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Probabilistically Sophisticated Multiple Priors

Author

Listed:
  • Simon Grant

    (Department of Economics, Rice University)

  • Atsushi Kajii

    (Institute of Economic Research, Kyoto University)

Abstract

We characterize the intersection of the probabilistically sophisticated and multiple prior models. We show this class is strictly larger than the subjective expected utility model and that its elements can be generated from a generalized class of the -contaminated priors, which we dub the - contaminated/ -truncated prior.

Suggested Citation

  • Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research.
  • Handle: RePEc:kyo:wpaper:608
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    File URL: http://www.kier.kyoto-u.ac.jp/DP/DP608.pdf
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    References listed on IDEAS

    as
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    3. Haluk Ergin & Faruk Gul, 2003. "A Subjective Theory of Compound Lotteries," Levine's Bibliography 506439000000000406, UCLA Department of Economics.
    4. Grant, Simon, 1995. "Subjective Probability without Monotonicity: Or How Machina's Mom May Also Be Probabilistically Sophisticated," Econometrica, Econometric Society, vol. 63(1), pages 159-189, January.
    5. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    6. Machina, Mark J & Schmeidler, David, 1992. "A More Robust Definition of Subjective Probability," Econometrica, Econometric Society, vol. 60(4), pages 745-780, July.
    7. Larry G. Epstein, 1999. "A Definition of Uncertainty Aversion," Review of Economic Studies, Oxford University Press, vol. 66(3), pages 579-608.
    8. Massimo Marinacci, 2002. "Probabilistic Sophistication and Multiple Priors," Econometrica, Econometric Society, vol. 70(2), pages 755-764, March.
    9. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
    10. Epstein, Larry G & Zhang, Jiankang, 2001. "Subjective Probabilities on Subjectively Unambiguous Events," Econometrica, Econometric Society, vol. 69(2), pages 265-306, March.
    11. Grant, Simon & Karni, Edi, 2004. "A theory of quantifiable beliefs," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 515-546, August.
    12. Itzhak Gilboa & David Schmeidler, 1995. "Canonical Representation of Set Functions," Mathematics of Operations Research, INFORMS, vol. 20(1), pages 197-212, February.
    13. Safra, Zvi & Segal, Uzi, 1998. "Constant Risk Aversion," Journal of Economic Theory, Elsevier, vol. 83(1), pages 19-42, November.
    14. Lo, Kin Chung, 2011. "Possibility and permissibility," Mathematical Social Sciences, Elsevier, pages 109-113.
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    Citations

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    Cited by:

    1. Massimo Marinacci, 2002. "Probabilistic Sophistication and Multiple Priors," Econometrica, Econometric Society, vol. 70(2), pages 755-764, March.
    2. Tomasz, Strzalecki, 2011. "Probabilistic sophistication and variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2117-2125, September.
    3. Jan Werner, 2009. "Risk and risk aversion when states of nature matter," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(2), pages 231-246, November.
    4. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.

    More about this item

    Keywords

    subjective probability; maximin expected utility; epsilon-contamined priors.;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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