Axiomatic Foundations of Multiplier Preferences
This paper axiomatizes the robust control criterion of multiplier preferences introduced by Hansen and Sargent (2001). The axiomatization relates multiplier preferences to other classes of preferences studied in decision theory, in particular, the variational preferences recently introduced by Maccheroni, Marinacci, and Rustichini (2006a). This paper also establishes a link between the parameters of the multiplier criterion and the observable behavior of the agent. This link enables measurement of the parameters on the basis of observable choice data and provides a useful tool for applications.
|Date of creation:|
|Contact details of provider:|| Postal: 1737 Cambridge Street, Cambridge, MA 02138|
Web page: http://scholar.harvard.edu
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:qsh:wpaper:8239. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Richard Brandon)
If references are entirely missing, you can add them using this form.