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A smooth model of decision making under ambiguity

  • Peter Klibanoff

    ()

  • Massimo Marinacci

    ()

  • Sujoy Mukerji

    ()

We propose and axiomatize a new model of preferences that achieves a separation between ambiguity, identified as a characteristic of the decision maker's subjective information, and ambiguity attitude, a characteristic of the decision maker's tastes.

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File URL: http://servizi.sme.unito.it/icer_repec/RePEc/icr/wp2003/Marinacci-Mukerji11-03.pdf
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Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 11-2003.

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Length: 54 pages
Date of creation: Sep 2002
Date of revision: Apr 2003
Handle: RePEc:icr:wpmath:11-2003
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  1. Paolo Ghirardato & Massimo Marinacci, 2000. "Risk, Ambiguity and the Separation of Utility and Beliefs," Econometric Society World Congress 2000 Contributed Papers 1143, Econometric Society.
  2. Grant, S & Kajii, A & Polak, B, 1997. "Temporal Resolution of Uncertainty and Recursive Non-Expected Utility Models," Papers 324, Australian National University - Department of Economics.
  3. Uzi Segal, 2000. "Two Stage Lotteries Without the Reduction Axiom," Levine's Working Paper Archive 7599, David K. Levine.
  4. Loomes, Graham & Segal, Uzi, 1994. "Observing Different Orders of Risk Aversion," Journal of Risk and Uncertainty, Springer, vol. 9(3), pages 239-56, December.
  5. Segal, Uzi, 1987. "The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 175-202, February.
  6. Epstein, Larry G & Zhang, Jiankang, 2001. "Subjective Probabilities on Subjectively Unambiguous Events," Econometrica, Econometric Society, vol. 69(2), pages 265-306, March.
  7. Segal, Uzi & Spivak, Avia, 1990. "First order versus second order risk aversion," Journal of Economic Theory, Elsevier, vol. 51(1), pages 111-125, June.
  8. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
  9. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
  10. Zengjing Chen & Larry G. Epstein, 2000. "Ambiguity, risk and asset returns in continuous time," RCER Working Papers 474, University of Rochester - Center for Economic Research (RCER).
  11. Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
  12. Sarin, Rakesh K & Wakker, Peter, 1992. "A Simple Axiomatization of Nonadditive Expected Utility," Econometrica, Econometric Society, vol. 60(6), pages 1255-72, November.
  13. 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).
  14. Kreps, David M & Porteus, Evan L, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Econometrica, Econometric Society, vol. 46(1), pages 185-200, January.
  15. 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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