A behavioral characterization of plausible priors

Journal of Economic Theory

Volumn 128, Issue 1, 2006, Pages 1-17

  Siniscalchi, Marciano ^a  

^a NORTHWESTERN UNIVERSITY   (United States)

Author keywords

Ambiguity; Maxmin expected utility; Multiple priors

Indexed keywords

EID: 33646360700     PISSN: 00220531     EISSN: 10957235     Source Type: Journal    
DOI: 10.1016/j.jet.2005.02.011     Document Type: Article

References (34)

1. Aliprantis C., and Border K. Infinite Dimensional Analysis (1994), Springer, Berlin
2. Anscombe F.J., and Aumann R.J. A definition of subjective probability. Ann. Math. Statist. 34 (1963) 199-205
3. Bewley T. Knightian decision theory. Dec. Econ. Finance 25 2) (Part I, (2002) 79-110 (first version 1986)
4. Billot A., Chateauneuf A., Gilboa I., and Tallon J.-M. Sharing beliefs: between agreeing and disagreeing. Econometrica 68 (2000) 685-694
5. Casadesus-Masanell R., Klibanoff P., and Ozdenoren E. Maxmin expected utility over savage acts with a set of priors. J. Econ. Theory 92 (2000) 33-65
6. Castagnoli E., and Maccheroni F. Restricting independence to convex cones. J. Math. Econ. 34 (2000) 215-223
7. E. Castagnoli, F. Maccheroni, M. Marinacci, Expected utility with multiple priors, in: J-M. Bernard, T. Seidenfeld and M. Zaffalon (Eds.), Proceedings of the Third International Symposium on Imprecise Probabilities and Their Applications, Carleton Scientific, Waterloo, 2003, pp. 121-132.
8. Ellsberg D. Risk ambiguity, and the Savage axioms. Quart. J. Econ. 75 (1961) 643-669
9. Epstein L.G. A definition of uncertainty aversion. Rev. Econ. Stud. 66 (1999) 579-608
10. Epstein L.G., and Zhang J. Subjective probabilities on subjectively unambiguous events. Econometrica 69 (2001) 265-306
11. P. Ghirardato, F. Maccheroni, M. Marinacci, Differentiating ambiguity and ambiguity attitude, J. Econ. Theory 118 (2004) 133-173.
12. Ghirardato P., Maccheroni F., Marinacci M., and Siniscalchi M. A subjective spin on roulette wheels. Econometrica 71 6 (2003) 1897-1908
13. Ghirardato P., and Marinacci M. Ambiguity made precise: a comparative foundation. J. Econ. Theory 102 (2002) 251-289
14. Gilboa I., and Schmeidler D. Maxmin expected utility with a non-unique prior. J. Math. Econ. 18 (1989) 141-153
15. Gilboa I., and Schmeidler D. Updating ambiguous beliefs. J. Econ. Theory 59 (1993) 33-49
16. Hansen L.P., Sargent T., and Tallarini T.D. Robust permanent income and pricing. Rev. Econ. Stud. 66 (1999) 873-907
17. Holmes R. Geometric Functional Analysis and its Applications (1975), Springer, New York
18. J.-Y. Jaffray, Dynamic decision making with belief functions, in: Yaeger et al. (Eds.), Advances in the Dempster-Shafer Theory of Evidence, Wiley, New York, 1994.
19. Kechris A. Classical Descriptive Set Theory (1995), Springer, New York, Berlin
20. Klibanoff P. Characterizing uncertainty aversion through preference for mixtures. Soc. Choice Welfare 18 (2001) 289-301
21. P. Klibanoff, M. Marinacci, S. Mukerji, A smooth model of ambiguity aversion, mimeo, Northwestern University, 2003.
22. Luce R.D., and Raiffa H. Games and Decisions (1957), Wiley, New York
23. M. Machina, Robustifying the classical model of risk preferences and beliefs, Economics Discussion Paper 2002-06, UCSD, 2002.
24. Machina M.J., and Schmeidler D. A more robust definition of subjective probability. Econometrica 60 (1992) 745-780
25. Machina M.J., and Schmeidler D. Bayes without Bernoulli: simple conditions for probabilistically sophisticated choice. J. Econ. Theory 67 (1995) 106-128
26. Marinacci M. Probabilistic sophistication and multiple priors. Econometrica 70 (2002) 755-764
27. Megginson R. An Introduction to Banach Space Theory (1998), Springer, New York
28. Mukerji S. Ambiguity aversion and incompleteness of contractual form. Amer. Econ. Rev. 88 (1998) 1207-1231
29. K. Nehring, Ambiguity in the context of probabilistic beliefs, mimeo, UC Davis, November 2001.
30. Pires C.P. A rule for updating ambiguous beliefs. Theory Dec. 53 2 (2002) 137-152
31. Savage L.J. The Foundations of Statistics (1954), Wiley, New York
32. Schmeidler D. Subjective probability and expected utility without additivity. Econometrica 57 (1989) 571-587
33. M. Siniscalchi, Bayesian updating for general maxmin expected utility preferences, mimeo, Princeton University, Princeton, NJ, September 2001.
34. T. Wang, A class of multi-prior preferences, mimeo, University of British Columbia, September 2003.