We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated to...

We analyze a notion of self-confirming equilibrium with non-neutral ambiguity attitudes that generalizes the traditional concept. We show that the set of equilibria expands as ambiguity aversion increases. The intuition is quite simple: by playing the same strategy in a stationary environment,...

Our recent research emphasizes the importance of information feedback in situations of recurrent decisions and strategic interaction, showing how it affects the uncertainty that underlies selfconfi?rming equilibrium. Here we discuss in detail the properties of such a key feature of recurrent...

In a decision problem under uncertainty, a decision maker considers a set of alternative actions whose consequences depend on uncertain factors outside his control. Following Luce and Raiffa (1957), we adopt a natural representation of such situation that takes as primitives a set of conceivable...

Given a functional defi?ned on a nonempty subset of an Archimedean Riesz space with unit, necessary and sufficient conditions are obtained for the existence of a (convex or concave) niveloid that extends the functional to the entire space. In the language of mathematical fi?nance, this problem...

We study the interplay of probabilistic sophistication, second order stochastic dominance and uncertainty aversion, three fundamental notions in choice under uncertainty. In particular, our main result, Theorem 2, characterizes uncertainty averse preferences that are probabilistically...

An action is justi?fiable if it is a best reply to some belief. We show that higher ambiguity aversion enlarges the set of justifi?able actions.

We give a general integral representation theorem (Theorem 6) for nonadditive functionals de?ned on an Archimedean Riesz space X with order unit. Additivity is replaced by a weak form of modularity, or equivalently dual comonotonic additivity, and integrals are Choquet integrals. Those integrals...

We propose to bring together two conceptually complementary ideas: (1) selfconfi?rming equilibrium (SCE): at a rest point of learning dynamics in a game played recurrently, agents best respond to confi?rmed beliefs, i.e. beliefs consistent with the evidence they accumulate, and (2) ambiguity...