, possibility and utility in continuous time," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
    7. Patrick Beissner & Frank Riedel, 2014. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Papers 1409.6940, arXiv.org.
    8. Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84(4), pages 1405-1440, July.
    9. Xu, Yuhong, 2022. "Optimal growth under model uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    10. Weixuan Xia, 2023. "Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences," Papers 2312.00266, arXiv.org.
    11. Fadina, Tolulope & Herzberg, Frederik, 2015. "Hyperfinite construction of G-expectation," Center for Mathematical Economics Working Papers 540, Center for Mathematical Economics, Bielefeld University.
    12. Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01410661, HAL.
    13. Huang, Helen Hui & Zhang, Shunming & Zhu, Wei, 2017. "Limited participation under ambiguity of correlation," Journal of Financial Markets, Elsevier, vol. 32(C), pages 97-143.
    14. Thibaut Mastrolia & Dylan Possamai, 2015. "Moral hazard under ambiguity," Papers 1511.03616, arXiv.org, revised Oct 2016.
    15. Hansen, Peter G., 2022. "New formulations of ambiguous volatility with an application to optimal dynamic contracting," Journal of Economic Theory, Elsevier, vol. 199(C).
    16. Hachmi Ben Ameur & Mouna Boujelbène & J. L. Prigent & Emna Triki, 2020. "Optimal Portfolio Positioning on Multiple Assets Under Ambiguity," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 21-57, June.
    17. Thaddeus Neururer, 2020. "Past managerial guidance and returns to variance trading around earnings announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2995-3031, September.
    18. Changhong Guo & Shaomei Fang & Yong He, 2023. "Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1681-1705, April.
    19. David C. Ling & Andy Naranjo & Benjamin Scheick, 2016. "Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1321-1362, October.
    20. Falei Wang & Guoqiang Zheng, 2021. "Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Generators," Journal of Theoretical Probability, Springer, vol. 34(2), pages 660-681, June.
    21. Julian Holzermann, 2018. "The Hull-White Model under Volatility Uncertainty," Papers 1808.03463, arXiv.org, revised Jan 2021.
    22. Amine Ismail & Huy^en Pham, 2016. "Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix ," Papers 1610.06805, arXiv.org, revised Mar 2017.
    23. Qian Lin & Frank Riedel, 2021. "Optimal consumption and portfolio choice with ambiguous interest rates and volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 1189-1202, April.
    24. Feng, Felix Zhiyu & Westerfield, Mark M., 2021. "Dynamic resource allocation with hidden volatility," Journal of Financial Economics, Elsevier, vol. 140(2), pages 560-581.
    25. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2021. "Robust state-dependent mean–variance portfolio selection: a closed-loop approach," Finance and Stochastics, Springer, vol. 25(3), pages 529-561, July.
    26. Shige Peng & Huilin Zhang, 2022. "Wong–Zakai Approximation for Stochastic Differential Equations Driven by G-Brownian Motion," Journal of Theoretical Probability, Springer, vol. 35(1), pages 410-425, March.
    27. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2020. "Ambiguity and investor behavior," SAFE Working Paper Series 297, Leibniz Institute for Financial Research SAFE.
    28. Frank Riedel, 2015. "Financial economics without probabilistic prior assumptions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 75-91, April.
    29. Hölzermann, Julian & Lin, Qian, 2019. "Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion," Center for Mathematical Economics Working Papers 613, Center for Mathematical Economics, Bielefeld University.
    30. Jaeyoung Sung, 2022. "Optimal contracting under mean-volatility joint ambiguity uncertainties," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 593-642, September.
    31. Changhong Guo & Shaomei Fang & Yong He, 2023. "A Generalized Stochastic Process: Fractional G-Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-34, March.
    32. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
    33. Marcel Nutz, 2014. "Superreplication under model uncertainty in discrete time," Finance and Stochastics, Springer, vol. 18(4), pages 791-803, October.
    34. Izhakian, Yehuda, 2020. "A theoretical foundation of ambiguity measurement," Journal of Economic Theory, Elsevier, vol. 187(C).
    35. Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022. "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, vol. 203(C).
    36. Li, Wenhui & Ockenfels, Peter & Wilde, Christian, 2021. "The effect of ambiguity on price formation and trading behavior in financial markets," SAFE Working Paper Series 326, Leibniz Institute for Financial Research SAFE.
    37. Shige Peng & Shuzhen Yang, 2020. "Distributional uncertainty of the financial time series measured by G-expectation," Papers 2011.09226, arXiv.org, revised Jul 2021.
    38. Hölzermann, Julian, 2018. "Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility Uncertainty," Center for Mathematical Economics Working Papers 582, Center for Mathematical Economics, Bielefeld University.
    39. Julian Holzermann, 2019. "Term Structure Modeling under Volatility Uncertainty," Papers 1904.02930, arXiv.org, revised Sep 2021.
    40. Peter G. Hansen, 2021. "New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting," Papers 2101.12306, arXiv.org.
    41. Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    42. Poitras, Geoffrey & Heaney, John, 2015. "Classical Ergodicity and Modern Portfolio Theory," MPRA Paper 113952, University Library of Munich, Germany.
    43. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
    44. Johannes Muhle‐Karbe & Marcel Nutz & Xiaowei Tan, 2020. "Asset pricing with heterogeneous beliefs and illiquidity," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1392-1421, October.
    45. Jakša Cvitanić & Dylan Possamaï & Nizar Touzi, 2017. "Moral Hazard in Dynamic Risk Management," Management Science, INFORMS, vol. 63(10), pages 3328-3346, October.
    46. Patrick Beissner, 2019. "Coherent-Price Systems and Uncertainty-Neutral Valuation," Risks, MDPI, vol. 7(3), pages 1-18, September.
    47. Mingshang Hu & Shaolin Ji, 2013. "A note on pricing of contingent claims under G-expectation," Papers 1303.4274, arXiv.org.
    48. Martin Larsson, 2013. "Non-Equivalent Beliefs and Subjective Equilibrium Bubbles," Papers 1306.5082, arXiv.org.
    49. Yuhong Xu, 2014. "Robust valuation and risk measurement under model uncertainty," Papers 1407.8024, arXiv.org.
    50. Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
    51. Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility optimization with concave coefficients," Papers 1607.00721, arXiv.org.
    52. Patrick Beissner, 2017. "Equilibrium prices and trade under ambiguous volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 213-238, August.
    53. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    54. Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
    55. Hanwu Li & Falei Wang, 2019. "Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework," Journal of Optimization Theory and Applications, Springer, vol. 183(2), pages 422-439, November.
    56. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2022. "Ambiguity about volatility and investor behavior," Journal of Financial Economics, Elsevier, vol. 145(1), pages 277-296.
    57. Mao, Jie & Shen, Guanxiong & Yan, Jingzhou, 2023. "A continuous-time macro-finance model with Knightian uncertainty," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    58. Lin, Qian & Luo, Yulei & Sun, Xianming, 2022. "Robust investment strategies with two risky assets," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    59. Izhakian, Yehuda, 2017. "Expected utility with uncertain probabilities theory," Journal of Mathematical Economics, Elsevier, vol. 69(C), pages 91-103.
    60. Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility maximization under partial information," Papers 1605.05802, arXiv.org.
    61. Tolulope Fadina & Ariel Neufeld & Thorsten Schmidt, 2018. "Affine processes under parameter uncertainty," Papers 1806.02912, arXiv.org, revised Mar 2019.
    62. Marcel Nutz & José A. Scheinkman, 2020. "Shorting in Speculative Markets," Journal of Finance, American Finance Association, vol. 75(2), pages 995-1036, April.
    63. Burzoni, Matteo & Riedel, Frank & Soner, Halil Mete, 2017. "Viability and arbitrage under Knightian Uncertainty," Center for Mathematical Economics Working Papers 575, Center for Mathematical Economics, Bielefeld University.
    64. Shuzhen Yang, 2021. "Compensatory model for quantile estimation and application to VaR," Papers 2112.07278, arXiv.org.
    65. Tian, Dejian & Tian, Weidong, 2014. "Optimal risk-sharing under mutually singular beliefs," Mathematical Social Sciences, Elsevier, vol. 72(C), pages 41-49.
    66. Qian Lin, 2015. "Dynamic indifference pricing via the G-expectation," Papers 1503.08628, arXiv.org, revised Sep 2020.
    67. Müller, Janis & Posch, Peter N., 2019. "Consumption volatility ambiguity and risk premium’s time-variation," Finance Research Letters, Elsevier, vol. 29(C), pages 336-339.
    68. Arnon Archankul & Giorgio Ferrari & Tobias Hellmann & Jacco J. J. Thijssen, 2023. "Singular Control in a Cash Management Model with Ambiguity," Papers 2309.12014, arXiv.org.
    69. Luo, Qin & Bu, Jinfeng & Xu, Weiju & Huang, Dengshi, 2023. "Stock market volatility prediction: Evidence from a new bagging model," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 445-456.
    70. Wang, Jiqian & Huang, Yisu & Ma, Feng & Chevallier, Julien, 2020. "Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence," Energy Economics, Elsevier, vol. 91(C).
    71. Yuki Shigeta, 2017. "Portfolio selections under mean-variance preference with multiple priors for means and variances," Annals of Finance, Springer, vol. 13(1), pages 97-124, February.
    72. Nendel, Max & Röckner, Michael, 2019. "Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems," Center for Mathematical Economics Working Papers 618, Center for Mathematical Economics, Bielefeld University.
    73. Seokwoo Lee & Alejandro Rivera, 2021. "Extrapolation Bias and Robust Dynamic Liquidity Management," Management Science, INFORMS, vol. 67(10), pages 6421-6442, October.
    74. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
    75. Julian Holzermann, 2023. "Optimal Investment with Stochastic Interest Rates and Ambiguity," Papers 2306.13343, arXiv.org, revised Oct 2023.
    76. Weidong Tian & Junya Jiang & Weidong Tian, 2017. "Model Uncertainty Effect on Asset Prices," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 205-233, June.
    77. Xinpeng Li & Yiqing Lin, 2017. "Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations," Journal of Theoretical Probability, Springer, vol. 30(2), pages 581-593, June.

  10. Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.

    Cited by:

    1. Hansen, Lars Peter & Sargent, Thomas J., 2022. "Structured ambiguity and model misspecification," Journal of Economic Theory, Elsevier, vol. 199(C).
    2. Thibaut Mastrolia & Dylan Possamaï, 2018. "Moral Hazard Under Ambiguity," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 452-500, November.
    3. Hu, Mingshang & Ji, Shaolin, 2017. "Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 107-134.
    4. Patrick Beissner & Frank Riedel, 2014. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Papers 1409.6940, arXiv.org.
    5. Ruan, Xinfeng & Zhang, Jin E., 2021. "Ambiguity on uncertainty and the equity premium," Finance Research Letters, Elsevier, vol. 38(C).
    6. Frank Riedel, 2011. "Finance Without Probabilistic Prior Assumptions," Papers 1107.1078, arXiv.org.
    7. Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01410661, HAL.
    8. Huang, Helen Hui & Zhang, Shunming & Zhu, Wei, 2017. "Limited participation under ambiguity of correlation," Journal of Financial Markets, Elsevier, vol. 32(C), pages 97-143.
    9. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
    10. Thibaut Mastrolia & Dylan Possamai, 2015. "Moral hazard under ambiguity," Papers 1511.03616, arXiv.org, revised Oct 2016.
    11. Zongxia Liang & Ming Ma, 2020. "Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1035-1072, July.
    12. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2021. "Robust state-dependent mean–variance portfolio selection: a closed-loop approach," Finance and Stochastics, Springer, vol. 25(3), pages 529-561, July.
    13. Frank Riedel, 2015. "Financial economics without probabilistic prior assumptions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 75-91, April.
    14. Izhakian, Yehuda, 2020. "A theoretical foundation of ambiguity measurement," Journal of Economic Theory, Elsevier, vol. 187(C).
    15. Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    16. Lars Peter Hansen & Thomas J. Sargent, 2019. "Macroeconomic Uncertainty Prices when Beliefs are Tenuous," NBER Working Papers 25781, National Bureau of Economic Research, Inc.
    17. Miklós Rásonyi & Andrea Meireles‐Rodrigues, 2021. "On utility maximization under model uncertainty in discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 149-175, January.
    18. Jakša Cvitanić & Dylan Possamaï & Nizar Touzi, 2017. "Moral Hazard in Dynamic Risk Management," Management Science, INFORMS, vol. 63(10), pages 3328-3346, October.
    19. Patrick Beissner, 2019. "Coherent-Price Systems and Uncertainty-Neutral Valuation," Risks, MDPI, vol. 7(3), pages 1-18, September.
    20. Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
    21. Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility optimization with concave coefficients," Papers 1607.00721, arXiv.org.
    22. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    23. Dirk Becherer & Klebert Kentia, 2017. "Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility," Papers 1704.02505, arXiv.org.
    24. Hanwu Li & Falei Wang, 2019. "Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework," Journal of Optimization Theory and Applications, Springer, vol. 183(2), pages 422-439, November.
    25. Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility maximization under partial information," Papers 1605.05802, arXiv.org.
    26. Shige Peng & Shuzhen Yang & Jianfeng Yao, 2018. "Improving Value-at-Risk prediction under model uncertainty," Papers 1805.03890, arXiv.org, revised Jun 2020.
    27. Burzoni, Matteo & Riedel, Frank & Soner, Halil Mete, 2017. "Viability and arbitrage under Knightian Uncertainty," Center for Mathematical Economics Working Papers 575, Center for Mathematical Economics, Bielefeld University.
    28. Qian Lin, 2015. "Dynamic indifference pricing via the G-expectation," Papers 1503.08628, arXiv.org, revised Sep 2020.
    29. Andrey Borisov, 2021. "Minimax Estimation in Regression under Sample Conformity Constraints," Mathematics, MDPI, vol. 9(10), pages 1-21, May.
    30. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
    31. Seokwoo Lee & Alejandro Rivera, 2021. "Extrapolation Bias and Robust Dynamic Liquidity Management," Management Science, INFORMS, vol. 67(10), pages 6421-6442, October.
    32. Julian Holzermann, 2023. "Optimal Investment with Stochastic Interest Rates and Ambiguity," Papers 2306.13343, arXiv.org, revised Oct 2023.

  11. L. Epstein & S. Zin, 2010. "First order risk aversion and the equity premium puzzle," Levine's Working Paper Archive 1400, David K. Levine.

    Cited by:

    1. Elisabetta Iossa & David Martimort, 2015. "Pessimistic information gathering," Post-Print halshs-01156552, HAL.
    2. David Dillenberger & Uzi Segal, 2013. "Skewed Noise," PIER Working Paper Archive 13-066, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Angelo Melino, 2006. "Measuring the Cost of Economic Fluctuations with Preferences that Rationalize the Equity Premium," Working Papers tecipa-256, University of Toronto, Department of Economics.
    4. Alex Gershkov & Benny Moldovanu & Philipp Strack & Mengxi Zhang, 2023. "Optimal Insurance: Dual Utility, Random Losses and Adverse Selection," ECONtribute Discussion Papers Series 242, University of Bonn and University of Cologne, Germany.
    5. Kam Yu, 2008. "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory," NBER Working Papers 14020, National Bureau of Economic Research, Inc.
    6. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
    7. Zvi Safra & Uzi Segal, 2001. "On the Economic Meaning of Machina's Fréchet Differentiability Assumption," Boston College Working Papers in Economics 511, Boston College Department of Economics.
    8. Karen K. Lewis, 1994. "Puzzles in International Financial Markets," NBER Working Papers 4951, National Bureau of Economic Research, Inc.
    9. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
    10. Mao-Wei Hung & Jr-Yan Wang, 2011. "Loss aversion and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 43(29), pages 4623-4640.
    11. CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Cahiers de recherche 10-2009, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    12. Wickens, Michael R., 2003. "Microeconomic Sources of Equity Risk," CEPR Discussion Papers 4070, C.E.P.R. Discussion Papers.
    13. Carla Marchese & Fabio Privileggi, 2004. "Tax Amnesties and the Self-Selection of Risk-Averse Taxpayers," European Journal of Law and Economics, Springer, vol. 18(3), pages 319-341, December.
    14. De Giorgi, Enrico G. & Legg, Shane, 2012. "Dynamic portfolio choice and asset pricing with narrow framing and probability weighting," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 951-972.
    15. Frédéric KOESSLER & Anthony ZIEGELMEYER & Marie-Hélène BROIHANNE, 2002. "The Favorite-Longshot Bias in Sequential parimutuel Betting with Non-Expected Utility Players," Working Papers of BETA 2002-12, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    16. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    17. Svensson, L.E., 1990. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," Papers 475, Stockholm - International Economic Studies.
    18. Haliassos, Michael & Hassapis, Christis, 2001. "Non-expected Utility, Saving and Portfolios," Economic Journal, Royal Economic Society, vol. 111(468), pages 69-102, January.
    19. Nicholas Barberis & Ming Huang & Richard H. Thaler, 2006. "Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing," American Economic Review, American Economic Association, vol. 96(4), pages 1069-1090, September.
    20. Stefano Athanasoulis & Eric Van Wincoop, 1998. "Risksharing within the United States: what have financial markets and fiscal federalism accomplished?," Research Paper 9808, Federal Reserve Bank of New York.
    21. Matthew Rabin, 2001. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Method and Hist of Econ Thought 0012001, University Library of Munich, Germany.
    22. Nicholas Barberis & Ming Huang & Tano Santos, 1999. "Prospect Theory and Asset Prices," NBER Working Papers 7220, National Bureau of Economic Research, Inc.
    23. Jim Dolmas, 1998. "Risk Preferences and the Welfare Cost of Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 646-676, July.
    24. Marco Bonomo & René Garcia, 1994. "Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles," CIRANO Working Papers 94s-14, CIRANO.
    25. Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997. "The implications of first-order risk aversion for asset market risk premiums," Discussion Paper 1997-07, Tilburg University, Center for Economic Research.
    26. Raghu Suryanarayanan, 2006. "A Model of Anticipated Regret and Endogenous Beliefs," CSEF Working Papers 161, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Dec 2008.
    27. Chambers, Robert G. & Quiggin, John C., 2002. "Dual Approaches To The Analysis Of Risk Aversion," Working Papers 28606, University of Maryland, Department of Agricultural and Resource Economics.
    28. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Permanent Income and Pricing," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 3, pages 33-81, World Scientific Publishing Co. Pte. Ltd..
    29. Elie Bouri & Rangan Gupta & Chi keung marco Lau & David Roubaud, 2021. "Risk aversion and Bitcoin returns in extreme quantiles," Economics Bulletin, AccessEcon, vol. 41(3), pages 1374-1386.
    30. Marcelo Bianconi, 2004. "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Discussion Papers Series, Department of Economics, Tufts University 0413, Department of Economics, Tufts University.
    31. Chen, Yu & Cosimano, Thomas F. & Himonas, Alex A., 2008. "Analytic solving of asset pricing models: The by force of habit case," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3631-3660, November.
    32. Giovannetti, Bruno C., 2013. "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, vol. 22(4), pages 169-179.
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    88. Luciano I. de Castro & Marialaura Pesce & Nicholas C. Yannelis, 2013. "A New Perspective on Rational Expectations," Economics Discussion Paper Series 1316, Economics, The University of Manchester.
    89. Laurent Denant-Boèmont & Olivier L’haridon, 2013. "La rationalité à l'épreuve de l'économie comportementale," Post-Print halshs-00921070, HAL.
    90. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
    91. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
    92. Thimme, Julian & Völkert, Clemens, 2015. "High order smooth ambiguity preferences and asset prices," Review of Financial Economics, Elsevier, vol. 27(C), pages 1-15.
    93. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
    94. Sinitskaya, Ekaterina, 2014. "Computational modeling of an economy using elements of artificial intelligence," ISU General Staff Papers 201401010800005291, Iowa State University, Department of Economics.
    95. Makarov, Dmitry, 2021. "Optimal portfolio under ambiguous ambiguity," Finance Research Letters, Elsevier, vol. 43(C).
    96. Staffa, Ruben Marek, 2023. "Macroeconomic effects from sovereign risk vs. Knightian uncertainty," IWH Discussion Papers 27/2023, Halle Institute for Economic Research (IWH).
    97. Nihad Aliyev, 2019. "Financial Markets with Multidimensional Uncertainty," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2019.
    98. Anastasios Karantounias & Axelle Ferriere, 2014. "Debt and government spending in ambiguous times," 2014 Meeting Papers 1129, Society for Economic Dynamics.
    99. Monica Neamtiu & Nemit Shroff & Hal D. White & Christopher D. Williams, 2014. "The Impact of Ambiguity on Managerial Investment and Cash Holdings," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(7-8), pages 1071-1099, September.
    100. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    101. Chen Li & Uyanga Turmunkh & Peter P. Wakker, 2019. "Trust as a decision under ambiguity," Experimental Economics, Springer;Economic Science Association, vol. 22(1), pages 51-75, March.
    102. Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
    103. Christoph Kuzmics & Brian W. Rogers & Xiannong Zhang, 2022. "An Ellsberg paradox for ambiguity aversion," Papers 2212.03603, arXiv.org, revised Jan 2023.
    104. Hamidreza Arian & Hossein Poorvasei & Azin Sharifi & Shiva Zamani, 2020. "The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold," Papers 2011.06693, arXiv.org.
    105. Luc Arrondel & Jérôme Coffinet, 2018. "Demand For Stocks in the Crisis: France 2004-2014," PSE Working Papers halshs-01785324, HAL.
    106. Grosse Steffen, Christoph & Podstawski, Maximilian, 2017. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168101, Verein für Socialpolitik / German Economic Association.
    107. Galicia-Sanguino, Lucía & Rojo-Suárez, Javier & Alonso-Conde, Ana B. & López-Pérez, M. Victoria, 2021. "Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    108. David Hirshleifer & Chong Huang & Siew Hong Teoh, 2017. "Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion," NBER Working Papers 24143, National Bureau of Economic Research, Inc.
    109. Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2022. "Belief Distortions and Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 112(7), pages 2269-2315, July.
    110. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2022. "Ambiguity about volatility and investor behavior," Journal of Financial Economics, Elsevier, vol. 145(1), pages 277-296.
    111. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    112. Epstein, Larry G. & Halevy, Yoram, 2014. "No Two Experiments are Identical," Microeconomics.ca working papers yoram_halevy-2014-9, Vancouver School of Economics, revised 15 Feb 2017.
    113. Aggarwal, Divya & Damodaran, Uday, 2020. "Ambiguity attitudes and myopic loss aversion: Experimental evidence using carnival games," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
    114. Daniela Grieco, 2018. "Innovation and stock market performance: A model with ambiguity-averse agents," Journal of Evolutionary Economics, Springer, vol. 28(2), pages 287-303, April.
    115. Alonso, Irasema & Prado, Mauricio, 2015. "Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 78-92.
    116. Yehuda Izhakian & David Yermack & Jaime F. Zender, 2022. "Ambiguity and the Tradeoff Theory of Capital Structure," Management Science, INFORMS, vol. 68(6), pages 4090-4111, June.
    117. Ariel M. Viale & Antoine Giannetti & Luis Garcia-Feijoó, 2020. "The stock market’s reaction to macroeconomic news under ambiguity," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 65-97, March.
    118. James R. Bland & Yaroslav Rosokha, 2021. "Learning under uncertainty with multiple priors: experimental investigation," Journal of Risk and Uncertainty, Springer, vol. 62(2), pages 157-176, April.
    119. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 229-242, October.
    120. Philipp K. Illeditsch & Jayant V. Ganguli & Scott Condie, 2021. "Information Inertia," Journal of Finance, American Finance Association, vol. 76(1), pages 443-479, February.
    121. Garlappi, Lorenzo & Giammarino, Ron & Lazrak, Ali, 2017. "Ambiguity and the corporation: Group disagreement and underinvestment," Journal of Financial Economics, Elsevier, vol. 125(3), pages 417-433.
    122. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    123. Claudia Ravanelli & Gregor Svindland, 2019. "Ambiguity sensitive preferences in Ellsberg frameworks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 67(1), pages 53-89, February.
    124. Song, Yangwei, 2022. "Approximate Bayesian Implementation and Exact Maxmin Implementation: An Equivalence," Rationality and Competition Discussion Paper Series 362, CRC TRR 190 Rationality and Competition.
    125. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
    126. Robert M. Gillenkirch & Achim Hendriks & Susanne A. Welker, 2014. "Effects of Executive Compensation Complexity on Investor Behaviour in an Experimental Stock Market," European Accounting Review, Taylor & Francis Journals, vol. 23(4), pages 625-645, December.
    127. Eduardo Ariel Corso, 2014. "Ambiguity, ambiguity aversion and stores of value: The case of Argentina," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-13, December.
    128. Alexander Peysakhovich & Uma R. Karmarkar, 2016. "Asymmetric Effects of Favorable and Unfavorable Information on Decision Making Under Ambiguity," Management Science, INFORMS, vol. 62(8), pages 2163-2178, August.
    129. Guihai Zhao, 2018. "Ambiguity, Nominal Bond Yields and Real Bond Yields," Staff Working Papers 18-24, Bank of Canada.
    130. ,, 2016. "Condorcet meets Ellsberg," Theoretical Economics, Econometric Society, vol. 11(3), September.
    131. Attaoui, Sami & Cao, Wenbin & Duan, Xiaoman & Liu, Hening, 2021. "Optimal capital structure, ambiguity aversion, and leverage puzzles," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    132. Bellemare, Charles & Kröger, Sabine & Sossou, Kouamé Marius, 2022. "Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion," Journal of Econometrics, Elsevier, vol. 231(1), pages 248-264.
    133. Antoniou, Constantinos & Harris, Richard D.F. & Zhang, Ruogu, 2015. "Ambiguity aversion and stock market participation: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 57-70.
    134. Sun, Sidong, 2023. "Rationalisable belief selection," Economics Letters, Elsevier, vol. 232(C).
    135. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    136. Ruan, Xinfeng, 2021. "Ambiguity, long-run risks, and asset prices in continuous time," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 115-126.
    137. Chao Tang, 2017. "Ambiguity and Investment Decisions: An Empirical Analysis on Mutual Fund Investor Behaviour," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(3), pages 38-46, September.
    138. Yi-Hsuan Lin & Fernando Payró Chew, 2024. "Updating Under Imprecise Information," Working Papers 1424, Barcelona School of Economics.
    139. Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
    140. Zhijun Zhao, 2011. "Preference Relativity, Ambiguity and Social Welfare Evaluation," Working Papers 352011, Hong Kong Institute for Monetary Research.
    141. Seokwoo Lee & Alejandro Rivera, 2021. "Extrapolation Bias and Robust Dynamic Liquidity Management," Management Science, INFORMS, vol. 67(10), pages 6421-6442, October.
    142. Ekaterina Svetlova & Henk van Elst, 2012. "How is non-knowledge represented in economic theory?," Papers 1209.2204, arXiv.org.
    143. Lee, Velma & Viale, Ariel M., 2023. "Total factor productivity in East Asia under ambiguity," Economic Modelling, Elsevier, vol. 121(C).

  13. Larry G. Epstein & Kyoungwon Seo, 2008. "Symmetry Of Evidence Without Evidence Of Symmetry," Boston University - Department of Economics - Working Papers Series wp2008-018, Boston University - Department of Economics.

