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Neo-additive capacities and updating
Eichberger, Jürgen; Grant, Simon; Lefort, Jean-Philippe - Alfred-Weber-Institut für Sozial- und … - 2009
This paper shows that, for CEU preferences, the axioms consquentialism, state independenceand conditional certainty equivalent consistency under updating characterise a family of capacities,called Genralised Neo-Additive Capacities (GNAC). This family contains as special casesamong others...
Persistent link: https://www.econbiz.de/10005868377
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Vigilant measures of risk and the demand for contingent claims
Ghossoub, Mario - 2012
I examine a class of utility maximization problems with a not necessarily lawinvariant utility, and with a not necessarily law-invariant risk measure constraint. The objective function is an integral of some function U with respect to some probability measure P, and the constraint set contains...
Persistent link: https://www.econbiz.de/10010352854
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Minimax Regret and Efficient BargainingUnder Uncertainty
Bossert, Walter; Peters, Hans - University <Nottingham> / Department of Economics
Bargaining under uncertainty is modeled by the assumption that thereare several possible states of nature, each of which is identied with abargaining problem...
Persistent link: https://www.econbiz.de/10005869345
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Multi-Attribute Decision-Makingin Individual and Social Choice
Bossert, Walter; Peters, Hans - University <Nottingham> / Department of Economics - 1998
This paper provides an analysis of individual and social decision criteria foralternatives that are composed of several attributes. We derive additive and multiplicativecriteria for individual decision-making with new axioms and apply these criteria toobtain new justications of known social...
Persistent link: https://www.econbiz.de/10005869346
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Robust contracting in general contract spaces
Backhoff-Veraguas, Julio; Beißner, Patrick; Horst, Ulrich - 2020
We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type …
Persistent link: https://www.econbiz.de/10012290373
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Updating ambiguity averse preferences
Hanany, Eran; Klibanoff, Peter - 2008
ambiguity aversion. This characterization extends to regret-based models as well. As an application of our general result, we … characterize dynamically consistent updating for two important models of ambiguity averse preferences: the ambiguity averse smooth … ambiguity preferences (Klibanoþ, Marinacci and Mukerji [Econometrica 73 2005, pp. 1849-1892]) and the variational preferences …
Persistent link: https://www.econbiz.de/10010266275
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Boolean representations of preferences under ambiguity
Frick, Mira; Iijima, Ryota; Le Yaouanq, Yves - 2019
We propose a class of multiple-prior representations of preferences under ambiguity where the belief the decision … Optimism. The model does not restrict the sign of the DM's ambiguity attitude, and we show that it provides a unified framework … through which to characterize different degrees of ambiguity aversion, as well as to represent context-dependent negative and …
Persistent link: https://www.econbiz.de/10012141879
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Preference for randomization and ambiguity aversion
Saito, Kota - 2011
Raiffa (1961) criticizes ambiguity-averse preferences by claiming that hedging is possible with randomization of …
Persistent link: https://www.econbiz.de/10010282920
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Preference for randomization: Ambiguity aversion and inequality aversion
Saito, Kota - 2010
important contexts. Under ambiguity aversion, an ex-ante mixture could provide only ex-ante hedging but not ex-post hedging … particular, two representations are characterized for each context. One representation for ambiguity aversion is an extension of …
Persistent link: https://www.econbiz.de/10010286983
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Approximate Expected Utility Rationalization
Echenique, Federico; Imai, Taisuke; Saito, Kota - 2018
We propose a new measure of deviations from expected utility, given data on economic choices under risk and uncertainty. In a revealed preference setup, and given a positive number e, we provide a characterization of the datasets whose deviation (in beliefs, utility, or perceived prices) is...
Persistent link: https://www.econbiz.de/10011932968