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Updating preferences with multiple priors

Klibanoff, Peter; Hanany, Eran - In: Theoretical Economics 2 (2007) 3, pp. 261-298

We propose and axiomatically characterize dynamically consistent update rules for decision making under ambiguity … of preferences over acts, to be able to reconcile typical behavior in the face of ambiguity (as exemplified by Ellsberg …

Persistent link: https://www.econbiz.de/10011599390

Updating preferences with multiple priors

Klibanoff, Peter; Hanany, Eran - In: Theoretical Economics 2 (2007) 3

Persistent link: https://www.econbiz.de/10005812751

Optimal allocations with α-MaxMin utilities, Choquet expected utilities, and Prospect Theory

Beißner, Patrick; Werner, Jan - In: Theoretical Economics 18 (2023) 3, pp. 993-1022

utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the … analysis to α-maxmin expected utility, Choquet expected utility, and Cumulative Prospect Theory, which accommodate ambiguity …

Persistent link: https://www.econbiz.de/10014537001

Robust contracting under common value uncertainty

Auster, Sarah - In: Theoretical Economics 13 (2018) 1, pp. 175-204

A buyer makes an offer to a privately informed seller for a good of uncertain quality. Quality determines both the seller's valuation and the buyer's valuation, and the buyer evaluates each contract according to its worst-case performance over a set of probability distributions. This paper...

Persistent link: https://www.econbiz.de/10012010024

Random ambiguity

Lu, Jay - In: Theoretical Economics 16 (2021) 2, pp. 539-570

We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information … and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and … Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified …

Persistent link: https://www.econbiz.de/10013189043

Optimal auctions with ambiguity

Bose, Subir; Ozdenoren, Emre; Pape, Andreas - In: Theoretical Economics 1 (2006) 4, pp. 411-438

unique distribution. In this paper we study the optimal auction problem allowing for ambiguity about the distribution of … valuations. Agents may be ambiguity averse (modeled using the maxmin expected utility model of Gilboa and Schmeidler 1989.) When … the bidders face more ambiguity than the seller we show that (i) given any auction, the seller can always (weakly …

Persistent link: https://www.econbiz.de/10011599377

Coarse contingencies and ambiguity

Epstein, Larry G.; Marinacci, Massimo; Seo, Kyoungwon - In: Theoretical Economics 2 (2007) 4, pp. 355-394

The paper considers an agent who must choose an action today under uncertainty about the consequence of any chosen action but without having in mind a complete list of all the contingencies that could influence outcomes. She conceives of some relevant (subjective) contingencies but she is aware...

Persistent link: https://www.econbiz.de/10011599392

Symmetry of evidence without evidence of symmetry

Epstein, Larry G.; Seo, Kyoungwon - In: Theoretical Economics 5 (2010) 3, pp. 313-368

The de Finetti Theorem is a cornerstone of the Bayesian approach. Bernardo (1996) writes that its "message is very clear: if a sequence of observations is judged to be exchangeable, then any subset of them must be regarded as a random sample from some model, and there exists a prior distribution...

Persistent link: https://www.econbiz.de/10011599431

Dynamic choice under ambiguity

Siniscalchi, Marciano - In: Theoretical Economics 6 (2011) 3, pp. 379-421

This paper analyzes dynamic choice for ambiguity-sensitive decision makers. It demonstrates that unambiguous behavioral … sophisticated MEU preferences are then used to analyze the value of information under ambiguity; a basic trade-off between …

Persistent link: https://www.econbiz.de/10011599450

Intertemporal substitution and recursive smooth ambiguity preferences

Miao, Jianjun; Hayashi, Takashi - In: Theoretical Economics 6 (2011) 3, pp. 423-472

In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a … separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches … Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model …

Persistent link: https://www.econbiz.de/10011599451