    Cited by:

    1. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2011. "Classical Subjective Expected Utility," Working Papers 400, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Epstein Larry G & Seo Kyoungwon, 2011. "Symmetry or Dynamic Consistency?," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 11(1), pages 1-14, June.
    3. Larry G Epstein & Yoram Halevy, 2019. "Ambiguous Correlation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 86(2), pages 668-693.
    4. Epstein, Larry G. & Seo, Kyoungwon, 2014. "De Finetti meets Ellsberg," Research in Economics, Elsevier, vol. 68(1), pages 11-26.
    5. Cerreia-Vioglio, Simone & Maccheroni, Fabio & Marinacci, Massimo & Montrucchio, Luigi, 2013. "Ambiguity and robust statistics," Journal of Economic Theory, Elsevier, vol. 148(3), pages 974-1049.
      • Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2011. "Ambiguity and Robust Statistics," Working Papers 382, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    6. Andrew Ellis, 2021. "Correlation Concern," Papers 2105.13341, arXiv.org.
    7. Larry G. Epstein & Yoram Halevy, 2019. "Hard-to-Interpret Signals," Working Papers tecipa-634, University of Toronto, Department of Economics.
    8. Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Post-Print hal-00685408, HAL.
    9. Sujoy Mukerji & Peter Klibanoff & Kyoungwon Seo, 2014. "Perceived Ambiguity and Relevant Measures," Economics Series Working Papers 711, University of Oxford, Department of Economics.
    10. Li, Jian, 2019. "The K-armed bandit problem with multiple priors," Journal of Mathematical Economics, Elsevier, vol. 80(C), pages 22-38.
    11. Epstein, Larry G. & Seo, Kyoungwon, 2015. "Exchangeable capacities, parameters and incomplete theories," Journal of Economic Theory, Elsevier, vol. 157(C), pages 879-917.
    12. Klibanoff, Peter & Mukerji, Sujoy & Seo, Kyoungwon & Stanca, Lorenzo, 2022. "Foundations of ambiguity models under symmetry: α-MEU and smooth ambiguity," Journal of Economic Theory, Elsevier, vol. 199(C).
    13. Burkhard C. Schipper, 2024. "Predicting the Unpredictable under Subjective Expected Utility," Working Papers 362, University of California, Davis, Department of Economics.
    14. Roee Teper, 2016. "Who is a Bayesian?," Working Paper 5861, Department of Economics, University of Pittsburgh.
    15. Nabil I. Al-Najjar & Luciano De Castro, 2010. "Prediction Markets to Forecast Electricity Demand," Discussion Papers 1529, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    16. Massimiliano Amarante, 2017. "Information and Ambiguity: Toward a Foundation of Nonexpected Utility," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 1254-1279, November.
    17. Roee Teper, 2016. "Plans of Action," Working Paper 5859, Department of Economics, University of Pittsburgh.
    18. Leonardo Pejsachowicz, 2016. "Stochastic Independence under Knightian Uncertainty," Post-Print hal-01753323, HAL.
    19. Epstein, Larry G. & Halevy, Yoram, 2014. "No Two Experiments are Identical," Microeconomics.ca working papers yoram_halevy-2014-9, Vancouver School of Economics, revised 15 Feb 2017.
    20. Peter Klibanoff & Sujoy Mukerji & Kyoungwon Seo & Lorenzo Staca, 2021. "Foundations of ambiguity models under symmetry: α-MEU and smooth ambiguity," Working Papers 922, Queen Mary University of London, School of Economics and Finance.
    21. Al-Najjar, Nabil I. & De Castro, Luciano, 2014. "Parametric representation of preferences," Journal of Economic Theory, Elsevier, vol. 150(C), pages 642-667.
    22. Sujoy Mukerji & Peter Klibanoff and Kyoungwon Seo, 2011. "Relevance and Symmetry," Economics Series Working Papers 539, University of Oxford, Department of Economics.
    23. Bade, Sophie, 2022. "Dynamic semi-consistency," Games and Economic Behavior, Elsevier, vol. 134(C), pages 117-126.

  14. Larry G. Epstein & Jawwad Noor & Alvaro Sandroni, 2008. "Supplementary Appendix for ‘Non-Bayesian Updating: A Theoretical Framework’," PIER Working Paper Archive 08-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Kwon, Seokbeom & Motohashi, Kazuyuki, 2017. "How institutional arrangements in the National Innovation System affect industrial competitiveness: A study of Japan and the U.S. with multiagent simulation," Technological Forecasting and Social Change, Elsevier, vol. 115(C), pages 221-235.
    2. Igor Kopylov & Jawwad Noor, 2018. "Commitments and weak resolve," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(1), pages 1-19, July.
    3. KWON Seokbeom & MOTOHASHI Kazuyuki, 2015. "How Institutional Arrangements in the National Innovation System Affect Industrial Competitiveness: A study of Japan and the United States with multiagent simulation," Discussion papers 15065, Research Institute of Economy, Trade and Industry (RIETI).
    4. He, Xue Dong & Xiao, Di, 2017. "Processing consistency in non-Bayesian inference," Journal of Mathematical Economics, Elsevier, vol. 70(C), pages 90-104.
    5. Epstein Larry G & Noor Jawwad & Sandroni Alvaro, 2010. "Non-Bayesian Learning," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-20, January.
    6. Sun, Lan, 2016. "Hypothesis testing equilibrium in signaling games," Center for Mathematical Economics Working Papers 557, Center for Mathematical Economics, Bielefeld University.

  15. Larry G. Epstein, 2007. "Living with risk," RCER Working Papers 534, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Daniel Bennett & Stefan Bode & Maja Brydevall & Hayley Warren & Carsten Murawski, 2016. "Intrinsic Valuation of Information in Decision Making under Uncertainty," PLOS Computational Biology, Public Library of Science, vol. 12(7), pages 1-21, July.
    2. Dag Sommervoll, 2013. "Sweet self-deception," Journal of Economics, Springer, vol. 109(1), pages 73-88, May.
    3. Pagel, Michaela & Olafsson, Arna, 2017. "The Ostrich in Us: Selective Attention to Financial Accounts, Income, Spending, and Liquidity," CEPR Discussion Papers 12259, C.E.P.R. Discussion Papers.
    4. Mohammed Abdellaoui & Enrico Diecidue & Emmanuel Kemel & Ayse Onculer, 2021. "Temporal Risk Resolution: Utility versus Probability Weighting Approaches," Working Papers hal-03330225, HAL.
    5. Jinrui Pan & Craig S. Webb & Horst Zank, 2019. "Delayed probabilistic risk attitude: a parametric approach," Theory and Decision, Springer, vol. 87(2), pages 201-232, September.
    6. Florian Zimmermann, 2015. "Clumped or Piecewise? Evidence on Preferences for Information," Management Science, INFORMS, vol. 61(4), pages 740-753, April.
    7. Alexander L. Brown & Hwagyun Kim, 2014. "Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation," Management Science, INFORMS, vol. 60(4), pages 939-958, April.
    8. Eisenbach, Thomas M. & Schmalz, Martin C., 2016. "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, vol. 121(2), pages 414-426.
    9. André Lapied & Thomas Rongiconi, 2013. "Ambiguity as a Source of Temptation: Modeling Unstable Beliefs," AMSE Working Papers 1316, Aix-Marseille School of Economics, France.
    10. David Dillenberger & Kareen Rozen, 2010. "Disappointment Cycles," PIER Working Paper Archive 10-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    11. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    12. A. Alventosa & Y. Gómez & V. Martínez-Molés & J. Vila, 2016. "Location and Innovation Optimism: a Behavioral-Experimental Approach," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 7(4), pages 890-904, December.
    13. David Dillenberger & Kareen Rozen, 2010. "History-Dependent Risk Attitude," Levine's Bibliography 661465000000000184, UCLA Department of Economics.
    14. Edoardo Grillo, 2014. "Reference Dependence and Politicians' Credibility," Carlo Alberto Notebooks 353, Collegio Carlo Alberto.
    15. Thomas Epper & Helga Fehr-Duda, 2012. "The missing link: unifying risk taking and time discounting," ECON - Working Papers 096, Department of Economics - University of Zurich, revised Oct 2018.
    16. Haluk Ergin & Todd Sarver, 2012. "Hidden Actions and Preferences for Timing of Resolution of Uncertainty," Discussion Papers 1567, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    17. David Dillenberger & Kareen Rozen, 2010. "History-Dependent Risk Attitude," Cowles Foundation Discussion Papers 1763, Cowles Foundation for Research in Economics, Yale University, revised Jul 2012.
    18. Thomas M. Eisenbach & Martin C. Schmalz, 2015. "Anxiety and pro-cyclical risk taking with Bayesian agents," Staff Reports 711, Federal Reserve Bank of New York.
    19. Eddie Dekel & Barton L. Lipman, 2009. "How (Not) to Do Decision Theory," Levine's Working Paper Archive 814577000000000339, David K. Levine.
    20. Mohammed Abdellaoui & Enrico Diecidue & Emmanuel Kemel & Ayse Onculer, 2022. "Temporal Risk: Utility vs. Probability Weighting," Management Science, INFORMS, vol. 68(7), pages 5162-5186, July.
    21. Wiafe, Osei K. & Basu, Anup K. & Chen, John, 2017. "The effects of age pension on retirement drawdown choices," Finance Research Letters, Elsevier, vol. 20(C), pages 81-87.
    22. Schweizer, Nikolaus & Szech, Nora, 2016. "Optimal revelation of life-changing information," Working Paper Series in Economics 90, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    23. Todd Sarver, 2012. "Optimal Reference Points and Anticipation," Discussion Papers 1566, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    24. Brownback, Andy & Kuhn, Michael A., 2019. "Understanding outcome bias," Games and Economic Behavior, Elsevier, vol. 117(C), pages 342-360.
    25. Edoardo Grillo, 2013. "Reference Dependence, Risky Projects and Credible Information Transmission," Carlo Alberto Notebooks 331, Collegio Carlo Alberto.

  16. Larry G. Epstein & Igor Kopylov, 2007. "An axiomatic model of 'cold feet'," RCER Working Papers 533, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Jawwad Noor, 2006. "Menu-Dependent Self-Control," Levine's Bibliography 122247000000001061, UCLA Department of Economics.
    2. Eisenbach, Thomas M. & Schmalz, Martin C., 2016. "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, vol. 121(2), pages 414-426.
    3. Macera, Rosario, 2014. "Dynamic beliefs," Games and Economic Behavior, Elsevier, vol. 87(C), pages 1-18.
    4. Kopylov, Igor, 2009. "Finite additive utility representations for preferences over menus," Journal of Economic Theory, Elsevier, vol. 144(1), pages 354-374, January.
    5. Barbos, Andrei, 2013. "A reference-dependent representation with subjective tastes," Journal of Mathematical Economics, Elsevier, vol. 49(2), pages 111-123.
    6. Thomas M. Eisenbach & Martin C. Schmalz, 2015. "Anxiety and pro-cyclical risk taking with Bayesian agents," Staff Reports 711, Federal Reserve Bank of New York.
    7. Chatterjee Kalyan & Krishna R. Vijay, 2012. "Uniquely Representing "A Preference for Uniformity"," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 12(1), pages 1-36, January.
    8. Barton L. Lipman & Wolfgang Pesendorfer, 2010. "Temptation," Boston University - Department of Economics - Working Papers Series WP2010-021, Boston University - Department of Economics.

  17. Larry Epstein & Igor Kopylov, 2006. "Cognitive Dissonance and Choice," RCER Working Papers 525, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Jawwad Noor, 2006. "Menu-Dependent Self-Control," Levine's Bibliography 122247000000001061, UCLA Department of Economics.
    2. Klaus Nehring, 2006. "Self-Control through Second-Order Preferences," Levine's Bibliography 321307000000000391, UCLA Department of Economics.
    3. Si Chen, 2013. "Optimistic versus Pessimistic--Optimal Judgemental Bias with Reference Point," Papers 1310.2964, arXiv.org.
    4. Schmitt, Rebecca, 2015. "Bridging the Attitude-Preference-Gap: A Cognitive Approach To Preference Formation," MPRA Paper 68480, University Library of Munich, Germany.
    5. Norio Takeoka, 2006. "Temptation, Certainty Effect, and Diminishing Self-Control," Levine's Bibliography 321307000000000507, UCLA Department of Economics.

  18. Larry G. Epstein & Massimo Marinacci & Seo Kyoungwon, 2006. "Coarse Contingencies," Carlo Alberto Notebooks 4, Collegio Carlo Alberto, revised 2007.

    Cited by:

    1. Marie-Louise Viero, 2006. "Exactly What Happens After The Anscombe-aumann Race? Representing Preferences In Vague Environments," Working Paper 1094, Economics Department, Queen's University.
    2. Larry Epstein & Igor Kopylov, 2006. "Cognitive Dissonance and Choice," RCER Working Papers 525, University of Rochester - Center for Economic Research (RCER).

  19. Larry G. Epstein & Massimo Marinacci, 2006. "Mutual Absolute Continuity of Multiple Priors," Carlo Alberto Notebooks 19, Collegio Carlo Alberto.

    Cited by:

    1. Bier, Monika & Engelage, Daniel, 2011. "Merging of opinions under uncertainty," Center for Mathematical Economics Working Papers 433, Center for Mathematical Economics, Bielefeld University.
    2. Rose Anne Dana & Frank Riedel, 2013. "Intertemporal equilibria with Knightian Uncertainty," Working Papers 2013-16, Department of Research, Ipag Business School.
    3. Aloisio Araujo & Alain Chateauneuf & José Heleno Faro, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Post-Print hal-03252242, HAL.
    4. Chambers, Christopher P. & Echenique, Federico, 2008. "Ordinal notions of submodularity," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1243-1245, December.
    5. Spyros Galanis, 2021. "Dynamic consistency, valuable information and subjective beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1467-1497, June.
    6. Christopher Chambers & Alan Miller & M. Bumin Yenmez, 2015. "Closure and Preferences," GSIA Working Papers 2015-E36, Carnegie Mellon University, Tepper School of Business.
    7. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 2013. "Savage Games: A Theory of Strategic Interaction with Purely Subjective Uncertainty," Risk and Sustainable Management Group Working Papers 151501, University of Queensland, School of Economics.
    8. Bade, Sophie, 2011. "Ambiguous act equilibria," Games and Economic Behavior, Elsevier, vol. 71(2), pages 246-260, March.
    9. Bier, Monika & Engelage, Daniel, 2010. "Merging of Opinions under Uncertainty," Bonn Econ Discussion Papers 11/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    10. Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
    11. Patrick Beissner, 2017. "Equilibrium prices and trade under ambiguous volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 213-238, August.
    12. Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
    13. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 2016. "Savage games," Theoretical Economics, Econometric Society, vol. 11(2), May.

  20. Larry G. Epstein & Jawwad Noor & Alvaro Sandroni, 2005. "Non-Bayesian Updating: A Theoretical Framework," Boston University - Department of Economics - Working Papers Series WP2005-025, Boston University - Department of Economics.

    Cited by:

    1. Li, Wenhui & Wilde, Christian, 2020. "Belief formation and belief updating under ambiguity: Evidence from experiments," SAFE Working Paper Series 251, Leibniz Institute for Financial Research SAFE, revised 2020.
    2. Kwon, Seokbeom & Motohashi, Kazuyuki, 2017. "How institutional arrangements in the National Innovation System affect industrial competitiveness: A study of Japan and the U.S. with multiagent simulation," Technological Forecasting and Social Change, Elsevier, vol. 115(C), pages 221-235.
    3. Piotr Evdokimov & Umberto Garfagnini, 2022. "Higher-order learning," Experimental Economics, Springer;Economic Science Association, vol. 25(4), pages 1234-1266, September.
    4. Daniel J. Benjamin, 2018. "Errors in Probabilistic Reasoning and Judgment Biases," NBER Working Papers 25200, National Bureau of Economic Research, Inc.
    5. Jawwad Noor & Fernando Payró Chew, 2022. "An Axiomatic Approach to the Law of Small Numbers," Working Papers 1364, Barcelona School of Economics.
    6. Ariane Lambert-Mogiliansky & François Dubois, 2015. "Transparency in Public Life. A Quantum Cognition Perspective," Working Papers halshs-01064980, HAL.
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    Cited by:

    1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
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    4. Hsieh, Chia-Chun & Ma, Zhiming & Novoselov, Kirill E., 2019. "Accounting conservatism, business strategy, and ambiguity," Accounting, Organizations and Society, Elsevier, vol. 74(C), pages 41-55.
    5. Safeer Ullah Khan & Mansi Wang & Ikram Ullah Khan & Xiang‐dong Liu, 2022. "Evaluating stock trading behaviour: Information sources nexus through intrinsic and extrinsic motivation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2965-2976, July.
    6. Bird, Ron & Yeung, Danny, 2012. "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 310-327.
    7. Doherty, Neil A. & Kartasheva, Anastasia V. & Phillips, Richard D., 2012. "Information effect of entry into credit ratings market: The case of insurers' ratings," Journal of Financial Economics, Elsevier, vol. 106(2), pages 308-330.
    8. John A. Major & Stephen J. Mildenhall, 2020. "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers 2008.12427, arXiv.org.
    9. Qingbin Gong & Xundi Diao, 2022. "Bounded rationality, asymmetric information and mispricing in financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(1), pages 235-264, July.
    10. Aharon, David Y. & Qadan, Mahmoud, 2020. "When do retail investors pay attention to their trading platforms?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
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    44. Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017. "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers 2017-09, University of Tasmania, Tasmanian School of Business and Economics.
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  22. Larry Epstein & Martin Schneider, 2002. "IID: Independently and Indistinguishably Distributed," RCER Working Papers 496, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2006. "Recursive Smooth Ambiguity Preferences," Carlo Alberto Notebooks 17, Collegio Carlo Alberto, revised 2008.
    2. Frank Riedel & Linda Sass, 2014. "Ellsberg games," Theory and Decision, Springer, vol. 76(4), pages 469-509, April.
    3. Werner, Jan, 2022. "Speculative trade under ambiguity," Journal of Economic Theory, Elsevier, vol. 199(C).
    4. Ellis, Andrew, 2018. "On dynamic consistency in ambiguous games," LSE Research Online Documents on Economics 89387, London School of Economics and Political Science, LSE Library.
    5. Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER).
    6. Paul Viefers, 2012. "Should I Stay or Should I Go?: A Laboratory Analysis of Investment Opportunities under Ambiguity," Discussion Papers of DIW Berlin 1228, DIW Berlin, German Institute for Economic Research.
    7. Tatjana Chudjakow & Frank Riedel, 2013. "The best choice problem under ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 77-97, September.
    8. Hansen, Lars Peter & Sargent, Thomas J., 2007. "Recursive robust estimation and control without commitment," Journal of Economic Theory, Elsevier, vol. 136(1), pages 1-27, September.
    9. Marinacci Massimo & Principi Giulio & Stanca Lorenzo, 2023. "Recursive Preferences and Ambiguity Attitudes," Working papers 082, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    10. Chen, Zengjing & Epstein, Larry G., 2022. "A central limit theorem for sets of probability measures," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 424-451.
    11. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
    12. Sujoy Mukerji & Peter Klibanoff & Massimo Marinacci, 2009. "On the Smooth Ambiguity Model: A Reply," Economics Series Working Papers 449, University of Oxford, Department of Economics.
    13. Massimo Marinacci & Giulio Principi & Lorenzo Stanca, 2023. "Recursive Preferences and Ambiguity Attitudes," Carlo Alberto Notebooks 695 JEL Classification: C, Collegio Carlo Alberto.
    14. Zerihun, Mulatu F. & Breitenbach, Marthinus C., 2016. "Nonlinear approaches in testing PPP: Evidence from Southern African development community," Economic Modelling, Elsevier, vol. 56(C), pages 162-167.
    15. Maximilian Blesch & Philipp Eisenhauer, 2021. "Robust decision-making under risk and ambiguity," Papers 2104.12573, arXiv.org, revised Oct 2021.
    16. Feng, Chunrong & Wu, Panyu & Zhao, Huaizhong, 2020. "Ergodicity of invariant capacities," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5037-5059.
    17. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    18. Larry G. Epstein & Martin Schneider, 2008. "Ambiguity, Information Quality, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 197-228, February.
    19. Ilut, Cosmin & Saijo, Hikaru, 2021. "Learning, confidence, and business cycles," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 354-376.
    20. M. Trojanowska & P. M. Kort, 2010. "The Worst Case for Real Options," Journal of Optimization Theory and Applications, Springer, vol. 146(3), pages 709-734, September.
    21. Kishishita, Daiki, 2020. "(Not) delegating decisions to experts: The effect of uncertainty," Journal of Economic Theory, Elsevier, vol. 190(C).
    22. Massimo Marinacci & Giulio Principi & Lorenzo Stanca, 2023. "Recursive Preferences and Ambiguity Attitudes," Papers 2304.06830, arXiv.org, revised Aug 2023.

  23. Larry Epstein & Martin Schneider, 2002. "Learning Under Ambiguity," RCER Working Papers 497, University of Rochester - Center for Economic Research (RCER), revised Mar 2005.

    Cited by:

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  24. Larry Epstein, 2002. "An Axiomatic Model of Non-Bayesian Updating," RCER Working Papers 498, University of Rochester - Center for Economic Research (RCER), revised Jan 2005.

    Cited by:

    1. Jordi Brandts & Arno Riedl & Frans van Winden, 2004. "Competition and Well-Being," Working Papers 120, Barcelona School of Economics.
    2. Li, Wenhui & Wilde, Christian, 2020. "Belief formation and belief updating under ambiguity: Evidence from experiments," SAFE Working Paper Series 251, Leibniz Institute for Financial Research SAFE, revised 2020.
    3. ,, 2013. "Contingent preference for flexibility: eliciting beliefs from behavior," Theoretical Economics, Econometric Society, vol. 8(2), May.
    4. Andrés Perea, 2009. "A Model of Minimal Probabilistic Belief Revision," Theory and Decision, Springer, vol. 67(2), pages 163-222, August.
    5. Edoardo Gallo & Alastair Langtry, 2020. "Social networks, confirmation bias and shock elections," Papers 2011.00520, arXiv.org.
    6. Minardi, Stefania & Savochkin, Andrei, 2019. "Subjective contingencies and limited Bayesian updating," Journal of Economic Theory, Elsevier, vol. 183(C), pages 1-45.
    7. Philipp Sadowski, 2011. "Contingent Preference for Flexibility: Eliciting Beliefs from Behavior," Levine's Working Paper Archive 661465000000001189, David K. Levine.
    8. Ganguli, Jayant & Heifetz, Aviad & Lee, Byung Soo, 2016. "Universal interactive preferences," Journal of Economic Theory, Elsevier, vol. 162(C), pages 237-260.
    9. Spyros Galanis, 2021. "Dynamic consistency, valuable information and subjective beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1467-1497, June.
    10. Jawwad Noor & Fernando Payró Chew, 2022. "An Axiomatic Approach to the Law of Small Numbers," Working Papers 1364, Barcelona School of Economics.
    11. André Lapied & Thomas Rongiconi, 2013. "Ambiguity as a Source of Temptation: Modeling Unstable Beliefs," AMSE Working Papers 1316, Aix-Marseille School of Economics, France.
    12. Antonio, Filippin & Marco, Mantovani, 2019. "Risk Aversion and Information Aggregation in Asset Markets," Working Papers 404, University of Milano-Bicocca, Department of Economics, revised Apr 2019.
    13. Laibson, David I., 1997. "Golden Eggs and Hyperbolic Discounting," Scholarly Articles 4481499, Harvard University Department of Economics.
    14. Antony Millner & Hélène Ollivier & Leo Simon, 2020. "Confirmation bias and signaling in Downsian elections," Post-Print halshs-02875069, HAL.
    15. Mark Whitmeyer, 2023. "Bayes = Blackwell, Almost," Papers 2302.13956, arXiv.org, revised Oct 2023.
    16. Nuno Camacho & Bas Donkers & Stefan Stremersch, 2011. "Predictably Non-Bayesian: Quantifying Salience Effects in Physician Learning About Drug Quality," Marketing Science, INFORMS, vol. 30(2), pages 305-320, 03-04.
    17. Larry G. Epstein & Alvaro Sandroni, 2003. "Non-Bayesian Updating : A Theoretical Framework," RCER Working Papers 505, University of Rochester - Center for Economic Research (RCER).
    18. Boğaçhan Çelen & Sen Geng & Huihui Li, 2019. "Belief Error and Non-Bayesian Social Learning: Experimental Evidence," Working Papers 2019-07-08, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    19. Yves Breitmoser & Justin Valasek & Justin Mattias Valasek, 2023. "Why Do Committees Work?," CESifo Working Paper Series 10800, CESifo.
    20. Larry G. Epstein & Igor Kopylov, 2007. "An axiomatic model of 'cold feet'," RCER Working Papers 533, University of Rochester - Center for Economic Research (RCER).
    21. Igor Kopylov & Jawwad Noor, 2018. "Commitments and weak resolve," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(1), pages 1-19, July.
    22. Breitmoser, Yves & Valasek, Justin, 2023. "Why do committees work?," Discussion Paper Series in Economics 18/2023, Norwegian School of Economics, Department of Economics.
    23. Markus K. Brunnermeier & Filippos Papakonstantinou & Jonathan A. Parker, 2017. "Optimal Time-Inconsistent Beliefs: Misplanning, Procrastination, and Commitment," Management Science, INFORMS, vol. 63(5), pages 1318-1340, May.
    24. Mathevet, Laurent, 2012. "Beliefs and rationalizability in games with complementarities," MPRA Paper 36032, University Library of Munich, Germany.
    25. Kopylov, Igor, 2009. "Finite additive utility representations for preferences over menus," Journal of Economic Theory, Elsevier, vol. 144(1), pages 354-374, January.
    26. He, Xue Dong & Xiao, Di, 2017. "Processing consistency in non-Bayesian inference," Journal of Mathematical Economics, Elsevier, vol. 70(C), pages 90-104.
    27. Epstein Larry G & Noor Jawwad & Sandroni Alvaro, 2010. "Non-Bayesian Learning," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-20, January.
    28. Takashi Hayashi, 2011. "Context dependence and consistency in dynamic choice under uncertainty: the case of anticipated regret," Theory and Decision, Springer, vol. 70(4), pages 399-430, April.
    29. Takashi Hayashi, 2008. "Context dependence and consistency in dynamic choice under uncertainty: the case of anticipated regret," KIER Working Papers 659, Kyoto University, Institute of Economic Research.
    30. Aurélien Baillon & Han Bleichrodt & Umut Keskin & Olivier l’Haridon & Chen Li, 2018. "The Effect of Learning on Ambiguity Attitudes," Management Science, INFORMS, vol. 64(5), pages 2181-2198, May.
    31. Daniele Pennesi, 2020. "Identity and information acquisition," Carlo Alberto Notebooks 610, Collegio Carlo Alberto, revised 2021.
    32. Alós-Ferrer, Carlos & Mihm, Maximilian, 2023. "An Axiomatic Characterization of Bayesian Updating," Journal of Mathematical Economics, Elsevier, vol. 104(C).
    33. Kopylov Igor, 2009. "Temptations in General Settings," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 9(1), pages 1-25, September.
    34. Sun, Lan, 2016. "Hypothesis testing equilibrium in signaling games," Center for Mathematical Economics Working Papers 557, Center for Mathematical Economics, Bielefeld University.
    35. An, Galina & Becker, Charles M., 2013. "Uncertainty, Insecurity, and Emigration from Kazakhstan to Russia," World Development, Elsevier, vol. 42(C), pages 44-66.
    36. Kalyan Chatterjee & R. Krishna, 2011. "On preferences with infinitely many subjective states," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(1), pages 85-98, January.
    37. Riella, Gil, 2013. "Preference for Flexibility and Dynamic Consistency," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2467-2482.
    38. Adam Dominiak & Matthew Kovach & Gerelt Tserenjigmid, 2022. "Ordered Surprises and Conditional Probability Systems," Papers 2208.02533, arXiv.org, revised Aug 2022.
    39. Manzan, Sebastiano, 2021. "Are professional forecasters Bayesian?," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
    40. Sadowski, Philipp, 2008. "Conditional Preference for Flexibility: Eliciting Beliefs from Behavior," MPRA Paper 8614, University Library of Munich, Germany.
    41. Chemla, Gilles & Hennessy, Christopher A., 2019. "Controls, belief updating, and bias in medical RCTs," Journal of Economic Theory, Elsevier, vol. 184(C).
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    43. Lee, Yong-Ju & Lim, Wooyoung & Zhao, Chen, 2023. "Cheap talk with prior-biased inferences," Games and Economic Behavior, Elsevier, vol. 138(C), pages 254-280.
    44. Barton L. Lipman & Wolfgang Pesendorfer, 2010. "Temptation," Boston University - Department of Economics - Working Papers Series WP2010-021, Boston University - Department of Economics.
    45. Takeoka, Norio, 2007. "Subjective probability over a subjective decision tree," Journal of Economic Theory, Elsevier, vol. 136(1), pages 536-571, September.
    46. Jawwad Noor & Igor Kopylov, 2010. "Self-Deception and Choice," Boston University - Department of Economics - Working Papers Series WP2010-042, Boston University - Department of Economics.
    47. Gallo, E. & Langtry, A., 2020. "Social Networks, Confirmation Bias and Shock Elections," Cambridge Working Papers in Economics 2099, Faculty of Economics, University of Cambridge.
    48. Aurélien Baillon & Han Bleichrodt & Umut Keskin & Olivier L'Haridon & Author-Name: Chen Li, 2013. "Learning under ambiguity: An experiment using initial public offerings on a stock market," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201331, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
    49. Zhang, Hanzhe, 2013. "Evolutionary justifications for non-Bayesian beliefs," Economics Letters, Elsevier, vol. 121(2), pages 198-201.
    50. Zimper, Alexander, 2023. "Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes," Mathematical Social Sciences, Elsevier, vol. 125(C), pages 27-41.
    51. Daniele Pennesi, 2021. "Between Commitment and Flexibility: Revealing Anticipated Regret and Elation," Working papers 071, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    52. Matthew Kovach, 2021. "Conservative Updating," Papers 2102.00152, arXiv.org.

