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Temporal Resolution of Uncertainty and Recursive Models of Ambiguity Aversion


  • Tomasz Strzalecki


Models of ambiguity aversion have recently found many applications in dynamic settings. This paper shows that there is a strong interdependence between ambiguity aversion and the preferences for the timing of the resolution of uncertainty, as de ned by the classic work of Kreps and Porteus (1978): the modeling choices that are being made in the domain of ambiguity aversion influence the set of modeling choices available in the domain of timing attitudes. The main result of the paper is that the only model of ambiguity aversion that exhibits indi erence to timing is the maxmin expected utility of Gilboa and Schmeidler (1989). This paper also examines the structure of the timing nonindi erence implied by the other commonly used models of ambiguity aversion. The interdependence of ambiguity and timing that this paper identi es is of interest both conceptually and practically?especially for economists using these models in applications.

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  • Tomasz Strzalecki, "undated". "Temporal Resolution of Uncertainty and Recursive Models of Ambiguity Aversion," Working Paper 8240, Harvard University OpenScholar.
  • Handle: RePEc:qsh:wpaper:8240

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    Cited by:

    1. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
    2. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Simone Cerreia Vioglio & Fabio Maccheroni & Massimo Marinacci, 2016. "Absolute and Relative Ambiguity Aversion: A Preferential Approach," Working Papers 578, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Simon Quemin, 2016. "Intertemporal abatement decisions under ambiguity aversion in a cap and trade," Working Papers 1604, Chaire Economie du climat.
    5. Russell Golman & David Hagmann & George Loewenstein, 2017. "Information Avoidance," Journal of Economic Literature, American Economic Association, vol. 55(1), pages 96-135, March.
    6. Sarver, Todd & Ergin, Haluk, 2015. "Hidden actions and preferences for timing of resolution of uncertainty," Theoretical Economics, Econometric Society, vol. 10(2), May.
    7. Buckenmaier, Johannes & Dimant, Eugen & Posten, Ann-Christin & Schmidt, Ulrich, 2017. "On punishment institutions and effective deterrence of illicit behavior," Kiel Working Papers 2090, Kiel Institute for the World Economy (IfW).
    8. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
    9. Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
    10. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    11. Gumen, Anna & Savochkin, Andrei, 2013. "Dynamically stable preferences," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1487-1508.
    12. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
    13. Pierpaolo Benigno & Salvatore Nisticò, 2012. "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 144-189, January.
    14. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
    15. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
    16. repec:rsr:supplm:v:65:y:2017:i:6:p:40-50 is not listed on IDEAS
    17. Li, Jian & Zhou, Junjie, 2016. "Blackwell's informativeness ranking with uncertainty-averse preferences," Games and Economic Behavior, Elsevier, vol. 96(C), pages 18-29.

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