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Dynamic choice under ambiguity
Siniscalchi, Marciano - In: Theoretical Economics 6 (2011) 3
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/10008683547
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Intertemporal substitution and recursive smooth ambiguity preferences
Miao, Jianjun; Hayashi, Takashi - In: Theoretical Economics 6 (2011) 3
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/10008694967
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Symmetry of evidence without evidence of symmetry
Epstein, Larry G.; Seo, Kyoungwon - In: Theoretical Economics 5 (2010) 3
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/10008599642
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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
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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
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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
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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
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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
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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
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Objective rationality and uncertainty averse preferences
Cerreia-Vioglio, Simone - In: Theoretical Economics 11 (2016) 2, pp. 523-545
As in Gilboa, Maccheroni, Marinacci, and Schmeidler \cite{GMMS}, we consider a decision maker characterized by two binary relations: $\succsim^{\ast}$ and $\succsim^{{\small \wedge}}$. The first binary relation is a Bewley preference. It\ models the rankings for which the decision maker is sure....
Persistent link: https://www.econbiz.de/10011599576