  25. Larry G. Epstein & JianJun Miao, 2001. "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers 478, University of Rochester - Center for Economic Research (RCER).

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    1. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
    2. 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.
    3. Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
    4. Hening Liu, 2013. "Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 21-52, May.
    5. Nigel Pain & Desirée Van Welsum, 2003. "Untying The Gordian Knot: The Multiple Links Between Exchange Rates and Foreign Direct Investment," Journal of Common Market Studies, Wiley Blackwell, vol. 41(5), pages 823-846, December.
    6. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    7. Bianchi, Milo & Dana, Rose-Anne & Jouini, Elyès, 2021. "Equilibrium CEO Contract with Belief Heterogeneity," TSE Working Papers 21-1253, Toulouse School of Economics (TSE).
    8. Dlugosch, Dennis & Horn, Kristian & Wang, Mei, 2023. "New experimental evidence on the relationship between home bias, ambiguity aversion and familiarity heuristics," Journal of Economics and Business, Elsevier, vol. 125.
    9. Miao, Jianjun & Wang, Neng, 2011. "Risk, uncertainty, and option exercise," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
    10. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
    11. Dirk Hackbarth & Jianjun Maio, 2007. "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series WP2007-017, Boston University - Department of Economics.
    12. Raman Uppal & Tan Wang, 2003. "Model Misspecification and Underdiversification," Journal of Finance, American Finance Association, vol. 58(6), pages 2465-2486, December.
    13. Q. Farooq Akram & Yakov Ben-Haim & Øyvind Eitrheim, 2008. "Robust-satisficing monetary policy under parameter uncertainty," Working Paper 2007/14, Norges Bank.
    14. Wei-ling Chen & Leh-chyan So, 2014. "Validation of the Merton Distance to the Default Model under Ambiguity," JRFM, MDPI, vol. 7(1), pages 1-15, March.
    15. Omid Ranjbar & Tsangyao Chang & Chien-Chiang Lee & Zahra Mila Elmi, 2018. "Catching-up process in the transition countries," Economic Change and Restructuring, Springer, vol. 51(3), pages 249-278, August.
    16. Matteo Del Vigna, 2011. "Ambiguity made easier," Working Papers - Mathematical Economics 2011-07, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    17. Diederik Aerts & Emmanuel Haven & Sandro Sozzo, 2018. "A proposal to extend expected utility in a quantum probabilistic framework," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 65(4), pages 1079-1109, June.
    18. Diederik Aerts & Emmanuel Haven & Sandro Sozzo, 2016. "A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework," Papers 1612.08583, arXiv.org.
    19. Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany.
    20. Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER).
    21. Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2010. "Ambiguity in Asset Markets: Theory and Experiment," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1325-1359, April.
    22. Hui Chen & Nengjiu Ju & Jianjun Miao, "undated". "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
    23. Jianjun Miao, 2004. "A Note on Consumption and Savings under Knightian Uncertainty," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 299-311, November.
    24. Maela Giofré, 2009. "Convergence of EMU Equity Portfolios," CeRP Working Papers 88, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    25. Sujoy Mukerji & Jean-Marc Tallon & EUREQua & CNRS - Universite Paris I., 2003. "An overview of economic applications of David Schmeidler`s models of decision making under uncertainty," Economics Series Working Papers 165, University of Oxford, Department of Economics.
    26. 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.
    27. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.
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    50. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2004. "Rationality of Belief Or Why Bayesianism is neither necessary nor sufficient for rationality," PIER Working Paper Archive 04-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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    52. Fabio Maccheroni & Massimo Marinacci & Doriana Ruffino, 2013. "Alpha as Ambiguity: Robust Mean‐Variance Portfolio Analysis," Econometrica, Econometric Society, vol. 81(3), pages 1075-1113, May.
    53. Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008. "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 08-19, Swiss Finance Institute.
    54. Scott Condie, 2008. "Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(1), pages 81-108, July.
    55. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris Nanterre, EconomiX.
    56. Pascal L. Ghazalian, 2012. "Home Bias in Primary Agricultural and Processed Food Trade: Assessing the Effects of National Degree of Uncertainty Aversion," Journal of Agricultural Economics, Wiley Blackwell, vol. 63(2), pages 265-290, June.
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    58. Massimo Guidolin, 2005. "Home bias and high turnover in an overlapping generations model with learning," Working Papers 2005-012, Federal Reserve Bank of St. Louis.
    59. Sujoy Mukerji & Peter Klibanoff & Northwesern University Massimo Marinacci & Dip. di Satistic e Matematica Applicata & Universita di Torino and ICER, 2002. "A Smooth Model of Decision,Making Under Ambiguity," Economics Series Working Papers 113, University of Oxford, Department of Economics.
    60. Takao Asano & Yusuke Osaki, 2017. "Portfolio Allocation Problems between Risky Ambiguous Assets," KIER Working Papers 975, Kyoto University, Institute of Economic Research.
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    67. Keisuke Kizaki & Taiga Saito & Akihiko Takahashi, 2023. "A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Forthcoming in "Insurance: Mathematics and Economics")," CARF F-Series CARF-F-576, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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    1. Sujoy Mukerji & Jean-Marc Tallon, 2003. "Ellsberg's two-color experiment, portfolio inertia and ambiguity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00499358, HAL.
    2. Sujoy Mukerji & Jean-Marc Tallon & CNRS-EUREQua & Universite Paris I, 2002. "Ellsberg`s 2-Color Experiment, Bid-Ask Behavior and Ambiguity," Economics Series Working Papers 114, University of Oxford, Department of Economics.
    3. Liu, Ce & Chambers, Christopher & Martinez, Seung-Keun, 2016. "A Test for Risk-Averse Expected Utility," Working Papers 2016-1, Michigan State University, Department of Economics.
    4. Zambrano, Eduardo, 2005. "Testable implications of subjective expected utility theory," Games and Economic Behavior, Elsevier, vol. 53(2), pages 262-268, November.
    5. Fontana, Giuseppe & Gerrard, Bill, 2004. "A Post Keynesian theory of decision making under uncertainty," Journal of Economic Psychology, Elsevier, vol. 25(5), pages 619-637, October.
    6. Echenique, Federico & Imai, Taisuke & Saito, Kota, 2019. "Decision Making under Uncertainty: An Experimental Study in Market Settings," Rationality and Competition Discussion Paper Series 197, CRC TRR 190 Rationality and Competition.
    7. Xiao Luo & Yi-Chun Chen, 2004. "A Unified Approach to Information, Knowledge, and Stability," Econometric Society 2004 Far Eastern Meetings 472, Econometric Society.
    8. Federico Echenique, 2019. "New developments in revealed preference theory: decisions under risk, uncertainty, and intertemporal choice," Papers 1908.07561, arXiv.org, revised Dec 2019.
    9. Christopher P. Chambers & Georgios Gerasimou, 2023. "Non-diversified portfolios with subjective expected utility," Papers 2304.08059, arXiv.org, revised Jan 2024.
    10. Pierpaolo Angelini, 2023. "Probability Spaces Identifying Ordinal and Cardinal Utilities in Problems of an Economic Nature: New Issues and Perspectives," Mathematics, MDPI, vol. 11(20), pages 1-22, October.
    11. Raghav Malhotra, 2022. "(Functional)Characterizations vs (Finite)Tests: Partially Unifying Functional and Inequality-Based Approaches to Testing," Papers 2208.03737, arXiv.org, revised Dec 2023.
    12. Carmela Mauro, 2008. "Uncertainty Aversion Vs. Competence: An Experimental Market Study," Theory and Decision, Springer, vol. 64(2), pages 301-331, March.
    13. Grant, Simon & Karni, Edi, 2004. "A theory of quantifiable beliefs," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 515-546, August.

  29. Larry G. Epstein & Jiankang Zhang, 1999. "Subjective Probabilities on Subjectively Unambiguous Events," Carleton Economic Papers 99-18, Carleton University, Department of Economics.

    Cited by:

    1. Grant, S. & Quiggin, J., 2001. "A Model-Free Definition of Increasing Uncertainty," Other publications TiSEM 32193c0e-b842-478a-b6ed-8, Tilburg University, School of Economics and Management.
    2. Simon Grant & John Quiggin, 2004. "Increasing Uncertainty: A Definition," Risk & Uncertainty Working Papers WPR04_4, Risk and Sustainable Management Group, University of Queensland.
    3. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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    5. Dominiak, Adam & Lefort, Jean-Philippe, 2009. "Unambiguous Events and Dynamic Choquet Preferences," Working Papers 0489, University of Heidelberg, Department of Economics.
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    9. Ehud Lehrer, 2012. "Partially Specified Probabilities: Decisions and Games," American Economic Journal: Microeconomics, American Economic Association, vol. 4(1), pages 70-100, February.
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    11. Norio Takeoka & Takashi Ui, 2021. "Imprecise Information and Second-Order Beliefs," Working Papers on Central Bank Communication 037, University of Tokyo, Graduate School of Economics.
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    49. Simone Cerreia-Vioglio & Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2010. "Rational Preferences under Ambiguity," Carlo Alberto Notebooks 169, Collegio Carlo Alberto.
      • Simone Cerreia-Vioglio & Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2011. "Rational preferences under ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 341-375, October.
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    61. Haluk Ergin & Faruk Gul, 2003. "A Subjective Theory of Compound Lotteries," Levine's Bibliography 506439000000000406, UCLA Department of Economics.
    62. Massimiliano Amarante, 2004. "Notes and Comments: On the uniqueness of convex-ranged probabilities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 81-85, August.
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    65. Angelini, Pierpaolo & Maturo, Fabrizio, 2022. "The price of risk based on multilinear measures," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 39-57.
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    70. Nicolas Lampach & Sandrine Spaeter, 2016. "The Efficiency of (strict) Liability Rules revised in Risk and Ambiguity," Working Papers of BETA 2016-29, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
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    75. William Neilson, 2010. "A simplified axiomatic approach to ambiguity aversion," Journal of Risk and Uncertainty, Springer, vol. 41(2), pages 113-124, October.
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    83. Robert F. Nau, 2003. "A Generalization of Pratt-Arrow Measure to Nonexpected-Utility Preferences and Inseparable Probability and Utility," Management Science, INFORMS, vol. 49(8), pages 1089-1104, August.
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      • Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Papers 07-50, Sonderforschungsbreich 504.
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  30. Epstein, L.G. & Zhang, J., 1998. "Subjective Probabilities on Subjectivity Unambiguous Event," RCER Working Papers 456, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Dominiak, Adam & Lefort, Jean-Philippe, 2009. "Unambiguous Events and Dynamic Choquet Preferences," Working Papers 0489, University of Heidelberg, Department of Economics.
    3. Miao, Jianjun & Wang, Neng, 2011. "Risk, uncertainty, and option exercise," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
    4. Dirk Hackbarth & Jianjun Maio, 2007. "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series WP2007-017, Boston University - Department of Economics.
    5. Sujoy Mukerji & Jean-Marc Tallon & CNRS-EUREQua & Universite Paris I, 2002. "Ellsberg`s 2-Color Experiment, Bid-Ask Behavior and Ambiguity," Economics Series Working Papers 114, University of Oxford, Department of Economics.
    6. Jianjun Miao, 2004. "A Note on Consumption and Savings under Knightian Uncertainty," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 299-311, November.
    7. Massimo Marinacci, 2002. "Probabilistic Sophistication and Multiple Priors," Econometrica, Econometric Society, vol. 70(2), pages 755-764, March.
    8. Larry Epstein & Massimo Marinacci, 2005. "Coarse Contingencies," RCER Working Papers 515, University of Rochester - Center for Economic Research (RCER).
    9. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2011. "Definitions of ambiguous events and the smooth ambiguity model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 399-424, October.
    10. Robert Chambers & Tigran Melkonyan, 2008. "Eliciting beliefs," Theory and Decision, Springer, vol. 65(4), pages 271-284, December.
    11. Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Post-Print hal-00685408, HAL.
    12. Brian Hill, 2009. "Confidence and ambiguity," Working Papers hal-00489870, HAL.
    13. Abe Dunn, 2012. "Drug Innovations and Welfare Measures Computed from Market Demand: The Case of Anti-cholesterol Drugs," American Economic Journal: Applied Economics, American Economic Association, vol. 4(3), pages 167-189, July.
    14. Haluk Ergin & Faruk Gul, 2004. "A subjective theory of compound lotteries," Econometric Society 2004 North American Summer Meetings 152, Econometric Society.
    15. Claude Henry & Marc Henry, 2002. "Formalization and applications of the Precautionary Principle," Working Papers hal-00243001, HAL.
    16. Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University.
    17. John Quiggin, 2007. "Ambiguity and the Value of Information: An Almost-objective Events Analysis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 30(3), pages 409-414, March.
    18. Simone Cerreia-Vioglio & Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2010. "Rational Preferences under Ambiguity," Carlo Alberto Notebooks 169, Collegio Carlo Alberto.
      • Simone Cerreia-Vioglio & Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2011. "Rational preferences under ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 341-375, October.
    19. Haluk Ergin & Faruk Gul, 2003. "A Subjective Theory of Compound Lotteries," Levine's Bibliography 506439000000000406, UCLA Department of Economics.
    20. Massimiliano Amarante, 2004. "Notes and Comments: On the uniqueness of convex-ranged probabilities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 81-85, August.
    21. Atsushi Kajii & Takashi Ui, 2004. "Incomplete Information Games with Multiple Priors," KIER Working Papers 583, Kyoto University, Institute of Economic Research.
    22. Andrea Capotorti & Giulianella Coletti & Barbara Vantaggi, 2008. "Preferences Representable by a Lower Expectation: Some Characterizations," Theory and Decision, Springer, vol. 64(2), pages 119-146, March.
    23. Marciano Siniscalchi, 2003. "A Behavioral Characterization of Plausible Priors," Discussion Papers 1365, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    24. Marciano Siniscalchi, 2001. "Bayesian Updating for General Maxmin Expected Utility Preferences," Discussion Papers 1366, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    25. Jianjun Miao, 2003. "Consumption and Saving under Knightian Uncertainty," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-134, Boston University - Department of Economics.
    26. Marciano Siniscalchi, "undated". "Vector-Adjusted Expected Utility," Working Papers 191, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    27. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

  31. Larry Epstein, 1997. "Uncertainty Aversion," Working Papers epstein-97-01, University of Toronto, Department of Economics.

    Cited by:

    1. Massimo Marinacci, 2002. "Probabilistic Sophistication and Multiple Priors," Econometrica, Econometric Society, vol. 70(2), pages 755-764, March.
    2. Alain Chateauneuf & Rose Anne Dana & Jean-Marc Tallon, 2002. "Diversification, convex preferences and non-empty core in the Choquet expected utility model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00174770, HAL.
    3. Yoram Halevy & Vincent Feltkamp, 2005. "A Bayesian Approach to Uncertainty Aversion," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(2), pages 449-466.

  32. Larry Epstein & Michael Peters, 1996. "A Revelation Principle For Competing Mechanisms," Working Papers peters-96-02, University of Toronto, Department of Economics.

    Cited by:

    1. ATTAR, Andrea & MAJUMDAR, Dipjyoti & PIASER, Gwenaêl & PORTEIRO, Nicolàs, 2003. "Common agency games with separable preferences," LIDAM Discussion Papers CORE 2003102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Seungjin Han, 2014. "Robust Competitive Auctions," Department of Economics Working Papers 2014-04, McMaster University, revised Oct 2014.
    3. Peters, Michael, 2001. "Common Agency and the Revelation Principle," Econometrica, Econometric Society, vol. 69(5), pages 1349-1372, September.
    4. Gabor Virag, 2008. "Buyer heterogeneity and competing mechanism," 2008 Meeting Papers 702, Society for Economic Dynamics.
    5. Pavan, Alessandro & Calzolari, Giacomo, 2009. "Sequential contracting with multiple principals," Journal of Economic Theory, Elsevier, vol. 144(2), pages 503-531, March.
    6. Han, Seungjin, 2011. "Implicit Collusion in Non-Exclusive Contracting under Adverse Selection," Microeconomics.ca working papers seungjin_han-2011-10, Vancouver School of Economics, revised 02 Apr 2013.
    7. Giuseppe Moscarini & Marco Ottaviani, 1998. "Price Competition for an Informed Buyer," Cowles Foundation Discussion Papers 1199, Cowles Foundation for Research in Economics, Yale University.
    8. Peters, Michael, 2010. "On the Revelation Principle and Reciprocal Mechanisms in Competing Mechanism Games," Microeconomics.ca working papers michael_peters-2010-18, Vancouver School of Economics, revised 19 Feb 2014.
    9. Martimort David & Stole Lars, 2003. "Contractual Externalities and Common Agency Equilibria," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 3(1), pages 1-40, July.
    10. Michael Peters, 1997. "Surplus Extraction and Competition," Working Papers peters-97-02, University of Toronto, Department of Economics.
    11. Florence Lachet-Touya, 2013. "Tax Interactions with Asymmetric Information and Nonlinear Instruments," Working Papers hal-02945285, HAL.
    12. Noriaki Matsushima & Ryusuke Shinohara, 2011. "What factors determine the number of trading partners?," ISER Discussion Paper 0808, Institute of Social and Economic Research, Osaka University.
    13. Cai, Xiaoming & Gautier, Pieter A. & Wolthoff, Ronald P., 2017. "Search frictions, competing mechanisms and optimal market segmentation," Journal of Economic Theory, Elsevier, vol. 169(C), pages 453-473.
    14. Seungjin Han, 2021. "Robust Equilibria in General Competing Mechanism Games," Department of Economics Working Papers 2021-07, McMaster University.
    15. Philipp Kircher & Jan Eeckhout, 2008. "Prices as Optimal Competitive Sales Mechanisms," 2008 Meeting Papers 504, Society for Economic Dynamics.
    16. Larry G. Epstein & Alvaro Sandroni, 2003. "Non-Bayesian Updating : A Theoretical Framework," RCER Working Papers 505, University of Rochester - Center for Economic Research (RCER).
    17. David Martimort & Lars Stole, 2002. "The Revelation and Delegation Principles in Common Agency Games," Econometrica, Econometric Society, vol. 70(4), pages 1659-1673, July.
    18. Xiaoming Cai & Pieter Gautier & Ronald Wolthoff, 2023. "Meetings And Mechanisms," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(1), pages 155-185, February.
    19. Han, Seungjin, 2004. "Menu Theorems for Bilateral Contracting," Microeconomics.ca working papers han-04-01-29-10-05-13, Vancouver School of Economics, revised 29 Jan 2004.
    20. Laurence Ales & Pricila Maziero, "undated". "Non-exclusive Dynamic Contracts, Competition, and the Limits of Insurance," GSIA Working Papers 2010-E59, Carnegie Mellon University, Tepper School of Business.
    21. Andrea Attar & Eloisa Campioni & Gwenaël Piaser, 2015. "On Competing Mechanisms under Exclusive Competition," Working Papers 2015-632, Department of Research, Ipag Business School.
    22. Peters, Michael & Troncoso-Valverde, Cristian, 2010. "A Folk Theorem for Competing Mechanisms," Microeconomics.ca working papers michael_peters-2010-17, Vancouver School of Economics, revised 19 Oct 2013.
    23. Giacomo Calzolari & Alessandro Pavan, 2005. "On the Optimality of Privacy in Sequential Contracting," Discussion Papers 1404, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    24. Krasteva, Silvana & Yildirim, Huseyin, 2012. "On the role of confidentiality and deadlines in bilateral negotiations," Games and Economic Behavior, Elsevier, vol. 75(2), pages 714-730.
    25. Florence Lachet-Touya, 2009. "Tax Interactions with Asymmetric Information and Nonlinear Instruments," Working Papers hal-03551027, HAL.
    26. Adam Tauman Kalai & Ehud Kalai & Dov Samet, 2007. "Voluntary Commitments Lead to Efficiency," Discussion Papers 1444, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    27. Parreiras, Sergio O., 2005. "Correlated information, mechanism design and informational rents," Journal of Economic Theory, Elsevier, vol. 123(2), pages 210-217, August.
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    1. Angelo Melino, 2006. "Measuring the Cost of Economic Fluctuations with Preferences that Rationalize the Equity Premium," Working Papers tecipa-256, University of Toronto, Department of Economics.
    2. Giordani, Paolo & Söderlind, Paul, 2002. "Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions," SSE/EFI Working Paper Series in Economics and Finance 499, Stockholm School of Economics, revised 15 May 2003.
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    4. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics.
    5. Marinacci, Massimo & Montrucchio, Luigi, 2010. "Unique solutions for stochastic recursive utilities," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1776-1804, September.
    6. Lars Peter Hansen & Thomas J. Sargent, 2001. "Acknowledging Misspecification in Macroeconomic Theory," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 519-535, July.

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    1. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
    2. Raymond Kan & Cesare Robotti, 2016. "The Exact Distribution of the Hansen–Jagannathan Bound," Management Science, INFORMS, vol. 62(7), pages 1915-1943, July.
    3. Angelo Melino, 2006. "Measuring the Cost of Economic Fluctuations with Preferences that Rationalize the Equity Premium," Working Papers tecipa-256, University of Toronto, Department of Economics.
    4. Tao Wu, 2001. "Macro factors and the affine term structure of interest rates," Working Paper Series 2002-06, Federal Reserve Bank of San Francisco.
    5. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
    6. Raymond Kan & Cesare Robotti, 2008. "The exact distribution of the Hansen-Jagannathan bound," FRB Atlanta Working Paper 2008-09, Federal Reserve Bank of Atlanta.
    7. CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Cahiers de recherche 10-2009, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309, National Bureau of Economic Research, Inc.
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    4. Skander J. Van den Heuvel, 2008. "Temporal Risk Aversion and Asset Prices," 2008 Meeting Papers 46, Society for Economic Dynamics.
    5. Nina Boyarchenko, 2014. "No Good Deals—No Bad Models," Liberty Street Economics 20140505, Federal Reserve Bank of New York.
    6. M. Fatih Guvenen, 2003. "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers 499, University of Rochester - Center for Economic Research (RCER).
    7. Ai, Hengjie & Li, Jun E. & Li, Kai & Schlag, Christian, 2019. "The collateralizability premium," SAFE Working Paper Series 264, Leibniz Institute for Financial Research SAFE.
    8. Hui Chen & Michael Michaux & Nikolai Roussanov, 2020. "Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty," Journal of Finance, American Finance Association, vol. 75(1), pages 323-375, February.
    9. Emmanuelle Augeraud-Véron & Giorgio Fabbri & Katheline Schubert, 2019. "The Value of Biodiversity as an Insurance Device," PSE-Ecole d'économie de Paris (Postprint) halshs-02301711, HAL.
    10. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
    11. Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010. "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, vol. 100(2), pages 552-556, May.
    12. Jozef Barun'ik & Matv{e}j Nevrla, 2018. "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Papers 1806.06148, arXiv.org, revised Dec 2021.
    13. Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Janeway Institute Working Papers 2226, Faculty of Economics, University of Cambridge.
    14. Chi Seng Pun, 2022. "Robust classical-impulse stochastic control problems in an infinite horizon," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(2), pages 291-312, October.
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    17. van der Ploeg, Frederick & ,, 2018. "Pricing Carbon Under Economic and Climactic Risks: Leading-Order Results from Asymptotic Analysis," CEPR Discussion Papers 12642, C.E.P.R. Discussion Papers.
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    22. Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu, 2011. "An Equilibrium Asset Pricing Model with Labor Market Search," Working Paper Series 2012-01, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    23. 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.
    24. Barro, Robert J. & Liao, Gordon Y., 2021. "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, vol. 139(3), pages 750-769.
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    26. Olivier J Blanchard, 2019. "Public Debt and Low Interest Rates," Working Paper Series WP19-4, Peterson Institute for International Economics.
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    36. Maria João Ribeiro, 2003. "Endogenous Growth: Analytical Review of its Generating Mechanisms," NIPE Working Papers 4/2003, NIPE - Universidade do Minho.
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    1667. Richard E. Howitt & Siwa Msangi & Arnaud Reynaud & Keith C. Knapp, 2005. "Estimating Intertemporal Preferences for Natural Resource Allocation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 969-983.
    1668. Kraft, Holger & Munk, Claus & Weiss, Farina, 2022. "Bequest motives in consumption-portfolio decisions with recursive utility," Journal of Banking & Finance, Elsevier, vol. 138(C).
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    1701. Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2021. "Indifference pricing of insurance-linked securities in a multi-period model," European Journal of Operational Research, Elsevier, vol. 289(2), pages 793-805.
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    1706. Myroslav Pidkuyko & Raffaele Rossi & Klaus Reiner Schenk-Hoppé, 2019. "The Resolution of Long-Run Risk," Economics Discussion Paper Series 1908, Economics, The University of Manchester.
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    1708. Cejnek, Georg & Franz, Richard & Stoughton, Neal M., 2023. "Portfolio Choice with Endogenous Donations - Modeling University Endowments," Journal of Economics and Business, Elsevier, vol. 125.
    1709. Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
    1710. Luo, Shangzhen & Wang, Mingming & Zhu, Wei, 2022. "Time-inconsistent life-cycle consumption and retirement choice with mortality risk," Applied Mathematics and Computation, Elsevier, vol. 433(C).
    1711. Kargar, Mahyar, 2021. "Heterogeneous intermediary asset pricing," Journal of Financial Economics, Elsevier, vol. 141(2), pages 505-532.
    1712. Svenn Jensen & Christian P. Traeger & Christian Träger, 2021. "Pricing Climate Risk," CESifo Working Paper Series 9196, CESifo.
    1713. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
    1714. Linnainmaa, Juhani T. & Torous, Walter & Yae, James, 2016. "Reading the tea leaves: Model uncertainty, robust forecasts, and the autocorrelation of analysts’ forecast errors," Journal of Financial Economics, Elsevier, vol. 122(1), pages 42-64.
    1715. Luciano Castro & Antonio F. Galvao, 2022. "Static and dynamic quantile preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 747-779, April.
    1716. J. Farmer & Cameron Hepburn & Penny Mealy & Alexander Teytelboym, 2015. "A Third Wave in the Economics of Climate Change," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 62(2), pages 329-357, October.
    1717. Shahid Ebrahim, M. & Mathur, Ike, 2001. "Investor heterogeneity, market segmentation, leverage and the equity premium puzzle," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1897-1919, October.
    1718. Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, vol. 89(1), pages 68-126, November.
    1719. Kubler, Felix & Selden, Larry & Wei, Xiao, 2020. "Incomplete market demand tests for Kreps-Porteus-Selden preferences," Journal of Economic Theory, Elsevier, vol. 185(C).
    1720. Held, Matthias & Kapraun, Julia & Omachel, Marcel & Thimme, Julian, 2020. "Up- and downside variance risk premia in global equity markets," Journal of Banking & Finance, Elsevier, vol. 118(C).
    1721. Matoussi, Anis & Xing, Hao, 2018. "Convex duality for Epstein-Zin stochastic differential utility," LSE Research Online Documents on Economics 82519, London School of Economics and Political Science, LSE Library.
    1722. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(03), pages 77-108, May.
    1723. Yang Lu & Michael Siemer, 2013. "Learning, Rare Disasters, and Asset Prices," Finance and Economics Discussion Series 2013-85, Board of Governors of the Federal Reserve System (U.S.).
    1724. Liang Zou, 2006. "An Alternative to Prospect Theory," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 1-28, May.
    1725. Thomas Bishop & Cheolbeom Park, 2010. "Borrowing Constraints, the Marginal Propensity to Consume, and the Effectiveness of Fiscal Policy," Discussion Paper Series 1008, Institute of Economic Research, Korea University.
    1726. Lance Kent & Toan Phan, 2019. "Time-Varying Skewness and Real Business Cycles," Economic Quarterly, Federal Reserve Bank of Richmond, issue 2Q, pages 59-103.
    1727. Tan Wang & Tony S. Wirjanto, 2013. "Uncertainty, Unemployment Insurance, Individual's Optimal Stopping Time and Duration of Unemployment," Working Paper series 31_13, Rimini Centre for Economic Analysis.
    1728. Martin Ahlbrecht & Martin Weber, 1997. "Preference for gradual resolution of uncertainty," Theory and Decision, Springer, vol. 43(2), pages 167-185, September.
    1729. Issler, João Victor & Piqueira, Natalia Scotto, 2000. "Estimating Relative Risk Aversion, the Discount Rate, and the Intertemporal Elasticity of Substitution in Consumption for Brazil Using Three Types of Utility Function," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 20(2), November.
    1730. Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
    1731. Penman, Stephen & Zhu, Julie, 2022. "An accounting-based asset pricing model and a fundamental factor," Journal of Accounting and Economics, Elsevier, vol. 73(2).
    1732. Lars A. Lochstoer & Tyler Muir, 2022. "Volatility Expectations and Returns," Journal of Finance, American Finance Association, vol. 77(2), pages 1055-1096, April.
    1733. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    1734. Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.
    1735. Motohiro Yogo, 2006. "A Consumption‐Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, April.
    1736. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
    1737. Clemens, Christiane & Heinemann, Maik, 2015. "Endogenous growth and wealth inequality under incomplete markets and idiosyncratic risk," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 300-317.
    1738. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.
    1739. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
    1740. Sweder van Wijnbergen & Stan Olijslagers & Nander de Vette, 2020. "Debt sustainability when r - g smaller than 0: no free lunch after all," Tinbergen Institute Discussion Papers 20-079/VI, Tinbergen Institute.
    1741. Gomes, Francisco & Michaelides, Alexander & Zhang, Yuxin, 2018. "Tactical Target Date Funds," CEPR Discussion Papers 13019, C.E.P.R. Discussion Papers.
    1742. Waki, Yuichiro, 2022. "A cautionary note on linear aggregation in macroeconomic models under the RINCE preferences," Journal of Macroeconomics, Elsevier, vol. 72(C).
    1743. Rising, James A. & Taylor, Charlotte & Ives, Matthew C. & Ward, Robert E.T., 2022. "Challenges and innovations in the economic evaluation of the risks of climate change," Ecological Economics, Elsevier, vol. 197(C).
    1744. Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers 123, Society for Economic Dynamics.
    1745. Chiaki Hara, 2013. "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs　," KIER Working Papers 862, Kyoto University, Institute of Economic Research.
    1746. Marine Carrasco & N'Golo Koné, 2023. "Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility," CIRANO Working Papers 2023s-03, CIRANO.
    1747. Lago-Balsalobre, Rubén & Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    1748. Vasilev, Aleksandar, 2018. "An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2016)," EconStor Preprints 182577, ZBW - Leibniz Information Centre for Economics.
    1749. Marie-Charlotte Guetlein, 2016. "Comparative Risk Aversion in the Presence of Ambiguity," American Economic Journal: Microeconomics, American Economic Association, vol. 8(3), pages 51-63, August.
    1750. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
    1751. Epaulard, Anne & Pommeret, Aude, 2003. "Optimally eating a stochastic cake: a recursive utility approach," Resource and Energy Economics, Elsevier, vol. 25(2), pages 129-139, May.
    1752. Chenghu Ma, 2013. "Preferences, Levy Jumps and Option Pricing," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    1753. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
    1754. Tödter Karl-Heinz & Ziebarth Gerhard, 2021. "Lifetime Cost of Living and Effective Prices: Theory and Evidence for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(1), pages 29-69, February.
    1755. Christensen, Bent Jesper & Raahauge, Peter, 2004. "Latent Utility Shocks in a Structural Empirical Asset Pricing Model," Working Papers 2004-7, Copenhagen Business School, Department of Finance.
    1756. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.
    1757. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
    1758. Erin Baker, 2006. "Increasing Risk and Increasing Informativeness: Equivalence Theorems," Operations Research, INFORMS, vol. 54(1), pages 26-36, February.
    1759. Emms, Paul, 2012. "Lifetime investment and consumption using a defined-contribution pension scheme," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1303-1321.

