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Ambiguity Revealed

Author

Listed:
  • Ralph-C Bayer

    (School of Economics, University of Adelaide)

  • Subir Bose
  • Matthew Polisson
  • Ludovic Renou

Abstract

We derive necessary and sucient conditions for data sets composed of state-contingent prices and consumption to be consistent with two prominent models of decision making under uncertainty: variational preferences and smooth ambiguity. The revealed preference conditions for subjective expected utility, maxmin expected utility, and multiplier preferences are characterized as special cases. We implement our tests on data from a portfolio choice experiment.

Suggested Citation

  • Ralph-C Bayer & Subir Bose & Matthew Polisson & Ludovic Renou, 2013. "Ambiguity Revealed," School of Economics and Public Policy Working Papers 2013-05, University of Adelaide, School of Economics and Public Policy.
    • Handle: RePEc:adl:wpaper:2013-05
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    File URL: https://media.adelaide.edu.au/economics/papers/doc/wp2013-05.pdf
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Polisson, Matthew & Renou, Ludovic, 2016. "Afriat’s Theorem and Samuelson’s ‘Eternal Darkness’," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 36-40.
    2. Aluma Dembo & Shachar Kariv & Matthew Polisson & John Quah, 2021. "Ever since Allais," IFS Working Papers W21/15, Institute for Fiscal Studies.
    3. Stefania Minardi & Andrei Savochkin, 2017. "Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data," Mathematics of Operations Research, INFORMS, vol. 42(1), pages 167-178, January.
    4. Matthew Polisson & John K.-H. Quah, 2013. "Revealed preference tests under risk and uncertainty," Discussion Papers in Economics 13/24, Division of Economics, School of Business, University of Leicester.

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    More about this item

    Keywords

    ambiguity; expected utility; maxmin; revealed preference; smooth; uncertainty; variational.;
    All these keywords.

    JEL classification:

    • D1 - Microeconomics - - Household Behavior
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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