Ambiguity revealed

We derive necessary and sufficient 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 characterised as special cases. We implement our tests on data from a portfolio choice experiment.

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Year of publication:	2013
Authors:	Bayer, Ralph-C. ; Bose, Subir ; Polisson, Matthew ; Renou, Ludovic
Publisher:	London : Institute for Fiscal Studies (IFS)
Subject:	ambiguity \| expected utility \| maxmin \| revealed preference \| smooth \| uncertainty \| variational

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Series:	IFS Working Papers ; W13/05
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.1920/wp.ifs.2013.1305 [DOI] 740924370 [GVK] hdl:10419/91537 [Handle] RePEc:ifs:ifsewp:13/05 [RePEc]
Classification:	D1 - Household Behavior and Family Economics ; D8 - Information and Uncertainty
Source:	EconStor

Persistent link: https://www.econbiz.de/10010331024