  36. Larry G. Epstein & Stanley E. Zin, 1987. "Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns II: An Empirical Analysis," Working Paper 698, Economics Department, Queen's University.

    Cited by:

    1. John H. Cochrane, 1988. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," NBER Working Papers 2730, National Bureau of Economic Research, Inc.
    2. Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
    3. Aiyagari, S. Rao & Gertler, Mark, 1990. "Asset Returns With Transactions Costs And Uninsured Individual Risk: A Stage Iii Exercise," Working Papers 90-43, C.V. Starr Center for Applied Economics, New York University.
    4. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
    5. Samih Antoine Azar, 2018. "The Nexus Between the Elasticity of Intertemporal Substitution and the Coefficient of Relative Risk Aversion," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(3), pages 98-102, July.
    6. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
    7. Attanasio, O.P. & Weber, G., 1989. "Consumption, Productivity Growth And The Interest Rate," Papers 8925, Tilburg - Center for Economic Research.
    8. Minford, Patrick & Lungu, Laurian, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers.

  37. Soo Hong, Chew & Epstein, Larry & Zilcha, Itzhak, 1986. "A Correspondence Theorem Between Expected Utility and Smooth Utility," Foerder Institute for Economic Research Working Papers 275398, Tel-Aviv University > Foerder Institute for Economic Research.

    Cited by:

    1. Machina, Mark J, 2001. "Almost-Objective Uncertainty," University of California at San Diego, Economics Working Paper Series qt3ps1k85f, Department of Economics, UC San Diego.
    2. Machina, Mark J, 2001. "Payoff Kinks in Preferences over Lotteries," Journal of Risk and Uncertainty, Springer, vol. 23(3), pages 207-260, November.
    3. Michele Bernasconi, 2002. "How should income be divided? questionnaire evidence from the theory of “Impartial preferences”," Journal of Economics, Springer, vol. 9(1), pages 163-195, December.
    4. Karni, Edi & Schmeidler, David, 1990. "Utility Theory and Uncertainty," Foerder Institute for Economic Research Working Papers 275480, Tel-Aviv University > Foerder Institute for Economic Research.
    5. Dumav, Martin & Stinchcombe, Maxwell B., 2014. "The von Neumann/Morgenstern approach to ambiguity," Center for Mathematical Economics Working Papers 480, Center for Mathematical Economics, Bielefeld University.
    6. Ormiston, Michael B. & E. Schlee, Edward, 1999. "Comparative statics tests between decision models under risk," Journal of Mathematical Economics, Elsevier, vol. 32(2), pages 145-166, October.

Articles

  1. Chen, Zengjing & Epstein, Larry G. & Zhang, Guodong, 2023. "A central limit theorem, loss aversion and multi-armed bandits," Journal of Economic Theory, Elsevier, vol. 209(C).
    See citations under working paper version above.
  2. Larry G. Epstein & Shaolin Ji, 2022. "Optimal Learning Under Robustness and Time-Consistency," Operations Research, INFORMS, vol. 70(3), pages 1317-1329, May.
    See citations under working paper version above.
  3. Chen, Zengjing & Epstein, Larry G., 2022. "A central limit theorem for sets of probability measures," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 424-451.

    Cited by:

    1. Zengjing Chen & Larry G. Epstein & Guodong Zhang, 2022. "Approximate optimality and the risk/reward tradeoff in a class of bandit problems," Papers 2210.08077, arXiv.org, revised Dec 2023.
    2. Chen, Zengjing & Epstein, Larry G. & Zhang, Guodong, 2023. "A central limit theorem, loss aversion and multi-armed bandits," Journal of Economic Theory, Elsevier, vol. 209(C).
    3. Zengjing Chen & Huaijin Liang & Wei Wang & Xiaodong Yan, 2022. "Long bet will lose: demystifying seemingly fair gambling via two-armed Futurity bandit," Papers 2212.11766, arXiv.org.

  4. Larry G Epstein & Yoram Halevy, 2019. "Ambiguous Correlation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 86(2), pages 668-693.
    See citations under working paper version above.
  5. Larry G. Epstein & Hiroaki Kaido & Kyoungwon Seo, 2016. "Robust Confidence Regions for Incomplete Models," Econometrica, Econometric Society, vol. 84, pages 1799-1838, September.
    See citations under working paper version above.
  6. Epstein, Larry G. & Seo, Kyoungwon, 2015. "Exchangeable capacities, parameters and incomplete theories," Journal of Economic Theory, Elsevier, vol. 157(C), pages 879-917.

    Cited by:

    1. Marinacci, Massimo & Massari, Filippo, 2019. "Learning from ambiguous and misspecified models," Journal of Mathematical Economics, Elsevier, vol. 84(C), pages 144-149.
    2. Larry G Epstein & Yoram Halevy, 2019. "Ambiguous Correlation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 86(2), pages 668-693.
    3. Larry G. Epstein & Hiroaki Kaido & Kyoungwon Seo, 2015. "Robust Confidence Regions for Incomplete Models," Boston University - Department of Economics - Working Papers Series wp2015-008, Boston University - Department of Economics.
    4. Hiroaki Kaido & Yi Zhang, 2019. "Robust likelihood ratio tests for incomplete economic models," CeMMAP working papers CWP68/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Andrew Ellis, 2021. "Correlation Concern," Papers 2105.13341, arXiv.org.
    6. Larry G. Epstein & Yoram Halevy, 2019. "Hard-to-Interpret Signals," Working Papers tecipa-634, University of Toronto, Department of Economics.
    7. Kojevnikov, Denis & Song, Kyungchul, 2023. "Econometric inference on a large Bayesian game with heterogeneous beliefs," Journal of Econometrics, Elsevier, vol. 237(1).
    8. Christoph Kuzmics & Brian W. Rogers & Xiannong Zhang, 2022. "An Ellsberg paradox for ambiguity aversion," Papers 2212.03603, arXiv.org, revised Jan 2023.

  7. Epstein, Larry G. & Ji, Shaolin, 2014. "Ambiguous volatility, possibility and utility in continuous time," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
    See citations under working paper version above.
  8. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2014. "How Much Would You Pay to Resolve Long-Run Risk?," American Economic Review, American Economic Association, vol. 104(9), pages 2680-2697, September.
    See citations under working paper version above.
  9. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous Volatility and Asset Pricing in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
    See citations under working paper version above.
  10. Epstein Larry G & Seo Kyoungwon, 2011. "Symmetry or Dynamic Consistency?," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 11(1), pages 1-14, June.

    Cited by:

    1. Epstein, Larry G. & Seo, Kyoungwon, 2014. "De Finetti meets Ellsberg," Research in Economics, Elsevier, vol. 68(1), pages 11-26.
    2. Ellis, Andrew, 2018. "On dynamic consistency in ambiguous games," LSE Research Online Documents on Economics 89387, London School of Economics and Political Science, LSE Library.
    3. Sujoy Mukerji & Peter Klibanoff & Kyoungwon Seo, 2014. "Perceived Ambiguity and Relevant Measures," Economics Series Working Papers 711, University of Oxford, Department of Economics.
    4. Li, Jian, 2019. "The K-armed bandit problem with multiple priors," Journal of Mathematical Economics, Elsevier, vol. 80(C), pages 22-38.
    5. Klibanoff, Peter & Mukerji, Sujoy & Seo, Kyoungwon & Stanca, Lorenzo, 2022. "Foundations of ambiguity models under symmetry: α-MEU and smooth ambiguity," Journal of Economic Theory, Elsevier, vol. 199(C).
    6. Peter Klibanoff & Sujoy Mukerji & Kyoungwon Seo & Lorenzo Staca, 2021. "Foundations of ambiguity models under symmetry: α-MEU and smooth ambiguity," Working Papers 922, Queen Mary University of London, School of Economics and Finance.
    7. Bade, Sophie, 2022. "Dynamic semi-consistency," Games and Economic Behavior, Elsevier, vol. 134(C), pages 117-126.

  11. Larry G. Epstein, 2010. "A Paradox for the “Smooth Ambiguity” Model of Preference," Econometrica, Econometric Society, vol. 78(6), pages 2085-2099, November.

    Cited by:

    1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
    2. 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.
    3. BERGER, Loïc & BLEICHRODT, Han & EECKHOUDT, Louis, 2013. "Treatment decisions under ambiguity," LIDAM Reprints CORE 2494, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    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. Roxane Bricet, 2018. "Precise versus imprecise datasets: revisiting ambiguity attitudes in the Ellsberg paradox," THEMA Working Papers 2018-08, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    6. ,, 2014. "Second order beliefs models of choice under imprecise risk: non-additive second order beliefs vs. nonlinear second order utility," Theoretical Economics, Econometric Society, vol. 9(3), September.
    7. Carvalho, M., 2011. "Essays in behavioral microeconomic theory," Other publications TiSEM 97fbb10e-5f12-420b-b8c4-e, Tilburg University, School of Economics and Management.
    8. Hui Chen & Nengjiu Ju & Jianjun Miao, "undated". "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
    9. 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.
    10. Jürgen Eichberger & Simon Grant & David Kelsey, 2016. "Randomization and dynamic consistency," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 547-566, August.
    11. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    12. Carvalho, M., 2012. "Static vs Dynamic Auctions with Ambiguity Averse Bidders," Discussion Paper 2012-022, Tilburg University, Center for Economic Research.
    13. 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.
    14. Loïc Berger, 2011. "Smooth Ambiguity Aversion in the Small and in the Large," Working Papers ECARES ECARES 2011-020, ULB -- Universite Libre de Bruxelles.
    15. Leandro Nascimento & Gil Riella, 2013. "Second-order ambiguous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 52(3), pages 1005-1037, April.
    16. Chiaki Hara, 2020. "A Ranking over "More Risk Averse Than" Relations and its Application to the Smooth Ambiguity Model," KIER Working Papers 1019, Kyoto University, Institute of Economic Research.
    17. Loic Berger & Louis Eeckhoudt, 2021. "Risk, ambiguity, and the value of diversification," Working Papers 2021-iRisk-02, IESEG School of Management.
    18. Carvalho, M., 2012. "Static vs Dynamic Auctions with Ambiguity Averse Bidders," Other publications TiSEM 1f078e67-88ec-46e3-ae18-1, Tilburg University, School of Economics and Management.
    19. Peter Klibanoff & Sujoy Mukerji & Kyoungwon Seo & Lorenzo Staca, 2021. "Foundations of ambiguity models under symmetry: α-MEU and smooth ambiguity," Working Papers 922, Queen Mary University of London, School of Economics and Finance.
    20. Baillon, Aurélien & Driesen, Bram & Wakker, Peter P., 2012. "Relative concave utility for risk and ambiguity," Games and Economic Behavior, Elsevier, vol. 75(2), pages 481-489.
    21. Anderson, Alyssa Gray, 2019. "Ambiguity in securitization markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 231-255.
    22. 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, vol. 77(4), pages 485-530, December.
    23. Christian Kellner, 2017. "The principal-agent problem with smooth ambiguity," Review of Economic Design, Springer;Society for Economic Design, vol. 21(2), pages 83-119, June.
    24. Chiaki Hara & Toshiki Honda, 2018. "ImpliedAmbiguity:Mean-Variance Efficiency andPricingErrors," KIER Working Papers 1004, Kyoto University, Institute of Economic Research.

  12. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
    See citations under working paper version above.
  13. , G. & ,, 2010. "Symmetry of evidence without evidence of symmetry," Theoretical Economics, Econometric Society, vol. 5(3), September.
    See citations under working paper version above.
  14. Epstein Larry G & Noor Jawwad & Sandroni Alvaro, 2010. "Non-Bayesian Learning," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-20, January.

    Cited by:

    1. Li, Wenhui & Wilde, Christian, 2020. "Belief formation and belief updating under ambiguity: Evidence from experiments," SAFE Working Paper Series 251, Leibniz Institute for Financial Research SAFE, revised 2020.
    2. Kwon, Seokbeom & Motohashi, Kazuyuki, 2017. "How institutional arrangements in the National Innovation System affect industrial competitiveness: A study of Japan and the U.S. with multiagent simulation," Technological Forecasting and Social Change, Elsevier, vol. 115(C), pages 221-235.
    3. Giulio Bottazzi & Daniele Giachini, 2022. "Strategically biased learning in market interactions," LEM Papers Series 2022/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. J. Aislinn Bohren & Daniel N. Hauser, 2023. "Behavioral Foundations of Model Misspecification," PIER Working Paper Archive 23-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Aislinn Bohren & Daniel Hauser, 2017. "Bounded Rationality And Learning: A Framwork and A Robustness Result," PIER Working Paper Archive 17-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 May 2017.
    6. Bradford L. Barham & Jean-Paul Chavas & Dylan Fitz & Vanessa Ríos-Salas & Laura Schechter, 2015. "Risk, learning, and technology adoption," Agricultural Economics, International Association of Agricultural Economists, vol. 46(1), pages 11-24, January.
    7. Giulio Bottazzi & Daniele Giachini & Matteo Ottaviani, 2023. "Market selection and learning under model misspecification," LEM Papers Series 2023/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    8. Kawakami, Hajime, 2023. "Doob’s consistency of a non-Bayesian updating process," Statistics & Probability Letters, Elsevier, vol. 203(C).
    9. Alexander Ludwig & Alexander Zimper, 2013. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Annals of Finance, Springer, vol. 9(4), pages 625-665, November.
    10. Iuliia Brushko, 2013. "Financial Signaling and Earnings Forecasts," CERGE-EI Working Papers wp498, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    11. He, Xue Dong & Xiao, Di, 2017. "Processing consistency in non-Bayesian inference," Journal of Mathematical Economics, Elsevier, vol. 70(C), pages 90-104.
    12. Qiu, Jianying & Weitzel, Utz, 2013. "Experimental Evidence on Valuation and Learning with Multiple Priors," MPRA Paper 43974, University Library of Munich, Germany.
    13. Peijnenburg, Kim, 2018. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(5), pages 1963-1994, October.
    14. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    15. Johannes Maier & Clemens König, 2016. "A Model of Reference-Dependent Belief Updating," CESifo Working Paper Series 6156, CESifo.
    16. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
    17. J. Aislinn Bohren, 2013. "Informational Herding with Model Misspecification," PIER Working Paper Archive 14-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    18. Vilen Lipatov, 2014. "Compliance Dynamics Generated by Social Interaction Rules," CESifo Working Paper Series 4767, CESifo.
    19. Bottazzi, Giulio & Giachini, Daniele, 2022. "A general equilibrium model of investor sentiment," Economics Letters, Elsevier, vol. 218(C).
    20. Gerrit Bauch, 2023. "Underreaction and dynamic inconsistency in communication games under noise," Papers 2311.12496, arXiv.org.
    21. Sun, Lan, 2016. "Hypothesis testing equilibrium in signaling games," Center for Mathematical Economics Working Papers 557, Center for Mathematical Economics, Bielefeld University.
    22. Bauer, Kevin & von Zahn, Moritz & Hinz, Oliver, 2022. "Expl(AI)ned: The impact of explainable Artificial Intelligence on cognitive processes," SAFE Working Paper Series 315, Leibniz Institute for Financial Research SAFE, revised 2022.
    23. Andrea Antico & Giulio Bottazzi & Daniele Giachini, 2022. "On the evolutionary stability of the sentiment investor," LEM Papers Series 2022/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    24. Manzan, Sebastiano, 2021. "Are professional forecasters Bayesian?," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
    25. Aislinn Bohren, 2014. "Informational Herding with Model Misspecification, Second Version," PIER Working Paper Archive 15-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2014.
    26. Daniel F. Stone, 2013. "Testing Bayesian Updating With The Associated Press Top 25," Economic Inquiry, Western Economic Association International, vol. 51(2), pages 1457-1474, April.
    27. Enrica Carbone & Konstantinos Georgalos & Gerardo Infante, 2019. "Individual vs. group decision-making: an experiment on dynamic choice under risk and ambiguity," Theory and Decision, Springer, vol. 87(1), pages 87-122, July.
    28. Azzimonti, Marina & Fernandes, Marcos, 2023. "Social media networks, fake news, and polarization," European Journal of Political Economy, Elsevier, vol. 76(C).
    29. Gagnon-Bartsch, Tristan & Bushong, Benjamin, 2022. "Learning with misattribution of reference dependence," Journal of Economic Theory, Elsevier, vol. 203(C).
    30. J. Aislinn Bohren & Daniel N. Hauser, 2021. "Learning with Heterogeneous Misspecfied Models: Characterization and Robustness," PIER Working Paper Archive 21-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    31. Aislinn Bohren & Daniel Hauser, 2018. "Social Learning with Model Misspeciification: A Framework and a Robustness Result," PIER Working Paper Archive 18-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Jul 2018.
    32. Zhang, Hanzhe, 2013. "Evolutionary justifications for non-Bayesian beliefs," Economics Letters, Elsevier, vol. 121(2), pages 198-201.
    33. Ali Jadbabaie & Pooya Molavi & Alvaro Sandroni & Alireza Tahbaz-Salehi, 2009. "Non-Bayesian Social Learning, Third Version," PIER Working Paper Archive 11-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 05 Aug 2011.

  15. Epstein, Larry G. & Seo, Kyoungwon, 2009. "Subjective states: A more robust model," Games and Economic Behavior, Elsevier, vol. 67(2), pages 408-427, November.

    Cited by:

    1. Minardi, Stefania & Savochkin, Andrei, 2019. "Subjective contingencies and limited Bayesian updating," Journal of Economic Theory, Elsevier, vol. 183(C), pages 1-45.
    2. Philipp Sadowski, 2011. "Contingent Preference for Flexibility: Eliciting Beliefs from Behavior," Levine's Working Paper Archive 661465000000001189, David K. Levine.
    3. André Lapied & Thomas Rongiconi, 2013. "Ambiguity as a Source of Temptation: Modeling Unstable Beliefs," AMSE Working Papers 1316, Aix-Marseille School of Economics, France.
    4. Haluk Ergin & Todd Sarver, 2012. "Hidden Actions and Preferences for Timing of Resolution of Uncertainty," Discussion Papers 1567, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    5. Ortoleva, Pietro, 2013. "The price of flexibility: Towards a theory of Thinking Aversion," Journal of Economic Theory, Elsevier, vol. 148(3), pages 903-934.

  16. Larry G. Epstein, 2008. "Living with Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1121-1141.
    See citations under working paper version above.
  17. Larry G. Epstein & Martin Schneider, 2008. "Ambiguity, Information Quality, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 197-228, February.
    See citations under working paper version above.
  18. , G. & , & ,, 2008. "Non-Bayesian updating: A theoretical framework," Theoretical Economics, Econometric Society, vol. 3(2), June.
    See citations under working paper version above.
  19. Epstein, Larry G. & Marinacci, Massimo, 2007. "Mutual absolute continuity of multiple priors," Journal of Economic Theory, Elsevier, vol. 137(1), pages 716-720, November.
    See citations under working paper version above.
  20. , G. & ,, 2007. "Cold feet," Theoretical Economics, Econometric Society, vol. 2(3), September.

    Cited by:

    1. Jawwad Noor, 2006. "Menu-Dependent Self-Control," Levine's Bibliography 122247000000001061, UCLA Department of Economics.
    2. Eisenbach, Thomas M. & Schmalz, Martin C., 2016. "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, vol. 121(2), pages 414-426.
    3. Macera, Rosario, 2014. "Dynamic beliefs," Games and Economic Behavior, Elsevier, vol. 87(C), pages 1-18.
    4. Kopylov, Igor, 2009. "Finite additive utility representations for preferences over menus," Journal of Economic Theory, Elsevier, vol. 144(1), pages 354-374, January.
    5. Barbos, Andrei, 2013. "A reference-dependent representation with subjective tastes," Journal of Mathematical Economics, Elsevier, vol. 49(2), pages 111-123.
    6. Thomas M. Eisenbach & Martin C. Schmalz, 2015. "Anxiety and pro-cyclical risk taking with Bayesian agents," Staff Reports 711, Federal Reserve Bank of New York.
    7. Barton L. Lipman & Wolfgang Pesendorfer, 2010. "Temptation," Boston University - Department of Economics - Working Papers Series WP2010-021, Boston University - Department of Economics.

  21. Larry G. Epstein & Martin Schneider, 2007. "Learning Under Ambiguity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1275-1303.
    See citations under working paper version above.
  22. , G. & , & ,, 2007. "Coarse contingencies and ambiguity," Theoretical Economics, Econometric Society, vol. 2(4), December.

    Cited by:

    1. Spyros Galanis, 2013. "Unawareness of theorems," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 52(1), pages 41-73, January.
    2. Pejsachowicz, Leonardo & Toussaert, Séverine, 2017. "Choice deferral, indecisiveness and preference for flexibility," Journal of Economic Theory, Elsevier, vol. 170(C), pages 417-425.
    3. Koida, Nobuo, 2022. "Indecisiveness, preference for flexibility, and a unique subjective state space," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    4. Schipper, Burkhard C, 2010. "Revealed Unawareness," MPRA Paper 21491, University Library of Munich, Germany.
    5. Marie-Louise Vierø, 2009. "Exactly what happens after the Anscombe–Aumann race?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(2), pages 175-212, November.
    6. Minardi, Stefania & Savochkin, Andrei, 2019. "Subjective contingencies and limited Bayesian updating," Journal of Economic Theory, Elsevier, vol. 183(C), pages 1-45.
    7. Nobuo Koida, 2018. "Anticipated stochastic choice," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 65(3), pages 545-574, May.
    8. Anat Bracha & Donald Brown, 2010. "Affective Decision-Making: A Theory of Optimism-Bias," Levine's Working Paper Archive 661465000000000123, David K. Levine.
    9. Galanis, Spyros, 2018. "Speculation under unawareness," Games and Economic Behavior, Elsevier, vol. 109(C), pages 598-615.
    10. Todd Sarver & Haluk Ergin, 2009. "A Subjective Model of Temporal Preferences," 2009 Meeting Papers 1183, Society for Economic Dynamics.
    11. Leonardo Pejsachowicz & Séverine Toussaert, 2017. "Choice deferral, indecisiveness and preference for flexibility," Post-Print hal-02862199, HAL.
    12. Salvatore Greco & Benedetto Matarazzo & Roman Słowiński, 2010. "Dominance-based Rough Set Approach to decision under uncertainty and time preference," Annals of Operations Research, Springer, vol. 176(1), pages 41-75, April.
    13. Nascimento, Leandro & Riella, Gil, 2011. "A class of incomplete and ambiguity averse preferences," Journal of Economic Theory, Elsevier, vol. 146(2), pages 728-750, March.
    14. Sarah Auster & Jeremy Kettering & Asen Kochov, 2021. "Sequential Trading with Coarse Contingencies," ECONtribute Discussion Papers Series 052, University of Bonn and University of Cologne, Germany.
    15. Higashi, Youichiro & Hyogo, Kazuya & Takeoka, Norio, 2009. "Subjective random discounting and intertemporal choice," Journal of Economic Theory, Elsevier, vol. 144(3), pages 1015-1053, May.
    16. Saponara, Nick, 2022. "Revealed reasoning," Journal of Economic Theory, Elsevier, vol. 199(C).
    17. Ortoleva, Pietro, 2013. "The price of flexibility: Towards a theory of Thinking Aversion," Journal of Economic Theory, Elsevier, vol. 148(3), pages 903-934.
    18. Paulo Natenzon, 2010. "Subjective Ambiguity and Preference for Flexibility," Working Papers 1265, Princeton University, Department of Economics, Econometric Research Program..
    19. Anat Bracha & Donald J. Brown, 2008. "Affective Decision Making and the Ellsberg Paradox," Cowles Foundation Discussion Papers 1667R, Cowles Foundation for Research in Economics, Yale University, revised Aug 2008.
    20. Evan M. Calford, 2020. "Mixed strategies and preference for randomization in games with ambiguity averse agents," ANU Working Papers in Economics and Econometrics 2020-675, Australian National University, College of Business and Economics, School of Economics.
    21. Anastasia Burkovskaya, 2022. "A model of state aggregation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(1), pages 121-149, February.
    22. Pejsachowicz, Leonardo & Toussaert, Séverine, 2017. "Choice deferral, indecisiveness and preference for flexibility," LSE Research Online Documents on Economics 83566, London School of Economics and Political Science, LSE Library.
    23. Epstein, Larry G. & Seo, Kyoungwon, 2015. "Exchangeable capacities, parameters and incomplete theories," Journal of Economic Theory, Elsevier, vol. 157(C), pages 879-917.
    24. Nascimento, Leandro, 2011. "Zhou’s aggregation theorems with multiple welfare weights," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 654-658.
    25. Faruk Gul & Wolfgang Pesendorfer & Tomasz Strzalecki, 2017. "Coarse Competitive Equilibrium and Extreme Prices," American Economic Review, American Economic Association, vol. 107(1), pages 109-137, January.
    26. Riella, Gil, 2013. "Preference for Flexibility and Dynamic Consistency," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2467-2482.
    27. Marcus Pivato, 2020. "Subjective expected utility with a spectral state space," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 69(2), pages 249-313, March.
    28. Takashi Hayashi, 2012. "Expanding state space and extension of beliefs," Theory and Decision, Springer, vol. 73(4), pages 591-604, October.
    29. Christopher J. Tyson, 2017. "Rationalizability of Menu Preferences," Working Papers 819, Queen Mary University of London, School of Economics and Finance.
    30. Chatterjee Kalyan & Krishna R. Vijay, 2012. "Uniquely Representing "A Preference for Uniformity"," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 12(1), pages 1-36, January.
    31. Epstein, Larry G. & Seo, Kyoungwon, 2009. "Subjective states: A more robust model," Games and Economic Behavior, Elsevier, vol. 67(2), pages 408-427, November.
    32. Shaowei Ke & Qi Zhang, 2020. "Randomization and Ambiguity Aversion," Econometrica, Econometric Society, vol. 88(3), pages 1159-1195, May.
    33. Eric Danan & Ani Guerdjikova & Alexander Zimper, 2012. "Indecisiveness aversion and preference for commitment," Post-Print hal-00872238, HAL.
    34. Fernanda Senra de Moura & Gil Riella, 2021. "Preference for flexibility and dynamic consistency with incomplete preferences," Theory and Decision, Springer, vol. 90(2), pages 171-181, March.
    35. Kochov, Asen, 2018. "A behavioral definition of unforeseen contingencies," Journal of Economic Theory, Elsevier, vol. 175(C), pages 265-290.
    36. Ekaterina Svetlova & Henk van Elst, 2014. "Decision-theoretic approaches to non-knowledge in economics," Papers 1407.0787, arXiv.org.
    37. Seiji TAKANASHI, 2021. "Ex post fairness and ex ante fairness in social preferences under risk," Discussion papers e-20-006, Graduate School of Economics , Kyoto University.
    38. Galanis, Spyros, 2018. "Financial complexity and trade," Games and Economic Behavior, Elsevier, vol. 112(C), pages 219-230.
    39. Lorán Chollete & Sharon G. Harrison, 2021. "Unintended Consequences: Ambiguity Neglect and Policy Ineffectiveness," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 47(2), pages 206-226, April.
    40. Ekaterina Svetlova & Henk van Elst, 2012. "How is non-knowledge represented in economic theory?," Papers 1209.2204, arXiv.org.

  23. Larry G. Epstein, 2006. "An Axiomatic Model of Non-Bayesian Updating," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(2), pages 413-436.
    See citations under working paper version above.
  24. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
    See citations under working paper version above.
  25. Epstein, Larry G. & Schneider, Martin, 2003. "IID: independently and indistinguishably distributed," Journal of Economic Theory, Elsevier, vol. 113(1), pages 32-50, November.
    See citations under working paper version above.
  26. Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
    See citations under working paper version above.
  27. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
    See citations under working paper version above.
  28. Epstein, Larry G. & Zin, Stanley E., 2001. "The independence axiom and asset returns," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 537-572, December.
    See citations under working paper version above.
  29. Larry G. Epstein, 2001. "Sharing Ambiguity," American Economic Review, American Economic Association, vol. 91(2), pages 45-50, May.

    Cited by:

    1. Ricardo J. Caballero & Arvind Krishnamurthy, 2007. "Collective Risk Management in a Flight to Quality Episode," NBER Working Papers 12896, National Bureau of Economic Research, Inc.
    2. Ricardo Caballero & Arvind Krishnamurthy, 2005. "Financial System Risk and Flight to Quality," NBER Working Papers 11834, National Bureau of Economic Research, Inc.
    3. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
    4. Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2020. "Market Allocations under Ambiguity: A Survey," Post-Print halshs-02495663, HAL.
    5. Massimo Guidolin & Francesca Rinaldi, 2009. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Working Papers 2009-020, Federal Reserve Bank of St. Louis.
    6. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
    7. Bryan R. Routledge, Stanley E. Zin, 2000. "Model Uncertainity And Liquidity," Computing in Economics and Finance 2000 368, Society for Computational Economics.
    8. Alberto Naudon & Matías Tapia, 2004. "Ignorance, Fixed Costs, and the Stock Market Participation Puzzle," Econometric Society 2004 Latin American Meetings 252, Econometric Society.
    9. Giannetti, Mariassunta & Laeven, Luc, 2012. "The flight home effect: Evidence from the syndicated loan market during financial crises," Journal of Financial Economics, Elsevier, vol. 104(1), pages 23-43.
    10. A. Burietz & L. Ureche-Rangau, 2020. "Better the devil you know: Home and sectoral biases in bank lending," International Economics, CEPII research center, issue 164, pages 69-85.
    11. Chambers, Christopher P. & Echenique, Federico, 2012. "When does aggregation reduce risk aversion?," Games and Economic Behavior, Elsevier, vol. 76(2), pages 582-595.
    12. Hyoung-Goo Kang & Wonseok Woo & Richard M. Burton & Will Mitchell, 2018. "Constructing M&A valuation: how do merger evaluation methods differ as uncertainty and controversy vary?," Journal of Organization Design, Springer;Organizational Design Community, vol. 7(1), pages 1-46, December.
    13. Ricardo J. Caballero & Arvind Krishnamurthy, 2006. "Flight to Quality and Collective Risk Management," NBER Working Papers 12136, National Bureau of Economic Research, Inc.
    14. Chakravarty, Surajeet & Kelsey, David, 2015. "Sharing ambiguous risks," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 1-8.
    15. Giannetti, Mariassunta & Laeven, Luc, 2012. "Local Bias and Stock Market Conditions," CEPR Discussion Papers 8969, C.E.P.R. Discussion Papers.
    16. Matthew M. Wynter, 2019. "Why did the equity home bias fall during the financial panic of 2008?," The World Economy, Wiley Blackwell, vol. 42(5), pages 1343-1372, May.
    17. Rigotti, Luca & Shannon, Chris, 2012. "Sharing risk and ambiguity," Journal of Economic Theory, Elsevier, vol. 147(5), pages 2028-2039.
    18. Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Sonderforschungsbereich 504 Publications 07-50, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
      • Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Papers 07-50, Sonderforschungsbreich 504.

  30. Epstein, Larry G. & Marinacci, Massimo, 2001. "The Core of Large Differentiable TU Games," Journal of Economic Theory, Elsevier, vol. 100(2), pages 235-273, October.

    Cited by:

    1. Machina, Mark J, 2001. "Almost-Objective Uncertainty," University of California at San Diego, Economics Working Paper Series qt3ps1k85f, Department of Economics, UC San Diego.
    2. Haimanko, Ori & Le Breton, Michel & Weber, Shlomo, 2003. "Voluntary Formation of Communities for the Provision of Public Projects," IDEI Working Papers 169, Institut d'Économie Industrielle (IDEI), Toulouse.
    3. Massimo Marinacci & Luigi Montrucchio, 2001. "Subcalculus for set functions and cores of TU games," ICER Working Papers - Applied Mathematics Series 09-2001, ICER - International Centre for Economic Research.
    4. Marinacci, Massimo & Montrucchio, Luigi, 2004. "A characterization of the core of convex games through Gateaux derivatives," Journal of Economic Theory, Elsevier, vol. 116(2), pages 229-248, June.
    5. F. Centrone & A. Martellotti, 2014. "The Burkill-Cesari Integral on Spaces of Absolutely Continuous Games," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2014, pages 1-9, March.
    6. Luigi Montrucchio & Patrizia Semeraro, 2006. "Refinement Derivatives and Values of Games," Carlo Alberto Notebooks 9, Collegio Carlo Alberto.
    7. Massimo Marinacci & Luigi Montrucchio, 2002. "The convexity-cone approach to comparative risk and downside risk," ICER Working Papers - Applied Mathematics Series 18-2002, ICER - International Centre for Economic Research.

  31. Epstein, Larry G & Zhang, Jiankang, 2001. "Subjective Probabilities on Subjectively Unambiguous Events," Econometrica, Econometric Society, vol. 69(2), pages 265-306, March.
    See citations under working paper version above.
  32. Epstein, Larry G., 2000. "Are Probabilities Used in Markets ?," Journal of Economic Theory, Elsevier, vol. 91(1), pages 86-90, March.
    See citations under working paper version above.
  33. Epstein, Larry G. & Peters, Michael, 1999. "A Revelation Principle for Competing Mechanisms," Journal of Economic Theory, Elsevier, vol. 88(1), pages 119-160, September.
    See citations under working paper version above.
  34. Larry G. Epstein, 1999. "A Definition of Uncertainty Aversion," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 66(3), pages 579-608.

    Cited by:

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    151. Ameur, H. Ben & Prigent, J.L., 2013. "Optimal portfolio positioning under ambiguity," Economic Modelling, Elsevier, vol. 34(C), pages 89-97.
    152. Klaus Nehring, 2006. "Bernoulli Without Bayes: A Theory of Utility-Sophisticated Preferences under Ambiguity," Economics Working Papers 0072, Institute for Advanced Study, School of Social Science.
    153. Robert F. Nau, 2003. "A Generalization of Pratt-Arrow Measure to Nonexpected-Utility Preferences and Inseparable Probability and Utility," Management Science, INFORMS, vol. 49(8), pages 1089-1104, August.
    154. Jonathan E. Alevy, 2011. "Ambiguity in Individual Choice and Market Environments: On the Importance of Comparative Ignorance," Working Papers 2011-04, University of Alaska Anchorage, Department of Economics.
    155. Erick Delage & Ahmed Saif, 2022. "The Value of Randomized Solutions in Mixed-Integer Distributionally Robust Optimization Problems," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 333-353, January.
    156. Alexander Zimper & Alexander Ludwig, 2009. "On attitude polarization under Bayesian learning with non-additive beliefs," Journal of Risk and Uncertainty, Springer, vol. 39(2), pages 181-212, October.
    157. Ingrid Burfurd & Tom Wilkening, 2018. "Experimental guidance for eliciting beliefs with the Stochastic Becker–DeGroot–Marschak mechanism," Journal of the Economic Science Association, Springer;Economic Science Association, vol. 4(1), pages 15-28, July.
    158. José-María Da-Rocha & Linda Nøstbakken & Marcos Pérez, 2014. "Pulse Fishing and Stock Uncertainty," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 59(2), pages 257-274, October.
    159. Alexander Zimper, 2011. "Do Bayesians learn their way out of ambiguity?," Working Papers 240, Economic Research Southern Africa.
    160. Aurélien Baillon & Ning Liu & Dennie Dolder, 2017. "Comparing uncertainty aversion towards different sources," Theory and Decision, Springer, vol. 83(1), pages 1-18, June.
    161. Schnedler, Wendelin & Dominiak, Adam, 2008. "Uncertainty aversion and preference for randomization," Papers 08-39, Sonderforschungsbreich 504.
    162. Takashi Hayashi & Ryoko Wada, 2010. "Choice with imprecise information: an experimental approach," Theory and Decision, Springer, vol. 69(3), pages 355-373, September.
    163. Takashi Hayashi & Ryoko Wada, 2022. "Comparative risk and ambiguity aversion: an experimental approach," KIER Working Papers 1079, Kyoto University, Institute of Economic Research.
    164. Azrieli, Yaron & Teper, Roee, 2011. "Uncertainty aversion and equilibrium existence in games with incomplete information," Games and Economic Behavior, Elsevier, vol. 73(2), pages 310-317.
    165. Große Steffen, Christoph, 2015. "Uncertainty shocks and non-fundamental debt crises: An ambiguity approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112936, Verein für Socialpolitik / German Economic Association.
    166. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 229-242, October.
    167. Jürgen Eichberger & Simon Grant & David Kelsey, 2008. "Differentiating ambiguity: an expository note," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(2), pages 327-336, August.
    168. Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society.
    169. Luigi Montrucchio & Patrizia Semeraro, 2006. "Refinement Derivatives and Values of Games," Carlo Alberto Notebooks 9, Collegio Carlo Alberto.
    170. Antoine Bommier, 2014. "A Dual Approach to Ambiguity Aversion," CER-ETH Economics working paper series 14/207, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    171. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Discussion Paper 2015-047, Tilburg University, Center for Economic Research.
    172. Marciano Siniscalchi, "undated". "Vector-Adjusted Expected Utility," Working Papers 191, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    173. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2004. "Variational representation of preferences under ambiguity," ICER Working Papers - Applied Mathematics Series 05-2004, ICER - International Centre for Economic Research.
    174. Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Sonderforschungsbereich 504 Publications 07-50, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
      • Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Papers 07-50, Sonderforschungsbreich 504.
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    176. BOSSERT, Walter & SLINKO, Arkadii, 2004. "Relative Uncertainty and Additively Representable Set Rankings," Cahiers de recherche 2004-13, Universite de Montreal, Departement de sciences economiques.
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    178. Shaw, W. Douglass & Woodward, Richard T., 2008. "Why environmental and resource economists should care about non-expected utility models," Resource and Energy Economics, Elsevier, vol. 30(1), pages 66-89, January.
    179. Takao Asano & Hiroyuki Kojima, 2015. "An axiomatization of Choquet expected utility with cominimum independence," Theory and Decision, Springer, vol. 78(1), pages 117-139, January.
    180. Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research.
    181. Li, Wenhui & Wilde, Christian, 2021. "Separating the effects of beliefs and attitudes on pricing under ambiguity," SAFE Working Paper Series 311, Leibniz Institute for Financial Research SAFE.
    182. Brighton, Henry, 2020. "Statistical foundations of ecological rationality," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-32.
    183. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    184. Horenstein, Alex R. & Snir, Avichai, 2017. "Portfolio choice in Mexico," Journal of Behavioral and Experimental Finance, Elsevier, vol. 16(C), pages 1-13.
    185. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    186. Erick Delage & Daniel Kuhn & Wolfram Wiesemann, 2019. "“Dice”-sion–Making Under Uncertainty: When Can a Random Decision Reduce Risk?," Management Science, INFORMS, vol. 65(7), pages 3282-3301, July.
    187. Klaus Nehring, 2006. "Decision-Making in the Context of Imprecise Probabilistic Beliefs," Economics Working Papers 0034, Institute for Advanced Study, School of Social Science.
    188. Butzbach, Olivier, 2014. "Trust in banks: a tentative conceptual framework," MPRA Paper 53587, University Library of Munich, Germany.
    189. Luciano Castro & Antonio F. Galvao, 2022. "Static and dynamic quantile preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 747-779, April.
    190. Caroline C. Brock & Bradford L. Barham, 2013. "‘Milk is Milk’: Organic Dairy Adoption Decisions and Bounded Rationality," Sustainability, MDPI, vol. 5(12), pages 1-26, December.

  35. Larry G. Epstein & Jiankang Zhang, 1999. "Least convex capacities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 13(2), pages 263-286.

    Cited by:

    1. Hosoya, Yuhki, 2022. "An axiom for concavifiable preferences in view of Alt’s theory," Journal of Mathematical Economics, Elsevier, vol. 98(C).
    2. Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University.
    3. Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2004. "Search and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 119(2), pages 299-333, December.
    4. Kin Chung Lo, 1998. "Epistemic Conditions for Agreement and Stochastic Independence of epsilon-Contaminated Beliefs," Working Papers 1998_02, York University, Department of Economics.
    5. Lo, Kin Chung, 2000. "Epistemic conditions for agreement and stochastic independence of [epsi]-contaminated beliefs," Mathematical Social Sciences, Elsevier, vol. 39(2), pages 207-234, March.

  36. Epstein, Larry G., 1997. "Preference, Rationalizability and Equilibrium," Journal of Economic Theory, Elsevier, vol. 73(1), pages 1-29, March.

    Cited by:

    1. 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.
    2. Frank Riedel & Linda Sass, 2014. "Ellsberg games," Theory and Decision, Springer, vol. 76(4), pages 469-509, April.
    3. Lo, Kin Chung, 1999. "Extensive Form Games with Uncertainty Averse Players," Games and Economic Behavior, Elsevier, vol. 28(2), pages 256-270, August.
    4. Yi-Chun Chen & Ngo Van Long & Xiao Luo, 2007. "Iterated Strict Dominance in General Games," CIRANO Working Papers 2007s-03, CIRANO.
    5. Yi-Chun Chen & Xiao Luo, 2012. "An indistinguishability result on rationalizability under general preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 51(1), pages 1-12, September.
    6. Takashi Ui, 2023. "Strategic Ambiguity in Global Games," Papers 2303.12263, arXiv.org, revised Mar 2023.
    7. Luo, Xiao & Ma, Chenghu, 2003. ""Agreeing to disagree" type results: a decision-theoretic approach," Journal of Mathematical Economics, Elsevier, vol. 39(8), pages 849-861, November.
    8. Asheim, Geir B., 2002. "On the epistemic foundation for backward induction," Mathematical Social Sciences, Elsevier, vol. 44(2), pages 121-144, November.
    9. Beggs, Alan, 2021. "Games with second-order expected utility," Games and Economic Behavior, Elsevier, vol. 130(C), pages 569-590.
    10. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 2013. "Savage Games: A Theory of Strategic Interaction with Purely Subjective Uncertainty," Risk and Sustainable Management Group Working Papers 151501, University of Queensland, School of Economics.
    11. Stephen Morris & Satoru Takahashi, 2012. "Games in Preference Form and Preference Rationalizability," Working Papers 1420, Princeton University, Department of Economics, Econometric Research Program..
    12. Jian Yang, 2015. "Game-theoretic Modeling of Players' Ambiguities on External Factors," Papers 1510.06812, arXiv.org, revised Apr 2017.
    13. Michael Trost, 2014. "On the Equivalence between Iterated Application of Choice Rules and Common Belief of Applying these Rules," Jena Economics Research Papers 2014-032, Friedrich-Schiller-University Jena.
    14. Marinacci, Massimo, 2000. "Ambiguous Games," Games and Economic Behavior, Elsevier, vol. 31(2), pages 191-219, May.
    15. Asheim,G.B. & Perea,A., 2000. "Lexicographic probabilities and rationalizability in extensive games," Memorandum 38/2000, Oslo University, Department of Economics.
    16. Paolo Galeazzi & Johannes Marti, 2023. "Choice Structures in Games," Papers 2304.11575, arXiv.org.
    17. Schipper, Burkhard C., 2005. "The Evolutionary Stability of Optimism, Pessimism and Complete Ignorance," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 68, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    18. Ambrus, Attila, 2009. "Theories of coalitional rationality," Journal of Economic Theory, Elsevier, vol. 144(2), pages 676-695, March.
    19. Xiao Luo & Yi-Chun Chen, 2004. "A Unified Approach to Information, Knowledge, and Stability," Econometric Society 2004 Far Eastern Meetings 472, Econometric Society.
    20. Bade, Sophie, 2011. "Ambiguous act equilibria," Games and Economic Behavior, Elsevier, vol. 71(2), pages 246-260, March.
    21. Calford, Evan, 2016. "Mixed Strategies in Games with Ambiguity Averse Agents," MPRA Paper 74909, University Library of Munich, Germany.
    22. Evan M. Calford, 2020. "Mixed strategies and preference for randomization in games with ambiguity averse agents," ANU Working Papers in Economics and Econometrics 2020-675, Australian National University, College of Business and Economics, School of Economics.
    23. Lo, Kin Chung, 2007. "Sharing beliefs about actions," Mathematical Social Sciences, Elsevier, vol. 53(2), pages 123-133, March.
    24. Asheim,G.B. & Dufwenberg,M., 2000. "Admissibility and common belief," Memorandum 07/2000, Oslo University, Department of Economics.
    25. Jaeok Park & Doo Hyung Yun, 2023. "Possibilistic beliefs in strategic games," Theory and Decision, Springer, vol. 95(2), pages 205-228, August.
    26. Kin Chung Lo, 2007. "Correlated Nash Equilibrium," Working Papers 2007_5, York University, Department of Economics.
    27. Asheim,G.B., 1999. "Proper consistency," Memorandum 31/1999, Oslo University, Department of Economics.
    28. Evan Calford, 2017. "Uncertainty Aversion in Game Theory: Experimental Evidence," Purdue University Economics Working Papers 1291, Purdue University, Department of Economics.
    29. Chen, Yi-Chun, 2010. "Universality of the Epstein-Wang type structure," Games and Economic Behavior, Elsevier, vol. 68(1), pages 389-402, January.
    30. Lo, Kin Chung, 2002. "Correlated equilibrium under uncertainty," Mathematical Social Sciences, Elsevier, vol. 44(2), pages 183-209, November.
    31. GHIRARDATO, Paolo & LE BRETON, Michel, 2000. "Choquet rationality," LIDAM Reprints CORE 1447, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    32. Kin Chung Lo, 2009. "Possibility and permissibility," Working Papers 2009_01, York University, Department of Economics.
    33. Galeazzi, Paolo & Marti, Johannes, 2023. "Choice structures in games," Games and Economic Behavior, Elsevier, vol. 140(C), pages 431-455.
    34. Bulat Gafarov & Bruno Salcedo, 2015. "Ordinal dominance and risk aversion," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(2), pages 287-298, October.
    35. Dominiak, Adam & Eichberger, Jürgen, 2021. "Games in context: Equilibrium under ambiguity for belief functions," Games and Economic Behavior, Elsevier, vol. 128(C), pages 125-159.
    36. Ahn, David S., 2007. "Hierarchies of ambiguous beliefs," Journal of Economic Theory, Elsevier, vol. 136(1), pages 286-301, September.
    37. Kin Chung Lo, 1998. "Epistemic Conditions for Agreement and Stochastic Independence of epsilon-Contaminated Beliefs," Working Papers 1998_02, York University, Department of Economics.
    38. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 2016. "Savage games," Theoretical Economics, Econometric Society, vol. 11(2), May.
    39. Yi-Chun Chen & Xiao Luo & Chen Qu, 2016. "Rationalizability in general situations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 147-167, January.
    40. Lo, Kin Chung, 2000. "Epistemic conditions for agreement and stochastic independence of [epsi]-contaminated beliefs," Mathematical Social Sciences, Elsevier, vol. 39(2), pages 207-234, March.
    41. Takashi Ui, 2021. "Strategic Ambiguity in Global Games," Working Papers on Central Bank Communication 032, University of Tokyo, Graduate School of Economics.
    42. Ambrus, Attila, 2009. "Theories of Coalitional Rationality," Scholarly Articles 3204917, Harvard University Department of Economics.
    43. Trost, Michael, 2019. "On the equivalence between iterated application of choice rules and common belief of applying these rules," Games and Economic Behavior, Elsevier, vol. 116(C), pages 1-37.
    44. Yang, Jian, 2018. "Game-theoretic modeling of players’ ambiguities on external factors," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 31-56.

  37. Epstein, Larry G & Wang, Tan, 1996. ""Beliefs about Beliefs" without Probabilities," Econometrica, Econometric Society, vol. 64(6), pages 1343-1373, November.

    Cited by:

    1. Alfredo Di Tillio, 2006. "Subjective Expected Utility in Games," Working Papers 311, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Lo, Kin Chung, 1999. "Extensive Form Games with Uncertainty Averse Players," Games and Economic Behavior, Elsevier, vol. 28(2), pages 256-270, August.
    3. Bonanno, Giacomo & Tsakas, Elias, 2018. "Common belief of weak-dominance rationality in strategic-form games: A qualitative analysis," Games and Economic Behavior, Elsevier, vol. 112(C), pages 231-241.
    4. V. K. Oikonomou & J. Jost, 2020. "Periodic Strategies II: Generalizations and Extensions," Papers 2005.12832, arXiv.org.
    5. Dirk Bergemann & Stephen Morris & Satoru Takahashi, 2010. "Interdependent Preferences and Strategic Distinguishability," Levine's Working Paper Archive 661465000000000273, David K. Levine.
    6. Ganguli, Jayant & Heifetz, Aviad & Lee, Byung Soo, 2016. "Universal interactive preferences," Journal of Economic Theory, Elsevier, vol. 162(C), pages 237-260.
    7. Takashi Ui, 2023. "Strategic Ambiguity in Global Games," Papers 2303.12263, arXiv.org, revised Mar 2023.
    8. Luo, Xiao & Ma, Chenghu, 2003. ""Agreeing to disagree" type results: a decision-theoretic approach," Journal of Mathematical Economics, Elsevier, vol. 39(8), pages 849-861, November.
    9. Asheim, Geir B., 2002. "On the epistemic foundation for backward induction," Mathematical Social Sciences, Elsevier, vol. 44(2), pages 121-144, November.
    10. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 2013. "Savage Games: A Theory of Strategic Interaction with Purely Subjective Uncertainty," Risk and Sustainable Management Group Working Papers 151501, University of Queensland, School of Economics.
    11. Stephen Morris & Satoru Takahashi, 2012. "Games in Preference Form and Preference Rationalizability," Working Papers 1420, Princeton University, Department of Economics, Econometric Research Program..
    12. Larry G. Epstein & Alvaro Sandroni, 2003. "Non-Bayesian Updating : A Theoretical Framework," RCER Working Papers 505, University of Rochester - Center for Economic Research (RCER).
    13. Fontana, Giuseppe & Gerrard, Bill, 2004. "A Post Keynesian theory of decision making under uncertainty," Journal of Economic Psychology, Elsevier, vol. 25(5), pages 619-637, October.
    14. Asheim,G.B. & Perea,A., 2000. "Lexicographic probabilities and rationalizability in extensive games," Memorandum 38/2000, Oslo University, Department of Economics.
    15. Paolo Galeazzi & Johannes Marti, 2023. "Choice Structures in Games," Papers 2304.11575, arXiv.org.
    16. Ziegler, Gabriel & Zuazo-Garin, Peio, 2020. "Strategic cautiousness as an expression of robustness to ambiguity," Games and Economic Behavior, Elsevier, vol. 119(C), pages 197-215.
    17. Xiao Luo & Yi-Chun Chen, 2004. "A Unified Approach to Information, Knowledge, and Stability," Econometric Society 2004 Far Eastern Meetings 472, Econometric Society.
    18. Oikonomou, V.K. & Jost, J, 2013. "Periodic strategies and rationalizability in perfect information 2-Player strategic form games," MPRA Paper 48117, University Library of Munich, Germany.
    19. Yoo, Seung Han, 2014. "Learning a population distribution," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 188-201.
    20. Asheim, Geir B. & Sovik, Ylva, 2005. "Preference-based belief operators," Mathematical Social Sciences, Elsevier, vol. 50(1), pages 61-82, July.
    21. Kets, Willemien, 2021. "Bounded Reasoning and Higher-Order Uncertainty," SocArXiv qt498, Center for Open Science.
    22. Sarin, Rajiv & Vahid, Farshid, 1999. "Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice," Games and Economic Behavior, Elsevier, vol. 28(2), pages 294-309, August.
    23. Asheim,G.B. & Dufwenberg,M., 2000. "Admissibility and common belief," Memorandum 07/2000, Oslo University, Department of Economics.
    24. Perea ý Monsuwé, A., 2003. "Proper rationalizability and belief revision in dynamic games," Research Memorandum 048, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    25. Lee, Byung Soo, 2013. "Conditional Beliefs and Higher-Order Preferences," MPRA Paper 48551, University Library of Munich, Germany.
    26. Kraus, Alan & Smith, Maxwell, 1998. "Endogenous sunspots, pseudo-bubbles, and beliefs about beliefs," Journal of Financial Markets, Elsevier, vol. 1(2), pages 151-174, August.
    27. Asheim,G.B., 1999. "Proper consistency," Memorandum 31/1999, Oslo University, Department of Economics.
    28. V. K. Oikonomou & J. Jost, 2013. "Periodic Strategies: A New Solution Concept and an Algorithm for NonTrivial Strategic Form Games," Papers 1307.2035, arXiv.org, revised Jan 2018.
    29. Atsushi Kajii & Takashi Ui, 2004. "Incomplete Information Games with Multiple Priors," KIER Working Papers 583, Kyoto University, Institute of Economic Research.
    30. GHIRARDATO, Paolo & LE BRETON, Michel, 2000. "Choquet rationality," LIDAM Reprints CORE 1447, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    31. Mariotti, Thomas & Meier, Martin & Piccione, Michele, 2005. "Hierarchies of beliefs for compact possibility models," Journal of Mathematical Economics, Elsevier, vol. 41(3), pages 303-324, April.
    32. Michael Trost, 2013. "Epistemic characterizations of iterated deletion of inferior strategy profiles in preference-based type spaces," International Journal of Game Theory, Springer;Game Theory Society, vol. 42(3), pages 755-776, August.
    33. Luciano De Castro & Nicholas C. Yannelis, 2011. "Ambiguity aversion solves the conflict between efficiency and incentive compatibility," Economics Discussion Paper Series 1106, Economics, The University of Manchester.
    34. Epstein, Larry G. & Schneider, Martin, 2003. "IID: independently and indistinguishably distributed," Journal of Economic Theory, Elsevier, vol. 113(1), pages 32-50, November.
    35. Ahn, David S., 2007. "Hierarchies of ambiguous beliefs," Journal of Economic Theory, Elsevier, vol. 136(1), pages 286-301, September.
    36. Epstein, Larry G. & Peters, Michael, 1999. "A Revelation Principle for Competing Mechanisms," Journal of Economic Theory, Elsevier, vol. 88(1), pages 119-160, September.
    37. Epstein, Larry G., 1997. "Preference, Rationalizability and Equilibrium," Journal of Economic Theory, Elsevier, vol. 73(1), pages 1-29, March.
    38. Lee, Byung Soo, 2016. "A space of lexicographic preferences," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 16-25.
    39. Gilboa, Itzhak & Samuelson, Larry & Schmeidler, David, 2022. "Learning (to disagree?) in large worlds," Journal of Economic Theory, Elsevier, vol. 199(C).
    40. Lee, Byung Soo, 2016. "Admissibility and assumption," Journal of Economic Theory, Elsevier, vol. 163(C), pages 42-72.
    41. Azrieli, Yaron & Teper, Roee, 2011. "Uncertainty aversion and equilibrium existence in games with incomplete information," Games and Economic Behavior, Elsevier, vol. 73(2), pages 310-317.
    42. Giacomo Bonanno & Elias Tsakas, 2017. "Qualitative analysis of common belief of rationality in strategic-form games," Working Papers 181, University of California, Davis, Department of Economics.
    43. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 2016. "Savage games," Theoretical Economics, Econometric Society, vol. 11(2), May.
    44. Nabil I. Al-Najjar & Luciano De Castro, 2010. "Uncertainty, Efficiency and Incentive Compatibility," Discussion Papers 1532, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    45. Yi-Chun Chen & Xiao Luo & Chen Qu, 2016. "Rationalizability in general situations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 147-167, January.
    46. Kauffeldt, T. Florian, 2016. "Strategic behavior of non-expected utility players in games with payoff uncertainty," Working Papers 0614, University of Heidelberg, Department of Economics.
    47. Takashi Ui, 2021. "Strategic Ambiguity in Global Games," Working Papers on Central Bank Communication 032, University of Tokyo, Graduate School of Economics.
    48. Yang, Jian, 2018. "Game-theoretic modeling of players’ ambiguities on external factors," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 31-56.
    49. Dekel, Eddie & Siniscalchi, Marciano, 2015. "Epistemic Game Theory," Handbook of Game Theory with Economic Applications,, Elsevier.

  38. Larry G. Epstein & Angelo Melino, 1995. "A Revealed Preference Analysis of Asset Pricing Under Recursive Utility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(4), pages 597-618.
    See citations under working paper version above.
  39. Epstein Larry G. & Wang Tan, 1995. "Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes," Journal of Economic Theory, Elsevier, vol. 67(1), pages 40-82, October.

    Cited by:

    1. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    2. Sujoy Mukerji & Jean-Marc Tallon, 2003. "Ellsberg's two-color experiment, portfolio inertia and ambiguity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00499358, HAL.
    3. Miao, Jianjun & Wang, Neng, 2011. "Risk, uncertainty, and option exercise," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
    4. Dirk Hackbarth & Jianjun Maio, 2007. "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series WP2007-017, Boston University - Department of Economics.
    5. Sujoy Mukerji & Jean-Marc Tallon & CNRS-EUREQua & Universite Paris I, 2002. "Ellsberg`s 2-Color Experiment, Bid-Ask Behavior and Ambiguity," Economics Series Working Papers 114, University of Oxford, Department of Economics.
    6. Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2001. "Search under the Knightian Uncertainty," CIRJE F-Series CIRJE-F-112, CIRJE, Faculty of Economics, University of Tokyo.
    7. Lorenzo Bastianello & José Heleno Faro, 2023. "Choquet expected discounted utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(4), pages 1071-1098, May.
    8. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
    9. Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany.
    10. Jianjun Miao, 2004. "A Note on Consumption and Savings under Knightian Uncertainty," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 299-311, November.
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    6. O'Callaghan, Patrick, 2017. "Axioms for Measuring without mixing apples and Oranges," MPRA Paper 81196, University Library of Munich, Germany.
    7. Dillenberger, David & Raymond, Collin, 2019. "On the consensus effect," Journal of Economic Theory, Elsevier, vol. 183(C), pages 384-416.

  41. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.

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    1. Maurice Obstfeld & Kenneth Rogoff, 1994. "The Intertemporal Approach to the Current Account," NBER Working Papers 4893, National Bureau of Economic Research, Inc.
    2. Maurice Obstfeld, 1992. "International Adjustment with Habit-Forming Consumption: A Diagrammatic Exposition," NBER Working Papers 4094, National Bureau of Economic Research, Inc.
    3. Wei-Bin ZHANG, 2012. "Habits, Saving Propensity, And Economic Growth," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(2), pages 3-15.
    4. Kareen Rozen, 2010. "Foundations of Intrinsic Habit Formation," Econometrica, Econometric Society, vol. 78(4), pages 1341-1373, July.
    5. Wendner, Ronald, 2003. "Do habits raise consumption growth?," Research in Economics, Elsevier, vol. 57(2), pages 151-163, June.
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    7. Guest, Ross S. & Mcdonald, Ian M., 2001. "How Uzawa Preferences Improve the Simulation Properties of the Small Open Economy Model," Journal of Macroeconomics, Elsevier, vol. 23(3), pages 417-440, July.
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    9. Ikeda, S. & Gombi, I., 1995. "Habits, Costly Investment, and Current Account Dynamics," ISER Discussion Paper 0442, Institute of Social and Economic Research, Osaka University.
    10. Pierre-Richard Agénor, 2006. "A Theory of Infrastructure-led Development," Centre for Growth and Business Cycle Research Discussion Paper Series 83, Economics, The University of Manchester.
    11. Reto FOELLMI & Rina ROSENBLATT-WISCH & Klaus REINER SCHENK-HOPPE, 2010. "Consumption Paths under Prospect Utility in an Optimal Growth Model," Swiss Finance Institute Research Paper Series 10-38, Swiss Finance Institute.
    12. Takashi Hayashi, 2020. "Investment in time preference and long-run distribution," The Japanese Economic Review, Springer, vol. 71(2), pages 171-190, April.
    13. Duarte Bom, P.R. & Heijdra, B.J. & Ligthart, J.E., 2010. "Output Dynamics, Technology, and Public Investment," Other publications TiSEM 39238188-f882-4db5-a834-a, Tilburg University, School of Economics and Management.
    14. Strulik, Holger & Trimborn, Timo, 2018. "Hyperbolic discounting can be good for your health," University of Göttingen Working Papers in Economics 335, University of Goettingen, Department of Economics.
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    16. Ida, Takanori & Goto, Rei & Takahashi, Yuko & Nishimura, Shuzo, 2011. "Can economic-psychological parameters predict successful smoking cessation?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(3), pages 285-295, May.
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    23. Takashi Hayashi & Norio Takeoka, 2022. "Habit formation, self-deception, and self-control," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 547-592, September.
    24. Wei-Bin Zhang, 2016. "Population Growth And Preference Change In A Generalized Solow Growth Model With Gender Time Distributions," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 7-30, September.
    25. Carey, Catherine, 2008. "Modeling collecting behavior: The role of set completion," Journal of Economic Psychology, Elsevier, vol. 29(3), pages 336-347, June.
    26. Drugeon, Jean-Pierre & Wigniolle, Bertrand, 2007. "On time preference, rational addiction and utility satiation," Journal of Mathematical Economics, Elsevier, vol. 43(3-4), pages 249-286, April.
    27. Higashi, Youichiro & Hyogo, Kazuya & Takeoka, Norio, 2014. "Stochastic endogenous time preference," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 77-92.
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    29. Zhang Wei-Bin, 2013. "Habit Formation and Preference Change with Capital and Renewable Resources," Business Systems Research, Sciendo, vol. 4(2), pages 108-125, December.
    30. Kirill Borissov & Stéphane Lambrecht, 2009. "Growth and distribution in an AK-model with endogenous impatience," Post-Print hal-04279203, HAL.
    31. Martina Menon & Federico Perali & Luca Piccoli, 2012. "The Passive Drinking Effect: A Collective Demand Application," Working Papers 05/2012, University of Verona, Department of Economics.
    32. Wei-Bin Zhang, 2013. "Dynamic Interactions among Growth, Environmental Change, Habit Formation, and Preference Change," The International Journal of Economic Behavior - IJEB, Faculty of Business and Administration, University of Bucharest, vol. 3(1), pages 3-25, December.
    33. Camera, Gabriele & Vesely, Filip, 2007. "Trading horizons and the value of money," European Economic Review, Elsevier, vol. 51(7), pages 1751-1767, October.
    34. Morhaim, Lisa & Ulus, Ayşegül Yıldız, 2023. "On history-dependent optimization models: A unified framework to analyze models with habits, satiation and optimal growth," Journal of Mathematical Economics, Elsevier, vol. 105(C).
    35. Hashimzade, Nigar & Kirsanov, Oleg & Kirsanova, Tatiana, 2023. "Distributional effects of endogenous discounting," Mathematical Social Sciences, Elsevier, vol. 122(C), pages 1-6.
    36. Mr. Howell H Zee, 1994. "Endogenous Time Preference and Endogenous Growth," IMF Working Papers 1994/015, International Monetary Fund.
    37. SCHUMACHER, Ingmar, 2006. "On optimality, endogenous discounting and wealth accumulation," LIDAM Discussion Papers CORE 2006103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    38. Pierre-Richard Agénor, 2006. "A Theory of Infrastructure-led Development," Economics Discussion Paper Series 0640, Economics, The University of Manchester.
    39. Tom Kompas & Omar Abdel-Razeq, 2001. "A Simple Monetary Growth Model with Variable Rates of Time Preference," International and Development Economics Working Papers idec01-10, International and Development Economics.
    40. Mansoorian, Arman & Mohsin, Mohammed, 2013. "Real asset returns, inflation and activity in a small, open, Cash-in-Advance economy," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 234-250.
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    42. Chen, Been-Lon & Hsu, Mei, 2009. "Consumption externality, efficiency and optimal taxation in one-sector growth model," Economic Modelling, Elsevier, vol. 26(6), pages 1328-1334, November.
    43. Liutang Gong & Wei Wang, 2020. "Self‐fulfilling patience," Australian Economic Papers, Wiley Blackwell, vol. 59(4), pages 336-357, December.
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  43. Hong Chew Soo & Epstein Larry G. & Wakker Peter, 1993. "A Unifying Approach to Axiomatic Non-expected Utility Theories: Correction and Comment," Journal of Economic Theory, Elsevier, vol. 59(1), pages 183-188, February.

    Cited by:

    1. Duclos, J.Y. & Jalbert, V. & Araar, A., 2000. "Classical Horizontal Inequity and Reranking: an Integrated Approach," Papers 0002, Laval - Recherche en Politique Economique.
    2. Mayumi Horie, 2016. "Bayesian Updating for Complementarily Additive Beliefs under Ambiguity," KIER Working Papers 935, Kyoto University, Institute of Economic Research.
    3. Sujoy Mukerji & Jean-Marc Tallon, 2003. "Ellsberg's two-color experiment, portfolio inertia and ambiguity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00499358, HAL.
    4. Sujoy Mukerji & Jean-Marc Tallon & CNRS-EUREQua & Universite Paris I, 2002. "Ellsberg`s 2-Color Experiment, Bid-Ask Behavior and Ambiguity," Economics Series Working Papers 114, University of Oxford, Department of Economics.
    5. Jean Baccelli, 2018. "Risk attitudes in axiomatic decision theory: a conceptual perspective," Theory and Decision, Springer, vol. 84(1), pages 61-82, January.
    6. Alain Chateauneuf & Michèle Cohen, 2008. "Cardinal extensions of EU model based on the Choquet integral," Post-Print halshs-00348822, HAL.
    7. Wakker, Peter, 1996. "The sure-thing principle and the comonotonic sure-thing principle: An axiomatic analysis," Journal of Mathematical Economics, Elsevier, vol. 25(2), pages 213-227.
    8. Grant, Simon & Kajii, Atsushi, 1998. "AUSI expected utility: An anticipated utility theory of relative disappointment aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 37(3), pages 277-290, November.
    9. LiCalzi, Marco, 1998. "Variations on the measure representation approach," Journal of Mathematical Economics, Elsevier, vol. 29(3), pages 255-269, April.
    10. Simon Grant & Atsushi Kajii & Ben Polak, 1999. "Decomposable Choice Under Uncertainty," Cowles Foundation Discussion Papers 1207, Cowles Foundation for Research in Economics, Yale University.
    11. L. Robin Keller, 2011. "From the Editor ---Multiattribute and Intertemporal Preferences, Probability, and Stochastic Processes: Models and Assessment," Decision Analysis, INFORMS, vol. 8(3), pages 165-169, September.
    12. Chateauneuf, Alain, 1999. "Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 21-45, August.
    13. Jean Baccelli, 2016. "L'analyse axiomatique et l'attitude par rapport au risque," Post-Print hal-01462286, HAL.
    14. Jean Baccelli, 2018. "Risk Attitudes in Axiomatic Decision Theory: a Conceptual Perspective," Post-Print hal-01620886, HAL.

  44. Epstein Larry G. & Le Breton Michel, 1993. "Dynamically Consistent Beliefs Must Be Bayesian," Journal of Economic Theory, Elsevier, vol. 61(1), pages 1-22, October.

    Cited by:

    1. Nathalie Etchart, 2002. "Adequate Moods for non-eu Decision Making in a Sequential Framework," Theory and Decision, Springer, vol. 52(1), pages 1-28, February.
    2. Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2005. "CEU preferences and dynamic consistency," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 143-151, March.
    3. Lex Borghans & Angela Lee Duckworth & James J. Heckman & Bas ter Weel, 2008. "The Economics and Psychology of Personality Traits," NBER Working Papers 13810, National Bureau of Economic Research, Inc.
    4. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2006. "Recursive Smooth Ambiguity Preferences," Carlo Alberto Notebooks 17, Collegio Carlo Alberto, revised 2008.
    5. André Lapied & Pascal Toquebeuf, 2011. "Dynamically consistent CEU preferences," Working Papers halshs-00856193, HAL.
    6. Federica Ceron & Vassili Vergopoulos, 2020. "Recursive objective and subjective multiple priors," Documents de travail du Centre d'Economie de la Sorbonne 20008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    7. Edward SchleeE, 1997. "The sure thing principle and the value of information," Theory and Decision, Springer, vol. 42(1), pages 21-36, January.
    8. Ma, Chenghu, 2000. "Uncertainty aversion and rationality in games of perfect information," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 451-482, March.
    9. Kim C. Border & Uzi Segal, 2001. "Coherent Odds and Subjective Probability," Boston College Working Papers in Economics 513, Boston College Department of Economics.
    10. Lo, Kin Chung, 1999. "Extensive Form Games with Uncertainty Averse Players," Games and Economic Behavior, Elsevier, vol. 28(2), pages 256-270, August.
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    30. Kochov, Asen, 2018. "A behavioral definition of unforeseen contingencies," Journal of Economic Theory, Elsevier, vol. 175(C), pages 265-290.
    31. Mu Zhang, 2021. "A Theory of Choice Bracketing under Risk," Papers 2102.07286, arXiv.org, revised Aug 2021.
    32. John Armstrong & Cristin Buescu, 2019. "Collectivised Post-Retirement Investment," Papers 1909.12730, arXiv.org, revised Apr 2020.
    33. Luciano Castro & Antonio F. Galvao, 2022. "Static and dynamic quantile preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 747-779, April.

  52. Chew, Soo Hong & Epstein, Larry G, 1989. "The Structure of Preferences and Attitudes towards the Timing of the Resolution of Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 103-117, February.

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    1. Ma, Chenghu, 1998. "Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility," Journal of Economic Dynamics and Control, Elsevier, vol. 23(1), pages 97-112, September.
    2. Christian Traeger, 2012. "Once Upon a Time Preference - How Rationality and Risk Aversion Change the Rationale for Discounting," CESifo Working Paper Series 3793, CESifo.
    3. Kam Yu, 2008. "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory," NBER Working Papers 14020, National Bureau of Economic Research, Inc.
    4. David Dillenberger & Kareen Rozen, 2010. "Disappointment Cycles," PIER Working Paper Archive 10-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Botond Kőszegi, 2010. "Utility from anticipation and personal equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 44(3), pages 415-444, September.
    6. Grant, S & Kajii, A & Polak, B, 1997. "Intrinsic Preference for Information," Papers 323, Australian National University - Department of Economics.
    7. John Hey & Massimo Paradiso., "undated". "Dynamic Choice and Timing-Independence: an experimental investigation," Discussion Papers 99/26, Department of Economics, University of York.
    8. David Dillenberger & Kareen Rozen, 2010. "History-Dependent Risk Attitude," Levine's Bibliography 661465000000000184, UCLA Department of Economics.
    9. John, Kose & Reisz, Alexander S., 2010. "Temporal resolution of uncertainty, disclosure policy, and corporate debt yields," Journal of Corporate Finance, Elsevier, vol. 16(5), pages 655-678, December.
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    11. Antoine Bommier & Stéphane Zuber, 2012. "The Pareto Principle Of Optimal Inequality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 593-608, May.
    12. David Dillenberger & Kareen Rozen, 2011. "History-Dependent Risk Attitude, Second Version," PIER Working Paper Archive 12-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 14 Jul 2012.
    13. David Dillenberger & Kareen Rozen, 2010. "History-Dependent Risk Attitude," Cowles Foundation Discussion Papers 1763, Cowles Foundation for Research in Economics, Yale University, revised Jul 2012.
    14. Karni, Edi & Schmeidler, David, 1990. "Utility Theory and Uncertainty," Foerder Institute for Economic Research Working Papers 275480, Tel-Aviv University > Foerder Institute for Economic Research.
    15. Soo Hong Chew & Haoming Liu & Alberto Salvo, 2021. "Adversity-hope hypothesis: Air pollution raises lottery demand in China," Journal of Risk and Uncertainty, Springer, vol. 62(3), pages 247-280, June.
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    17. David Dillenberger, 2008. "Preferences for One-Shot Resolution of Uncertainty and Allais-Type Behavior," PIER Working Paper Archive 08-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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    19. Mohammed Abdellaoui & Han Bleichrodt & Olivier L’haridon & Corina Paraschiv, 2013. "Is There One Unifying Concept of Utility?An Experimental Comparison of Utility Under Risk and Utility Over Time," Post-Print halshs-00816056, HAL.
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    21. Łukasz Balbus, 2020. "On recursive utilities with non-affine aggregator and conditional certainty equivalent," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 551-577, September.
    22. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
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    27. James Andreoni & Charles Sprenger, 2015. "Risk Preferences Are Not Time Preferences: Reply," American Economic Review, American Economic Association, vol. 105(7), pages 2287-2293, July.
    28. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
    29. Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society.
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  53. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
    See citations under working paper version above.
  54. Chew, S. H. & Epstein, L. G., 1989. "A unifying approach to axiomatic non-expected utility theories," Journal of Economic Theory, Elsevier, vol. 49(2), pages 207-240, December.

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    1. Duclos, J.Y. & Jalbert, V. & Araar, A., 2000. "Classical Horizontal Inequity and Reranking: an Integrated Approach," Papers 0002, Laval - Recherche en Politique Economique.
    2. Simone Cerreia-Vioglio & David Dillenberger & Pietro ortoleva, 2013. "Cautious Expected Utility and the Certainty Effect," Working Papers 488, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Mayumi Horie, 2016. "Bayesian Updating for Complementarily Additive Beliefs under Ambiguity," KIER Working Papers 935, Kyoto University, Institute of Economic Research.
    4. Walsh, Carl E., 2004. "Implications of a Changing Economic Structure for the Strategy of Monetary Policy," Santa Cruz Department of Economics, Working Paper Series qt84g1q1g6, Department of Economics, UC Santa Cruz.
    5. Kam Yu, 2008. "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory," NBER Working Papers 14020, National Bureau of Economic Research, Inc.
    6. Jean Baccelli, 2018. "Risk attitudes in axiomatic decision theory: a conceptual perspective," Theory and Decision, Springer, vol. 84(1), pages 61-82, January.
    7. Alain Chateauneuf & Michèle Cohen, 2008. "Cardinal extensions of EU model based on the Choquet integral," Post-Print halshs-00348822, HAL.
    8. Markus Pasche, 1998. "An Approach to Robust Decision Making: The Rationality of Heuristic Behavior," Working Paper Series B 1998-10, Friedrich Schiller University of Jena, School of of Economics and Business Administration.
    9. Mikhail Sokolov, 2011. "Interval scalability of rank-dependent utility," Theory and Decision, Springer, vol. 70(3), pages 255-282, March.
    10. Hiroaki Ishiwata & Muneta Yokomatsu, 2018. "Dynamic Stochastic Macroeconomic Model of Disaster Risk Reduction Investment in Developing Countries," Risk Analysis, John Wiley & Sons, vol. 38(11), pages 2424-2440, November.
    11. Geiger, Gebhard, 2002. "On the statistical foundations of non-linear utility theory: The case of status quo-dependent preferences," European Journal of Operational Research, Elsevier, vol. 136(2), pages 449-465, January.
    12. Wakker, Peter, 1996. "The sure-thing principle and the comonotonic sure-thing principle: An axiomatic analysis," Journal of Mathematical Economics, Elsevier, vol. 25(2), pages 213-227.
    13. Grant, Simon & Kajii, Atsushi, 1998. "AUSI expected utility: An anticipated utility theory of relative disappointment aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 37(3), pages 277-290, November.
    14. LiCalzi, Marco, 1998. "Variations on the measure representation approach," Journal of Mathematical Economics, Elsevier, vol. 29(3), pages 255-269, April.
    15. Carlier, G., 2008. "Differentiability properties of rank-linear utilities," Journal of Mathematical Economics, Elsevier, vol. 44(1), pages 15-23, January.
    16. Simon Grant & Atsushi Kajii & Ben Polak, 1999. "Decomposable Choice Under Uncertainty," Cowles Foundation Discussion Papers 1207, Cowles Foundation for Research in Economics, Yale University.
    17. L. Robin Keller, 2011. "From the Editor ---Multiattribute and Intertemporal Preferences, Probability, and Stochastic Processes: Models and Assessment," Decision Analysis, INFORMS, vol. 8(3), pages 165-169, September.
    18. Martin Sandbu, 2008. "Axiomatic foundations for fairness-motivated preferences," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 31(4), pages 589-619, December.
    19. Soo Hong Chew & Jacob S. Sagi, 2022. "A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 397-422, September.
    20. Johan E. Gustafsson & Dean Spears & St phane Zuber, 2023. "Utilitarianism is Implied by Social and Individual Dominance," Documents de travail du Centre d'Economie de la Sorbonne 23016, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    21. Jianjun Miao, 2022. "Introduction to the special issue in honor of Larry Epstein," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 329-333, September.
    22. Zilberman, David & Buschena, David E., 1990. "What We Know About Decision Making Under Uncertainty And Why We Do Not Use What We Know," 1990 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, January 28-31, 1990, Sanibel Island, Florida 271535, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    23. Geiger, Gebhard, 2008. "An axiomatic account of status quo-dependent non-expected utility: Pragmatic constraints on rational choice under risk," Mathematical Social Sciences, Elsevier, vol. 55(2), pages 116-142, March.
    24. Daniel R. Burghart, 2020. "The two faces of independence: betweenness and homotheticity," Theory and Decision, Springer, vol. 88(4), pages 567-593, May.
    25. G. Carlier & R. Dana, 2008. "Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(2), pages 189-223, August.
    26. Chateauneuf, Alain, 1999. "Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 21-45, August.
    27. Kazuo Yamaguchi, 2000. "Subjective Rationality Of Initiators And Of Threshold-Theoretical Behavior Of Followers In Collective Action," Rationality and Society, , vol. 12(2), pages 185-225, May.
    28. Jean Baccelli, 2016. "L'analyse axiomatique et l'attitude par rapport au risque," Post-Print hal-01462286, HAL.
    29. Jean Baccelli, 2018. "Risk Attitudes in Axiomatic Decision Theory: a Conceptual Perspective," Post-Print hal-01620886, HAL.
    30. Xi Zhi Lim, 2021. "Ordered Reference Dependent Choice," Papers 2105.12915, arXiv.org, revised Feb 2024.
    31. Loehman, Edna, 1998. "Testing risk aversion and nonexpected utility theories," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 285-302, January.
    32. Wakker, Peter P. & Zank, Horst, 1999. "A unified derivation of classical subjective expected utility models through cardinal utility," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 1-19, August.
    33. Ormiston, Michael B. & E. Schlee, Edward, 1999. "Comparative statics tests between decision models under risk," Journal of Mathematical Economics, Elsevier, vol. 32(2), pages 145-166, October.
    34. Buschena, David E. & Zilberman, David, 1994. "What Do We Know About Decision Making Under Risk And Where Do We Go From Here?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 19(2), pages 1-14, December.
    35. Schmidt, Ulrich & Zank, Horst, 2001. "A new axiomatization of rank-dependent expected utility with tradeoff consistency for equally likely outcomes," Journal of Mathematical Economics, Elsevier, vol. 35(4), pages 483-491, July.

  55. Epstein, Larry G., 1988. "Risk aversion and asset prices," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 179-192, September.

    Cited by:

    1. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
    2. Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
    3. Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
    4. Bufman, G. & Leiderman, L., 1992. "Simulating an Optimizing Model of Currency Substitution," Papers 6-92, Tel Aviv - the Sackler Institute of Economic Studies.
    5. Kamihigashi, Takashi, 2002. "Externalities and nonlinear discounting: Indeterminacy," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 141-169, January.
    6. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
    7. Aude POMMERET & William T. SMITH, 2004. "Fertility, Volatility, and Growth," Cahiers de Recherches Economiques du Département d'économie 04.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    8. Lewis, K.K., 1996. "Consumption, Stock Returns, and the Gains from International Risk-Sharing," Weiss Center Working Papers 96-4, Wharton School - Weiss Center for International Financial Research.
    9. Arrau, Patricio & van Wijnbergen, Sweder, 1991. "Intertemporal substitution, risk aversion, and private savings in Mexico," Policy Research Working Paper Series 682, The World Bank.
    10. Lewis, Karen K., 2000. "Why do stocks and consumption imply such different gains from international risk sharing?," Journal of International Economics, Elsevier, vol. 52(1), pages 1-35, October.
    11. Dominique Pepin, 2014. "Asset Prices and Risk Aversion," Papers 1403.0851, arXiv.org.
    12. Dominique Pépin, 2015. "Intertemporal Substitutability, Risk aversion and Asset Prices," Economics Bulletin, AccessEcon, vol. 35(4), pages 2233-2241.
    13. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Permanent Income and Pricing," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 3, pages 33-81, World Scientific Publishing Co. Pte. Ltd..
    14. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics.
    15. Fatih Guvenen, 2009. "A Parsimonious Macroeconomic Model for Asset Pricing," NBER Working Papers 15243, National Bureau of Economic Research, Inc.
    16. Langlais, Eric, 1995. "A measure of the sensitivity of saving to interest rate uncertainty with non-expected preferences," Economics Letters, Elsevier, vol. 48(3-4), pages 325-330, June.
    17. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
    18. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
    19. Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
    20. Larry G. Epstein & Angelo Melino, 1993. "A Revealed Preference Analysis of Asset Pricing Under Recursive Utility," NBER Working Papers 4524, National Bureau of Economic Research, Inc.
    21. Alberto Giovannini & Philippe Jorion, 1989. "Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing," NBER Working Papers 3195, National Bureau of Economic Research, Inc.
    22. Daniele Coen-Pirani, 2000. "Margin Requirements and Equilibrium Asset Prices," GSIA Working Papers 2001-E5, Carnegie Mellon University, Tepper School of Business.
    23. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
    24. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
    25. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 241-262, April.
    26. Joel P. Flynn & Lawrence D. W. Schmidt & Alexis Akira Toda, 2022. "Robust Comparative Statics for the Elasticity of Intertemporal Substitution," Papers 2201.10673, arXiv.org.
    27. Smith, William & Son, Young Seob, 2005. "Can the desire to conserve our natural resources be self-defeating?," Journal of Environmental Economics and Management, Elsevier, vol. 49(1), pages 52-67, January.
    28. Sung-Pil Hong & Kyung Min Kim & Suk-Joon Ko, 2021. "Estimating heterogeneous agent preferences by inverse optimization in a randomized nonatomic game," Annals of Operations Research, Springer, vol. 307(1), pages 207-228, December.
    29. Richard Foltyn & Jonna Olsson, 2021. "Subjective Life Expectancies, Time Preference Heterogeneity, and Wealth Inequality," Working Papers 2021_13, Business School - Economics, University of Glasgow.
    30. Drees, Burkhard & Eckwert, Bernhard, 2000. "Price volatility and risk with non-separability of preferences," Mathematical Social Sciences, Elsevier, vol. 39(1), pages 21-34, January.
    31. Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
    32. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    33. Epaulard, Anne & Pommeret, Aude, 2003. "Optimally eating a stochastic cake: a recursive utility approach," Resource and Energy Economics, Elsevier, vol. 25(2), pages 129-139, May.

  56. Chew, Soo Hong & Epstein, Larry G. & Zilcha, Itzhak, 1988. "A correspondence theorem between expected utility and smooth utility," Journal of Economic Theory, Elsevier, vol. 46(1), pages 186-193, October.
    See citations under working paper version above.
  57. Epstein, Larry G, 1987. "The Unimportance of the Intransitivity of Separable Preferences," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 315-322, June.

    Cited by:

    1. Metin Uyanik & M. Ali Khan, 2021. "The Continuity Postulate in Economic Theory: A Deconstruction and an Integration," Papers 2108.11736, arXiv.org, revised Jan 2022.
    2. Theodore Turocy, 2007. "On the sufficiency of transitive preferences," Economics Bulletin, AccessEcon, vol. 4(22), pages 1-9.
    3. Gerasímou, Georgios, 2010. "Consumer theory with bounded rational preferences," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 708-714, September.

  58. Epstein, Larry G, 1987. "The Global Stability of Efficient Intertemporal Allocations," Econometrica, Econometric Society, vol. 55(2), pages 329-355, March.

    Cited by:

    1. Jesus Marin-Solano & Concepcio Patxot, 2009. "Discounting Arduousness," Working Papers in Economics 230, Universitat de Barcelona. Espai de Recerca en Economia.
    2. Park, Hyun & Philippopoulos, Apostolis, 2003. "On the dynamics of growth and fiscal policy with redistributive transfers," Journal of Public Economics, Elsevier, vol. 87(3-4), pages 515-538, March.
    3. Ken-Ichi Hirose & Shinsuke Ikeda, 2013. "Time Preference and Dynamic Stability in an N-Country World Economy," ISER Discussion Paper 0887, Institute of Social and Economic Research, Osaka University.
    4. Jean-Pierre Drugeon & Bertand Wigniolle, 2015. "On Time-Consistent Policy Rules for Heterogeneous Discounting Programs," Documents de travail du Centre d'Economie de la Sorbonne 15082, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
    6. Jafarey, Saqib & Park, Hyun, 1998. "The dynamics of optimal wealth distributions with recursive utility," Economics Letters, Elsevier, vol. 61(2), pages 149-158, November.
    7. Ken‐Ichi Hirose & Shinsuke Ikeda, 2008. "On Decreasing Marginal Impatience," The Japanese Economic Review, Japanese Economic Association, vol. 59(3), pages 259-274, September.
    8. Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000. "Efficient Intertemporal Allocations with Recursive Utility," Journal of Economic Theory, Elsevier, vol. 93(2), pages 240-259, August.
    9. Been‐Lon Chen & Mei Hsu & Chia‐Hui Lu, 2008. "Inflation and Growth: Impatience and a Qualitative Equivalence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1309-1323, September.
    10. Ken-ichi Hirose & Shinsuke Ikeda, 2012. "Decreasing marginal impatience in a two-country world economy," Journal of Economics, Springer, vol. 105(3), pages 247-262, April.
    11. Takashi Hayashi, 2020. "Investment in time preference and long-run distribution," The Japanese Economic Review, Springer, vol. 71(2), pages 171-190, April.
    12. Li, Hanwu & Riedel, Frank & Yang, Shuzhen, 2022. "Optimal Consumption for Recursive Preferences with Local Substitution - the Case of Certainty," Center for Mathematical Economics Working Papers 670, Center for Mathematical Economics, Bielefeld University.
    13. Licandro, Omar, 2016. "Is the output growth rate in NIPA a welfare measure?," CEPR Discussion Papers 11594, C.E.P.R. Discussion Papers.
    14. Dai, Meixing, 2003. "Endogenous Wealth-Depending Time Preference and Fiscal Policy in Open Economy," MPRA Paper 13865, University Library of Munich, Germany.
    15. Ken-Ichi Hirose & Shinsuke Ikeda, 2013. "Decreasing Marginal Impatience and Capital Accumulation in a Two-country World Economy," ISER Discussion Paper 0882, Institute of Social and Economic Research, Osaka University.
    16. Cui, Xiaoyong & Gong, Liutang, 2008. "Foreign aid, domestic capital accumulation, and foreign borrowing," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 1269-1284, September.
    17. Johnson Kakeu, 2016. "Exhaustibility and Risk as Asset Class Dimensions: A Social Investor Approach to Capital-Resource Economies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 65(4), pages 677-695, December.
    18. Wang, Gaowang & Zou, Heng-fu, 2011. "Inflation aversion and macroeconomic policy in a perfect foresight monetary model," Economic Modelling, Elsevier, vol. 28(4), pages 1802-1807, July.
    19. Hirose, Ken-Ichi & Ikeda, Shinsuke, 2012. "Decreasing and increasing marginal impatience and the terms of trade in an interdependent world economy," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1551-1565.
    20. Federico Perali & Luca Piccoli, 2022. "An Extended Theory of Rational Addiction," Mathematics, MDPI, vol. 10(15), pages 1-20, July.
    21. Gaowang Wang & Heng-fu Zou, 2010. "A New Approach to Inflation Aversion," CEMA Working Papers 471, China Economics and Management Academy, Central University of Finance and Economics.
    22. Gerlagh, Reyer & Keyzer, Michiel A., 2001. "Sustainability and the intergenerational distribution of natural resource entitlements," Journal of Public Economics, Elsevier, vol. 79(2), pages 315-341, February.
    23. N. Sagara, 2001. "Optimal Growth with Recursive Utility: An Existence Result without Convexity Assumptions," Journal of Optimization Theory and Applications, Springer, vol. 109(2), pages 371-383, May.
    24. Kraft, Holger & Seifried, Frank Thomas, 2014. "Stochastic differential utility as the continuous-time limit of recursive utility," Journal of Economic Theory, Elsevier, vol. 151(C), pages 528-550.
    25. Ikeda & S., 2000. "Tariffs, Time Preference, and the Current Account under Weakly Nonseparable Preferences," ISER Discussion Paper 0519, Institute of Social and Economic Research, Osaka University.
    26. Wen‐Ya Chang & Hsueh‐Fang Tsai & Wen‐Fang Liu, 1998. "Effects of Government Spending on the Current Account with Endogenous Time Preference," Southern Economic Journal, John Wiley & Sons, vol. 64(3), pages 728-740, January.
    27. Cui, Xiaoyong & Gong, Liutang & Yang, Jianfang & Zou, Heng-fu, 2008. "Marshallian time preferences and monetary non-neutrality," Economic Modelling, Elsevier, vol. 25(6), pages 1196-1205, November.
    28. Mariano Croce & Riccardo Colacito, 2009. "Risk sensitive allocations with multiple goods in international finance. Existence, survivorship, and dynamics," 2009 Meeting Papers 1201, Society for Economic Dynamics.
    29. Hara, Kazuhiro, 2016. "Characterization of stationary preferences in a continuous time framework," Journal of Mathematical Economics, Elsevier, vol. 63(C), pages 34-43.
    30. Gerlagh, Reyer & van der Zwaan, B. C. C., 2001. "The effects of ageing and an environmental trust fund in an overlapping generations model on carbon emission reductions," Ecological Economics, Elsevier, vol. 36(2), pages 311-326, February.
    31. Hiroaki Hayakawa, 2020. "Consumer behavior in a monetary economy and smoothing of composite consumption," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(1), pages 89-122, March.
    32. Tom Kompas & Omar Abdel-Razeq, 2001. "A Simple Monetary Growth Model with Variable Rates of Time Preference," International and Development Economics Working Papers idec01-10, International and Development Economics.
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    3. Robert G. Chambers & Vangelis Tzouvelekas, 2012. "Estimating Population Dynamics without Population Data," Working Papers 1210, University of Crete, Department of Economics.
    4. Simon Grant & Atsushi Kajii & Ben Polak, 1999. "Decomposable Choice Under Uncertainty," Cowles Foundation Discussion Papers 1207, Cowles Foundation for Research in Economics, Yale University.
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    6. Klishchuk, Bogdan, 2015. "New conditions for the existence of Radner equilibrium with infinitely many states," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 67-73.

  61. Epstein, Larry G., 1986. "Intergenerational consumption rules: An axiomatization of utilitarianism and egalitarianism," Journal of Economic Theory, Elsevier, vol. 38(2), pages 280-297, April.

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    1. Vincent Martinet, 2009. "Defining sustainability objectives," EconomiX Working Papers 2009-7, University of Paris Nanterre, EconomiX.
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    3. Robert D. Cairns & Stellio Del Campo & Vincent Martinet, 2021. "Intragenerational Inequality Aversion and Intergenerational Equity," CESifo Working Paper Series 8941, CESifo.
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  62. Epstein, Larry G, 1985. "Decreasing Risk Aversion and Mean-Variance Analysis," Econometrica, Econometric Society, vol. 53(4), pages 945-961, July.

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    1. Robert G. Chambers & John Quiggin, 2008. "Generalized Invariant Preferences: Two-parameter Representations of Preferences," Risk & Uncertainty Working Papers WPR08_1, Risk and Sustainable Management Group, University of Queensland.
    2. Guan, Guohui & Li, Bin, 2022. "Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    3. Xiangyu Qu, 2017. "Subjective Mean Variance Preferences Without Expected Utility," Post-Print hal-01461302, HAL.
    4. Marciano Siniscalchi, 2009. "Vector Expected Utility and Attitudes Toward Variation," Econometrica, Econometric Society, vol. 77(3), pages 801-855, May.
    5. Nakamura, Yutaka, 2015. "Mean-variance utility," Journal of Economic Theory, Elsevier, vol. 160(C), pages 536-556.
    6. Fatma Lajeri-Chaherli, 2016. "On The Concavity And Quasiconcavity Properties Of ( Σ , Μ ) Utility Functions," Bulletin of Economic Research, Wiley Blackwell, vol. 68(3), pages 287-296, April.
    7. Geiger, Gebhard, 2002. "On the statistical foundations of non-linear utility theory: The case of status quo-dependent preferences," European Journal of Operational Research, Elsevier, vol. 136(2), pages 449-465, January.
    8. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    9. Eichner, Thomas & Wagener, Andreas, 2011. "Increases in skewness and three-moment preferences," Mathematical Social Sciences, Elsevier, vol. 61(2), pages 109-113, March.
    10. Thomas Eichner & Andreas Wagener, 2011. "Portfolio allocation and asset demand with mean-variance preferences," Theory and Decision, Springer, vol. 70(2), pages 179-193, February.
    11. Martin Gaynor & Paul Gertler, 1990. "Moral Hazard in Partnerships," NBER Working Papers 3373, National Bureau of Economic Research, Inc.
    12. D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
    13. Luc Doyen & R. A Deng & C. M. Dichmont & Sophie Gourguet & S. Jennings & L. Richard Little & S. Pascoe & Olivier Thébaud, 2014. "Risk versus Economic Performance in a Mixed Fishery," Post-Print hal-01134866, HAL.
    14. Raugh, Michael T. & Seccia, Giulio, 2001. "Mean-variance analysis in temporary equilibrium," Research in Economics, Elsevier, vol. 55(3), pages 331-345, September.
    15. Eichner, Thomas & Wagener, Andreas, 2012. "Tempering effects of (dependent) background risks: A mean-variance analysis of portfolio selection," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 422-430.
    16. Lajeri-Chaherli, Fatma, 2003. "Partial derivatives, comparative risk behavior and concavity of utility functions," Mathematical Social Sciences, Elsevier, vol. 46(1), pages 81-99, August.
    17. Subhadip Mukherjee & Soumyatanu Mukherjee & Tapas Mishra & Udo Broll, 2019. "Export investment under uncertainty: a mean-variance decision analysis for Indian manufacturing exporters," Discussion Papers 2019-18, University of Nottingham, GEP.
    18. Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John, 2014. "A two-parameter model of dispersion aversion," Journal of Economic Theory, Elsevier, vol. 150(C), pages 611-641.
    19. Aivaliotis, Georgios & Palczewski, Jan, 2014. "Investment strategies and compensation of a mean–variance optimizing fund manager," European Journal of Operational Research, Elsevier, vol. 234(2), pages 561-570.
    20. Júnior, Antonio Marcos Duarte, 1997. "A Framework for the Active Management of a Global Currency Fund," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 17(2), November.

  63. Epstein, Larry G. & Yatchew, Adonis J., 1985. "Non-parametric hypothesis testing procedures and applications to demand analysis," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 149-169.

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    1. Stoye, Jörg & Kitamura, Yuichi, 2013. "Nonparametric Analysis of Random Utility Models: Testing," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79753, Verein für Socialpolitik / German Economic Association.
    2. Victor Aguiar & Roberto Serrano, 2015. "Slutsky Matrix Norms and Revealed Preference Tests of Consumer Behaviour," Working Papers 2015-1, Brown University, Department of Economics.
    3. Matthijs van Veelen & Roy van der Weide, 2008. "A Note on Different Approaches to Index Number Theory," American Economic Review, American Economic Association, vol. 98(4), pages 1722-1730, September.
    4. Adamowicz, Wiktor L. & Graham-Tomasi, Theodore, 1988. "Testing Nonmarket Values In A Nonparametric Framework," Staff Papers 14050, University of Minnesota, Department of Applied Economics.
    5. Laurens Cherchye & Thomas Demuynck & Bram De Rock & Cédric Duprez & Glenn Magerman & Marijn Verschelde, 2021. "Structural Identification of Productivity under Biased Technological Change∗," Working Papers ECARES 2021-28, ULB -- Universite Libre de Bruxelles.
    6. Christopher Parmeter & Kai Sun & Daniel Henderson & Subal Kumbhakar, 2014. "Estimation and inference under economic restrictions," Journal of Productivity Analysis, Springer, vol. 41(1), pages 111-129, February.
    7. Temel, Tugrul, 2011. "A nonparametric hypothesis test via the Bootstrap resampling," MPRA Paper 31880, University Library of Munich, Germany.
    8. Hjertstrand, Per & Jones, Barry E., 2013. "What Do Revealed Preference Axioms Reveal about Elasticities of Demand?," Working Paper Series 972, Research Institute of Industrial Economics.
    9. Cherchye, Laurens & Demuynck, Thomas & De Rock, Bram & Hjertstrand, Per, 2015. "Revealed preference tests for weak separability: An integer programming approach," Journal of Econometrics, Elsevier, vol. 186(1), pages 129-141.
    10. Jim Engle-Warnick & Natalia Mishagina, 2014. "Insensitivity to Prices in a Dictator Game," CIRANO Working Papers 2014s-19, CIRANO.
    11. Jones, Barry E. & Stracca, Livio, 2006. "Are money and consumption additively separable in the euro area? A non-parametric approach," Working Paper Series 704, European Central Bank.
    12. Tsur, Yacov, 1990. "Testing The Significance Of Deviations From Rational Behavior," Staff Papers 13267, University of Minnesota, Department of Applied Economics.
    13. Haag, Berthold R. & Hoderlein, Stefan & Pendakur, Krishna, 2009. "Testing and imposing Slutsky symmetry in nonparametric demand systems," Journal of Econometrics, Elsevier, vol. 153(1), pages 33-50, November.
    14. Hjertstrand, Per, 2013. "A Simple Method to Account for Measurement Errors in Revealed Preference Tests," Working Paper Series 990, Research Institute of Industrial Economics.
    15. Adonis Yatchew & Len Bos, 1997. "Nonparametric Least Squares Regression and Testing in Economic Models," Working Papers yatchew-99-01, University of Toronto, Department of Economics.
    16. Laurens Cherchye & Thomas Demuynck & Bram De Rock & Marijn Verschelde, 2018. "Nonparametric Production Analysis with Unobserved Heterogeneity in Productivity," Working Papers ECARES 2018-25, ULB -- Universite Libre de Bruxelles.
    17. Per Hjertstrand & James Swofford, 2014. "Are the choices of people stochastically rational? A stochastic test of the number of revealed preference violations," Empirical Economics, Springer, vol. 46(4), pages 1495-1519, June.
    18. Noelke, Corinna M. & Raper, Kellie Curry, 1999. "Nonstructural And Statistical Nonparametric Market Power Tests: An Empirical Investigation," 1999 Annual meeting, August 8-11, Nashville, TN 21645, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    19. Thomas Demuynck & Tom Potoms, 2022. "Testing revealed preference models with unobserved randomness: a column generation approach," Working Papers ECARES 2022-42, ULB -- Universite Libre de Bruxelles.
    20. Victor H. Aguiar & Roberto Serrano, 2018. "Classifying bounded rationality in limited data sets: a Slutsky matrix approach," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 9(4), pages 389-421, November.

  64. Epstein, Larry G. & Yatchew, Adonis J., 1985. "The empirical determination of technology and expectations : A simplified procedure," Journal of Econometrics, Elsevier, vol. 27(2), pages 235-258, February.

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    1. Karp, Larry & Perloff, Jeffrey, 1990. "Why Industrial Policies Fail: Limited Commitment," CEPR Discussion Papers 450, C.E.P.R. Discussion Papers.
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    3. Lott, Margit, 2002. "Further Development of a Computable General Equilibrium-Model for the Long-Run Investigation of Global Impacts of GHG-Mitigation Policies," Conference papers 331058, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    4. Jeffrey I. Bernstein & M. Ishaq Nadiri, 1989. "Research and Development and Intra-industry Spillovers: An Empirical Application of Dynamic Duality," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(2), pages 249-267.
    5. Bernstein, Jeffrey I., 1991. "Price Margins and Capital Adjustment: Canadian Mill Products and Pulp and Paper Industries," Working Papers 91-42, C.V. Starr Center for Applied Economics, New York University.
    6. M. Ishaq Nadiri & Ingmar R. Prucha, 1999. "Dynamic Factor Demand Models and Productivity Analysis," NBER Working Papers 7079, National Bureau of Economic Research, Inc.
    7. Dale W. Jorgenson, 1991. "Productivity and Economic Growth," NBER Chapters, in: Fifty Years of Economic Measurement: The Jubilee of the Conference on Research in Income and Wealth, pages 19-118, National Bureau of Economic Research, Inc.
    8. Jeffrey I. Bernstein & M. Ishaq Nadiri, 1988. "Corporate Taxes and Incentives and the Structure of Production: A Selected Survey," NBER Working Papers 2579, National Bureau of Economic Research, Inc.
    9. Rosanne Altshuler & Jason Cummins, 1998. "Tax Policy and the Dynamic Demand for Domestic and Foreign Capital by Multinational Corporations," Departmental Working Papers 199808, Rutgers University, Department of Economics.
    10. Bernstein, Jeffrey & Shah, Anwar, 1993. "Corporate tax structure and production," Policy Research Working Paper Series 1196, The World Bank.
    11. Ingmar R. Prucha & M. Ishaq Nadiri, 1991. "Endogenous Capital Utilization and Productivity Measurement in Dynamic Factor Demand Models: Theory and an Application to the U.S. Electrical..," NBER Working Papers 3680, National Bureau of Economic Research, Inc.
    12. Lin, Ni & Shumway, C. Richard, 2000. "Asset Fixity In U.S. Agriculture: Robustness To Functional Form," Ag Econ Series 12967, Washington State University, School of Economic Sciences.
    13. M. Ishaq Nadiri & Ingmar R. Prucha, 1989. "Dynamic Factor Demand Models, Productivity Measurement, and Rates of Return: Theory and an Empirical Application to the U.S. Bell System," NBER Working Papers 3041, National Bureau of Economic Research, Inc.
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  65. Epstein, Larry G., 1983. "Decreasing absolute risk aversion and utility indices derived from cake-eating problems," Journal of Economic Theory, Elsevier, vol. 29(2), pages 245-264, April.

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    1. Gollier, Christian, 2007. "Intergenerational Risk-Sharing and Risk-Taking of a Pension Fund," IDEI Working Papers 42, Institut d'Économie Industrielle (IDEI), Toulouse.
    2. Wojciech Rybicki, 2012. "Discounting and ideas of intergenerational equity and sustainability," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(1), pages 63-84.
    3. Gollier, Christian, 2002. "Time diversification, liquidity constraints, and decreasing aversion to risk on wealth," Journal of Monetary Economics, Elsevier, vol. 49(7), pages 1439-1459, October.

  66. Epstein, Larry G & Hynes, J Allan, 1983. "The Rate of Time Preference and Dynamic Economic Analysis," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 611-635, August.

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    8. Jaśkiewicz, Anna & Matkowski, Janusz & Nowak, Andrzej S., 2011. "On Variable Discounting in Dynamic Programming: Applications to Resource Extraction and Other Economic Models," MPRA Paper 31069, University Library of Munich, Germany, revised 24 May 2011.
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    1. Jesus Marin-Solano & Concepcio Patxot, 2009. "Discounting Arduousness," Working Papers in Economics 230, Universitat de Barcelona. Espai de Recerca en Economia.
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    6. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    7. Bommier, Antoine & Villeneuve, Bertrand, 2008. "Risk Aversion and the Value of Risk to Life," MPRA Paper 11943, University Library of Munich, Germany.
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    9. Cristina Arellano & Enrique Mendoza, 2002. "Fricciones crediticias y 'paradas repentinas' en pequeñas economías abiertas: un marco de equilibrio del ciclo económico para crisis en mercados emergentes," Research Department Publications 4308, Inter-American Development Bank, Research Department.
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    11. Mendoza, Enrique G., 2000. "On the Benefits of Dollarization when Stabilization Policy Is Not Credible and Financial Markets are Imperfect," Working Papers 00-01, Duke University, Department of Economics.
    12. Bora Durdu & Enrique G. Mendoza, 2004. "Putting the brakes on Sudden Stops: the financial frictions - moral hazard tradeoff of asset price guarantees," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
    13. Bora Durdu & Enrique G. Mendoza & Marco E. Terrones, 2007. "Precautionary demand for foreign assets in sudden stop economies: an assessment of the new mercantilism," International Finance Discussion Papers 911, Board of Governors of the Federal Reserve System (U.S.).
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    4. Caputo, Michael R., 2003. "The comparative dynamics of closed-loop controls for discounted infinite horizon optimal control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 27(8), pages 1335-1365, June.

  70. Larry G. Epstein, 1982. "Integrability of Incomplete Systems of Demand Functions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(3), pages 411-425.

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    1. Choi, Won W. & Kwon, Sung S. & Lobo, Gerald J., 2000. "Market Valuation of Intangible Assets," Journal of Business Research, Elsevier, vol. 49(1), pages 35-45, July.
    2. Craig W. Holden & Avanidhar Subrahmanyam, 2002. "News Events, Information Acquisition, and Serial Correlation," The Journal of Business, University of Chicago Press, vol. 75(1), pages 1-32, January.
    3. Ceylan, Ozcan, 2010. "Limited Information-Processing Capacity and Asymmetric Stock Correlations," MPRA Paper 61587, University Library of Munich, Germany.
    4. John, Kose & Reisz, Alexander S., 2010. "Temporal resolution of uncertainty, disclosure policy, and corporate debt yields," Journal of Corporate Finance, Elsevier, vol. 16(5), pages 655-678, December.
    5. Hyun Song Shin, 2006. "Disclosure Risk and Price Drift," Journal of Accounting Research, Wiley Blackwell, vol. 44(2), pages 351-379, May.
    6. Lin Peng & Wei Xiong & Tim Bollerslev, 2007. "Investor Attention and Time‐varying Comovements," European Financial Management, European Financial Management Association, vol. 13(3), pages 394-422, June.
    7. Alexander Reisz, 1999. "Temporal Resolution of Uncertainty, the Investment Policy of Levered Firms and Corporate Debt Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-044, New York University, Leonard N. Stern School of Business-.
    8. Alexander Reisz, 1999. "Temporal Resolution of Uncertainty and Corporate Debt Yields: an Empirical Investigation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-043, New York University, Leonard N. Stern School of Business-.
    9. Ligon, James A. & Cather, David A., 1997. "The informational value of insurance purchases: Evidence from the property-liability insurance market," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 989-1016, July.
    10. Andrei, Daniel & Friedman, Henry & Ozel, N. Bugra, 2023. "Economic uncertainty and investor attention," Journal of Financial Economics, Elsevier, vol. 149(2), pages 179-217.
    11. Cord H. Burchard & Juliane Proelss & Utz Schäffer & Denis Schweizer, 2021. "Bad news for announcers, good news for rivals: Are rivals fully seizing transition‐period opportunities following announcers' top management turnovers?," Strategic Management Journal, Wiley Blackwell, vol. 42(3), pages 579-607, March.
    12. Gyamfi-Yeboah, Frank & Ling, David C. & Naranjo, Andy, 2012. "Information, uncertainty, and behavioral effects: Evidence from abnormal returns around real estate investment trust earnings announcements," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1930-1952.

  75. Epstein, L. & Denny, M., 1980. "Endogenous capital utilization in a short-run production model : Theory and an empiral application," Journal of Econometrics, Elsevier, vol. 12(2), pages 189-207, February.

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    1. M. Ishaq Nadiri & Ingmar R. Prucha, 1993. "Estimation of the Depreciation Rate of Physical and R&D Capital in the U.S. Total Manufacturing Sector," NBER Working Papers 4591, National Bureau of Economic Research, Inc.
    2. Barañano Mentxaka, Ilaski & Romero-Avila, Diego, 2013. "Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence," IKERLANAK http://www-fae1-eao1-ehu-, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
    3. Beck, Thorsten & Lu, Liping & Yang, Rudai, 2015. "Finance and Growth for Microenterprises: Evidence from Rural China," World Development, Elsevier, vol. 67(C), pages 38-56.
    4. Chatterjee, Santanu, 2005. "Capital utilization, economic growth and convergence," Journal of Economic Dynamics and Control, Elsevier, vol. 29(12), pages 2093-2124, December.
    5. Georg Duernecker, 2008. "Technology Adoption, Turbulence and the Dynamics of Unemployment," Economics Working Papers ECO2008/10, European University Institute.
    6. Jeffrey I. Bernstein & M. Ishaq Nadiri, 1988. "Investment, Depreciation, And Capital Utilization," NBER Working Papers 2571, National Bureau of Economic Research, Inc.
    7. BOUCEKKINE, Raouf & DEL RIO, Fernando & MARTINEZ, Blanca, 2006. "Technological progress obsolescence and depreciation," LIDAM Discussion Papers CORE 2006027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Halkos, George & Tzeremes, Nickolaos, 2011. "Kuznets curve and environmental performance: evidence from China," MPRA Paper 34312, University Library of Munich, Germany.
    9. M. Ishaq Nadiri & Ingmar R. Prucha, 1999. "Dynamic Factor Demand Models and Productivity Analysis," NBER Working Papers 7079, National Bureau of Economic Research, Inc.
    10. Dale W. Jorgenson, 1991. "Productivity and Economic Growth," NBER Chapters, in: Fifty Years of Economic Measurement: The Jubilee of the Conference on Research in Income and Wealth, pages 19-118, National Bureau of Economic Research, Inc.
    11. Chassamboulli, Andri & Palivos, Theodore, 2010. ""Give me your Tired, your Poor," so I can Prosper: Immigration in Search Equilibrium," MPRA Paper 32379, University Library of Munich, Germany.
    12. J. Aznar-Marquez & J.R. Ruiz-Tamarit, 2001. "Endogenous Growth, Capital Utilization and Depreciation," LIDAM Discussion Papers IRES 2001037, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    13. Belaid RETTAB & Ton KWAAK & Azzeddine AZZAM, 2010. "An Optimization Procedure for Estimating the Stock of Capital: Application to Ten Production Sectors of Dubai," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 10(1).
    14. Halkos, George & Tzeremes, Nickolaos, 2012. "A conditional directional distance function approach for measuring regional environmental efficiency: Evidence from the UK regions," MPRA Paper 38147, University Library of Munich, Germany.
    15. Omar Licandro & Luis A. Puch & J. Ramón Ruiz-Tamarit, "undated". "Optimal Growth under Endogenous Depreciation, Capital Utilization and Maintenance Costs," Working Papers 2000-23, FEDEA.
    16. Jakub Boratyński & Jacek Osiewalski, 2021. "Bayesian Estimation of Capital Stock and Depreciation in the Production Function Framework," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(4), pages 455-486, December.
    17. George Halkos & Nickolaos Tzeremes, 2012. "Measuring German regions’ environmental efficiency: a directional distance function approach," Letters in Spatial and Resource Sciences, Springer, vol. 5(1), pages 7-16, March.
    18. Norén, Ronny, 2001. "Dismissal of Employees in the Swedish Manufacturing Industry," Umeå Economic Studies 575, Umeå University, Department of Economics.
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    20. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
    21. Halkos, George & Tzeremes, Nickolaos, 2011. "A conditional full frontier modelling for analyzing environmental efficiency and economic growth," MPRA Paper 32839, University Library of Munich, Germany.
    22. Barañano, Ilaski & Romero-Ávila, Diego, 2015. "Long-term growth and persistence with obsolescence," Economic Modelling, Elsevier, vol. 51(C), pages 328-339.
    23. George Bitros, 2010. "The theorem of proportionality in contemporary capital theory: An assessment of its conceptual foundations," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 23(4), pages 367-401, December.
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    26. George Halkos & George Papageorgiou, 2016. "Spatial environmental efficiency indicators in regional waste generation: a nonparametric approach," Journal of Environmental Planning and Management, Taylor & Francis Journals, vol. 59(1), pages 62-78, January.
    27. Ingmar R. Prucha & M. Ishaq Nadiri, 1991. "Endogenous Capital Utilization and Productivity Measurement in Dynamic Factor Demand Models: Theory and an Application to the U.S. Electrical..," NBER Working Papers 3680, National Bureau of Economic Research, Inc.
    28. Halkos, George & Tzeremes, Nickolaos, 2011. "Does the Kyoto Protocol Agreement matters? An environmental efficiency analysis," MPRA Paper 30652, University Library of Munich, Germany.
    29. Halkos, George & Tzeremes, Nickolaos, 2013. "Renewable energy consumption and economic efficiency: Evidence from European countries," MPRA Paper 44136, University Library of Munich, Germany.
    30. Noren, Ronny, 2004. "Dismissal of employees in Swedish manufacturing," Journal of Policy Modeling, Elsevier, vol. 26(2), pages 151-164, February.
    31. Raouf Boucekkine & Blanca Martínez & Fernando del Río, 2005. "Technological Progress And Depreciation," Working Papers. Serie AD 2005-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    32. Prucha, Ingmar R. & Nadiri, M. Ishaq, 1991. "Endogenous Capital Utilization and Productivity Measurement in Dynamic Factor Demand Models: Theory and an Application to the U.S. Electrical Machinery Industry," Working Papers 91-04, C.V. Starr Center for Applied Economics, New York University.
    33. Bernstein, Jeffrey I. & Mamuneas, Theofanis P., 2006. "R&D depreciation, stocks, user costs and productivity growth for US R&D intensive industries," Structural Change and Economic Dynamics, Elsevier, vol. 17(1), pages 70-98, January.
    34. Halkos, George & Tzeremes, Nickolaos, 2012. "Regional economic growth and environmental efficiency in greenhouse emissions: A conditional directional distance function approach," MPRA Paper 40015, University Library of Munich, Germany.
    35. Doms, Mark E, 1996. "Estimating Capital Efficiency Schedules within Production Functions," Economic Inquiry, Western Economic Association International, vol. 34(1), pages 78-92, January.
    36. George Bitros & Elias Flytzanis, 2004. "Utilization and Maintenance in a Model with Terminal Scrapping," Macroeconomics 0411016, University Library of Munich, Germany.
    37. Prucha, Ingmar, 1997. "Estimation of a variable rate of depreciation: a dummy variable approach," Structural Change and Economic Dynamics, Elsevier, vol. 8(3), pages 319-325, August.
    38. Bitros, George C., 2009. "The Theorem of Proportionality in Mainstream Capital Theory: An Assessment of its Conceptual Foundations," MPRA Paper 17436, University Library of Munich, Germany.
    39. F. J. Escribá‐Pérez & M. J. Murgui‐García & J. R. Ruiz‐Tamarit, 2023. "Endogenous capital stock and depreciation in the United States," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 25(1), pages 139-167, February.
    40. F. J. Escribá-Pérez & M. J. Murgui-García & J. R. Ruiz-Tamarit, 2019. "Capital Stock and Depreciation: Theory and an Empirical Application," LIDAM Discussion Papers IRES 2019004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    41. Halkos, George & Tzeremes, Nickolaos, 2013. "An additive two-stage DEA approach creating sustainability efficiency indexes," MPRA Paper 44231, University Library of Munich, Germany.
    42. Carl-Johan Dalgaard & Jes Winther Hansen, 2004. "Capital Utilization and the Foundations of Club Convergence," EPRU Working Paper Series 04-14, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    43. Kollintzas, Tryphon & Collard, Fabrice, 2000. "Maintenance, Utilization, and Depreciation along the Business Cycle," CEPR Discussion Papers 2477, C.E.P.R. Discussion Papers.
    44. Belousova, Irina, 2017. "The role of endogenous capital depreciation rate in Dynamic Stochastic General Equilibrium models: Evidence from Canada," MPRA Paper 102036, University Library of Munich, Germany.
    45. Boikos, Spyridon, 2020. "Capital utilization, obsolescence and technological progress," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    46. George Halkos & Nickolaos Tzeremes, 2014. "Measuring the effect of Kyoto protocol agreement on countries’ environmental efficiency in CO 2 emissions: an application of conditional full frontiers," Journal of Productivity Analysis, Springer, vol. 41(3), pages 367-382, June.
    47. Bitros, George C. & Flytzanis, Elias, 2009. "Utilization and maintenance in a model with scrapping," European Journal of Operational Research, Elsevier, vol. 194(2), pages 551-573, April.
    48. Nicky Rogge, 2019. "Regional productivity growth in the EU since 2000: something is better than nothing," Empirical Economics, Springer, vol. 56(2), pages 423-444, February.
    49. J. Beaulieu & Joe Mattey, 1998. "The Workweek of Capital and Capital Utilization in Manufacturing," Journal of Productivity Analysis, Springer, vol. 10(2), pages 199-223, October.
    50. Alice Albonico & Sarantis Kalyvitis & Evi Pappa, 2011. "Real Business Cycles with Capital Maintenance," Quaderni di Dipartimento 147, University of Pavia, Department of Economics and Quantitative Methods.

  76. Larry G. Epstein & Stephen M. Tanny, 1980. "Increasing Generalized Correlation: A Definition and Some Economic Consequences," Canadian Journal of Economics, Canadian Economics Association, vol. 13(1), pages 16-34, February.

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    1. Johannes Emmerling & Massimo Tavoni, 2018. "Climate Engineering and Abatement: A ‘flat’ Relationship Under Uncertainty," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 69(2), pages 395-415, February.
    2. Skander J. Van den Heuvel, 2008. "Temporal Risk Aversion and Asset Prices," 2008 Meeting Papers 46, Society for Economic Dynamics.
    3. Marielle Brunette & Stéphane Couture, 2014. "Risk management activities of a non-industrial private forest owner with a bivariate utility function," Working Papers - Cahiers du LEF 2014-01, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, revised Jan 2014.
    4. Ian M. Schmutte & Nathan Yoder, 2022. "Information Design for Differential Privacy," Papers 2202.05452, arXiv.org, revised Dec 2022.
    5. Patrick MOYES, 2013. "Rearrangements and Sequential Rank Order Dominance," Cahiers du GREThA (2007-2019) 2013-10, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    6. Mathieu Faure & Nicolas Gravel, 2017. "Equality among Unequals," AMSE Working Papers 1702, Aix-Marseille School of Economics, France.
    7. Carole Bernard & Christoph M. Rheinberger & Nicolas Treich, 2018. "Catastrophe Aversion and Risk Equity in an Interdependent World," Management Science, INFORMS, vol. 64(10), pages 4490-4504, October.
    8. Patrick MOYES & Nicolas GRAVEL, 2011. "Ethically Robust Comparisons of Bidimensional Distributions with an Ordinal Attribute," Cahiers du GREThA (2007-2019) 2011-36, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    9. Asano, Takao & Osaki, Yusuke, 2021. "Optimal investment under ambiguous technology shocks," European Journal of Operational Research, Elsevier, vol. 293(1), pages 304-311.
    10. Marcello D’Agostino & Valentino Dardanoni, 2009. "What’s so special about Euclidean distance?," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 33(2), pages 211-233, August.
    11. Rabah Amir, 2020. "Special Issue: Supermodularity and Monotonicity in Economics," Post-Print hal-03122852, HAL.
    12. Croci Angelini, Elisabetta & Michelangeli, Alessandra, 2012. "Axiomatic measurement of multidimensional well-being inequality: Some distributional questions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 41(5), pages 548-557.
    13. Dionne, Georges & Li, Jingyuan, 2014. "Comparative Ross risk aversion in the presence of mean dependent risks," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 128-135.
    14. Athey, Susan & Levin, Jonathan, 2018. "The value of information in monotone decision problems," Research in Economics, Elsevier, vol. 72(1), pages 101-116.
    15. Glenn W. Harrison & Andre Hofmeyr & Harold Kincaid & Brian Monroe & Don Ross & Mark Schneider & J. Todd Swarthout, 2022. "Subjective beliefs and economic preferences during the COVID-19 pandemic," Experimental Economics, Springer;Economic Science Association, vol. 25(3), pages 795-823, June.
    16. Maria Ana Lugo & Koen Decancq, 2009. "Measuring Inequality of Well-Being with a Correlation-Sensitive Multidimensional Gini Index," Economics Series Working Papers 459, University of Oxford, Department of Economics.
    17. Gottschalk, Tina & Range, Troels Martin & Sudhölter, Peter & Østerdal, Lars Peter, 2015. "Decomposing bivariate dominance for social welfare comparisons," Discussion Papers on Economics 12/2015, University of Southern Denmark, Department of Economics.
    18. Koen Decancq, 2014. "Copula-based measurement of dependence between dimensions of well-being," Oxford Economic Papers, Oxford University Press, vol. 66(3), pages 681-701.
    19. Christoph Heinzel, 2014. "Term structure of discount rates under multivariate s-ordered consumption growth," Working Papers SMART 14-01, INRAE UMR SMART.
    20. Asis Kumar Banerjee, 2019. "Economic Properties of Statistical Indices: The Case of a Multidimensional Gini Index," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 41-56, March.
    21. Rolf Aaberge & Andrea Brandolini, 2014. "Multidimensional poverty and inequality," Temi di discussione (Economic working papers) 976, Bank of Italy, Economic Research and International Relations Area.
    22. Chauvin Pauline & Tabo Augustin & Chopard Bertrand, 2020. "The Role of Optimism and Pessimism in the Substitution Between Primary and Secondary Health Prevention Efforts," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 20(1), pages 1-6, January.
    23. Lorenzo Bastianello & José Heleno Faro, 2023. "Choquet expected discounted utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(4), pages 1071-1098, May.
    24. Armstrong, Mark & Zhou, Jidong, 2021. "Consumer Information and the Limits to Competition," MPRA Paper 108395, University Library of Munich, Germany.
    25. Benoît Tarroux, 2015. "Comparing two-dimensional distributions: a questionnaire-experimental approach," Post-Print halshs-01023739, HAL.
    26. Louis Eeckhoudt & Elisa Pagani & Eugenio Peluso, 2023. "Multidimensional risk aversion: the cardinal sin," Annals of Operations Research, Springer, vol. 320(1), pages 15-31, January.
    27. DENUIT, Michel M. & EECKHOUDT, Louis & MENEGATTI, Mario, 2011. "Correlated risks, bivariate utility and optimal choices," LIDAM Reprints CORE 2272, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    28. Amir, Rabah & Lazzati, Natalia, 2016. "Endogenous information acquisition in Bayesian games with strategic complementarities," Journal of Economic Theory, Elsevier, vol. 163(C), pages 684-698.
    29. Koen Decancq, 2020. "Measuring cumulative deprivation and affluence based on the diagonal dependence diagram," Working Papers 2004, Herman Deleeck Centre for Social Policy, University of Antwerp.
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    31. Gollier, Christian, 2016. "Aversion to risk of regret and preference for positively skewed risks," TSE Working Papers 16-646, Toulouse School of Economics (TSE), revised Sep 2016.
    32. Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2013. "Almost Expectation and Excess Dependence Notions," LIDAM Discussion Papers ISBA 2013005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    33. Ilia Tsetlin & Robert L. Winkler, 2009. "Multiattribute Utility Satisfying a Preference for Combining Good with Bad," Management Science, INFORMS, vol. 55(12), pages 1942-1952, December.
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    35. Guido Erreygers & Roselinde Kessels, 2017. "Socioeconomic Status and Health: A New Approach to the Measurement of Bivariate Inequality," IJERPH, MDPI, vol. 14(7), pages 1-23, June.
    36. Valentino Dardanoni & Marcello D’Agostino, 2007. "The Measurement of Rank Mobility," Working Papers 80, ECINEQ, Society for the Study of Economic Inequality.
    37. Gangadharan, Lata & Harrison, Glenn W. & Leroux, Anke D., 2019. "Are risks over multiple attributes traded off? A case study of aid," Journal of Economic Behavior & Organization, Elsevier, vol. 164(C), pages 166-198.
    38. Michel Denuit & Rachel Huang & Larry Tzeng, 2014. "Bivariate almost stochastic dominance," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(2), pages 377-405, October.
    39. Yannick Malevergne & Béatrice Rey, 2010. "Preserving preference rankings under non-financial background risk," Post-Print halshs-00520072, HAL.
    40. Margaret Meyer & Bruno Strulovici, 2011. "Increasing Interdependence of Multivariate Distributions," Discussion Papers 1523, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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    42. Francesco Andreoli & Claudio Zoli, 2023. "Robust dissimilarity comparisons with categorical outcomes," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 60(3), pages 397-437, April.
    43. Andrew Grant & Steve Satchell, 2019. "Endogenous divorce risk and investment," Journal of Population Economics, Springer;European Society for Population Economics, vol. 32(3), pages 845-876, July.
    44. Antoine Bommier & François Grand, 2014. "Too risk averse to purchase insurance?," Journal of Risk and Uncertainty, Springer, vol. 48(2), pages 135-166, April.
    45. Arthur Attema & Olivier L’haridon & Gijs van de Kuilen, 2019. "Measuring Multivariate Risk Preferences in the Health Domain," Post-Print halshs-01970236, HAL.
    46. Michel Denuit & Louis Eeckhoudt, 2010. "Bivariate Stochastic Dominance and Substitute Risk-(In)dependent Utilities," Decision Analysis, INFORMS, vol. 7(3), pages 302-312, September.
    47. Ronny Aboudi & Dominique Thon, 1993. "Expected utility and the siegel paradox: A generalization," Journal of Economics, Springer, vol. 57(1), pages 69-93, February.
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    50. Steffen Andersen & James C. Cox & Glenn W. Harrison & Morten Lau & Elisabet E. Rutstroem & Vjollca Sadiraj, 2011. "Asset Integration and Attitudes to Risk: Theory and Evidence," Working Papers 2011_10, Durham University Business School.
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    53. Cesar Calvo & Stefan Dercon, 2013. "Vulnerability to individual and aggregate poverty," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 41(4), pages 721-740, October.
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    61. Hennessy, David A. & Lapan, Harvey E., 2006. "On the Nature of Certainty Equivalent Functionals," Staff General Research Papers Archive 12552, Iowa State University, Department of Economics.
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  77. Epstein, Larry G, 1980. "Multivariate Risk Independence and Functional Forms for Preferences and Technologies," Econometrica, Econometric Society, vol. 48(4), pages 973-985, May.

    Cited by:

    1. Kenneth C. Lichtendahl & Samuel E. Bodily, 2010. "Preferences for Consumption Streams: Scale Invariance, Correlation Aversion, and Delay Aversion Under Mortality Risk," Operations Research, INFORMS, vol. 58(4-part-1), pages 985-997, August.
    2. Elie Appelbaum, 1996. "An Application of Duality under Uncertainty, Elie Appelbaum," Working Papers 1996_8, York University, Department of Economics.

  78. Larry Epstein, 1978. "Production Flexibility and the Behaviour of the Competitive Firm under Price Uncertainty," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 45(2), pages 251-261.

    Cited by:

    1. Fraser, Robert W, 1985. "Uncertainty and the Theory of Mark-up Pricing," Bulletin of Economic Research, Wiley Blackwell, vol. 37(1), pages 55-64, January.
    2. Mordecai Kurz, 2005. "Measuring the Ex-Ante Social Cost of Aggregate Volatility," Discussion Papers 04-006, Stanford Institute for Economic Policy Research.
    3. William Novshek & Lynda Thoman, 1999. "Demand for Customized Products, Production Flexibility, and Price Competition," CIG Working Papers FS IV 99-37, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
    4. Kit Pong Wong, 2003. "Forward Markets and the Behaviour of the Competitive Firm with Production Flexibility," Bulletin of Economic Research, Wiley Blackwell, vol. 55(3), pages 303-310, July.
    5. Kakinaka, Makoto, 2004. "Endogenous Policy Reform: Learning versus Flexibility in Industrial Policy Design for Open Economics," Working Papers 04-15, Cornell University, Center for Analytic Economics.
    6. Chavas, Jean-Paul, 1987. "On Risk Modeling And Its Implications For Economic Analysis," Regional Research Projects > 1987: S-180 Annual Meeting, March 22-25, 1987, San Antonio, Texas 272333, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    7. Fathali Firoozi, 1995. "On the Competitive Response to Technological Advance," The American Economist, Sage Publications, vol. 39(2), pages 61-64, October.
    8. Elie Appelbaum, 2001. "Product Differentiation under Uncertainty," Working Papers 2001_4, York University, Department of Economics.
    9. Thraen, Cameron S. & Hammond, Jerome W., 1983. "Price Supports, Risk Aversion And U.S. Dairy Policy: An Alternative Perspective Of The Long-Term Impacts," Economic Reports 13034, University of Minnesota, Department of Applied Economics.
    10. Elie Appelbaum, 1996. "An Application of Duality under Uncertainty, Elie Appelbaum," Working Papers 1996_8, York University, Department of Economics.
    11. Arthur Snow, 2000. "LeChatelier Effects for the Competitive Firm under Price Uncertainty," Southern Economic Journal, John Wiley & Sons, vol. 66(3), pages 715-728, January.
    12. Mantell, Edmund H., 2021. "The economics of posted prices in a concentrated market where demand is uncertain," Research in Economics, Elsevier, vol. 75(4), pages 365-375.
    13. Espinosa Miguel & Bonaldi Pietro & Vallejo Hernán, 2009. "Representations and Identities for Homogeneous Technologies," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 9(1), pages 1-25, September.
    14. Coyle, Barry T., 1990. "A Simple Duality Model Of Production Incorporating Risk Aversion And Price Uncertainty," 1990 Annual meeting, August 5-8, Vancouver, Canada 270863, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    15. Abdullahi Abdulkadri & Michael Langemeier & Allen Featherstone, 2006. "Estimating economies of scope and scale under price risk and risk aversion," Applied Economics, Taylor & Francis Journals, vol. 38(2), pages 191-201.
    16. Graham-Tomasi, Theodore, 1985. "Uncertainty, Information, And Irreversible Investments," Staff Papers 14047, University of Minnesota, Department of Applied Economics.
    17. Chen Lin & Thomas Schmid & Michael S. Weisbach, 2017. "Price Risk, Production Flexibility, and Liquidity Management: Evidence from Electricity Generating Firms," NBER Working Papers 23434, National Bureau of Economic Research, Inc.

  79. Epstein, Larry G., 1978. "The Le Chatelier Principle in optimal control problems," Journal of Economic Theory, Elsevier, vol. 19(1), pages 103-122, October.

    Cited by:

    1. Davide Dragone & Paolo Vanin, 2020. "Substitution Effects in Intertemporal Problems," Working Papers wp1147, Dipartimento Scienze Economiche, Universita' di Bologna.
    2. D. Dragone & P. Vanin, 2015. "Price Effect in the Short and in the Long Run," Working Papers wp1040, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. Jeffrey T. LaFrance, 1992. "Do Increased Commodity Prices Lead To More Or Less Soil Degradation?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 36(1), pages 57-82, April.
    4. Eisenring, Christoph, 1999. "Comparative dynamics in a health investment model," Journal of Health Economics, Elsevier, vol. 18(5), pages 653-658, October.
    5. F. García Castaño & M. Melguizo Padial, 2015. "A natural extension of the classical envelope theorem in vector differential programming," Journal of Global Optimization, Springer, vol. 63(4), pages 757-775, December.
    6. Chakravorty, Ujjayant & Krulce, Darrell & Roumasset, James, 2005. "Specialization and non-renewable resources: Ricardo meets Ricardo," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1517-1545, September.

  80. Epstein, L, 1975. "A Disaggregate Analysis of Consumer Choice under Uncertainty," Econometrica, Econometric Society, vol. 43(5-6), pages 877-892, Sept.-Nov.

    Cited by:

    1. Barrett, Christopher B., 1999. "Stochastic food prices and slash-and-burn agriculture," Environment and Development Economics, Cambridge University Press, vol. 4(2), pages 161-176, May.
    2. Christopher B. Barrett, 1999. "The microeconomics of the developmental paradox: on the political economy of food price policy," Agricultural Economics, International Association of Agricultural Economists, vol. 20(2), pages 159-172, March.
    3. Barrett, Christopher B., 1998. "Immiserized growth in liberalized agriculture," World Development, Elsevier, vol. 26(5), pages 743-753, May.
    4. Christopher BARRETT, 1993. "On The Price Risk And The Inverse Farm Size-Productivity Relationship," Staff Papers 369, University of Wisconsin Madison, AAE.
    5. Hellström, Jörgen & Nordström, Jonas, 2012. "Demand and welfare effects in recreational travel models: Accounting for substitution between number of trips and days to stay," Transportation Research Part A: Policy and Practice, Elsevier, vol. 46(3), pages 446-456.
    6. LaFrance, Jeffrey T., 1990. "Incomplete Demand Systems And Semilogarithmic Demand Models," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 34(2), pages 1-14, August.
    7. Skinner, Jonathan, 1988. "Risky income, life cycle consumption, and precautionary savings," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 237-255, September.
    8. Hellström, Jörgen & Nordström, Jonas, 2005. "Demand and Welfare Effects in Recreational Travel Models: A Bivariate Count Data Approach," Umeå Economic Studies 648, Umeå University, Department of Economics.
    9. Bellemare, Marc F. & Barrett, Christopher B. & Just, David R., 2010. "The Welfare Impacts of Commodity Price Fluctuations: Evidence from Rural Ethiopia," MPRA Paper 24457, University Library of Munich, Germany.
    10. W. R. Hughes, 1978. "Lifetime Utility Maximization When the Consumer's Lifetime Depends on his Consumption," The Economic Record, The Economic Society of Australia, vol. 54(1), pages 65-71, April.
    11. Johansson, Per-Olov, 2000. "Properties of actuarially fair and pay-as-you-go health insurance schemes for the elderly. An OLG model approach," Journal of Health Economics, Elsevier, vol. 19(4), pages 477-498, July.
    12. Rizov, Marian, 2005. "Pull and push: individual farming in Hungary," Food Policy, Elsevier, vol. 30(1), pages 43-62, February.
    13. Christopher B. Barrett & Shane M. Sherlund & Akinwumi A. Adesina, 2008. "Shadow wages, allocative inefficiency, and labor supply in smallholder agriculture," Agricultural Economics, International Association of Agricultural Economists, vol. 38(1), pages 21-34, January.

  81. L. Epstein, 1974. "Some Economic Effects of Immigration: A General Equilibrium Analysis," Canadian Journal of Economics, Canadian Economics Association, vol. 7(2), pages 174-190, May.

    Cited by:

    1. Glover, Stephen & Gott, Ceri & Loizillon, Anaïs & Portes, Jonathan & Price, Richard & Spencer, Sarah & Srinivasan, Vasanthi & Willis, Carole, 2001. "Migration: an economic and social analysis," MPRA Paper 75900, University Library of Munich, Germany.
    2. Gomez-Ruano, Gerardo, 2011. "Technological Change and Immigration Policy," MPRA Paper 63705, University Library of Munich, Germany.

Chapters

  1. Larry G. Epstein & Stanley E. Zin, 2013. "Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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