Recursive smooth ambiguity preferences

Journal of Economic Theory

Volumn 144, Issue 3, 2009, Pages 930-976

  Klibanoff, Peter ^a   Marinacci, Massimo ^b   Mukerji, Sujoy ^c  

^a NORTHWESTERN UNIVERSITY   (United States)

^b UNIVERSITY OF TURIN   (Italy)

^c UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Ambiguity; Ambiguity aversion; Dynamic decision making; Dynamic programming under ambiguity; Ellsberg paradox; Knightian uncertainty; Smooth ambiguity; Uncertainty; Uncertainty aversion

Indexed keywords

EID: 64049107866     PISSN: 00220531     EISSN: 10957235     Source Type: Journal    
DOI: 10.1016/j.jet.2008.10.007     Document Type: Article

References (52)

1. Abel A. Asset prices under habit formation and catching up with the Joneses. Amer. Econ. Rev. 80 2 (1990) 38-42
2. D. Backus, B. Routledge, S. Zin, Exotic preferences for macroeconomists, Working Paper 10597, NBER, 2004
3. Camerer C. Ambiguity-aversion and non-additive probability: Experimental evidence, models and applications. In: Luini L. (Ed). Uncertain Decisions: Bridging Theory and Experiments (1999), Kluwer Academic Publishers 53-80
4. Chen Z., and Epstein L.G. Ambiguity, risk and asset returns in continuous time. Econometrica 70 4 (2002) 1403-1443
5. Durrett R. Probability: Theory and Examples (1991), Wadsworth and Brooks, Pacific Grove
6. Eichberger J., Grant S., and Kelsey D. CEU preferences and dynamic consistency. Math. Soc. Sci. 49 (2005) 143-151
7. Epstein L.G. Stationary cardinal utility and optimal growth under uncertainty. J. Econ. Theory 31 (1983) 133-152
8. Epstein L.G., and LeBreton M. Dynamically consistent beliefs must be Bayesian. J. Econ. Theory 61 1 (1993) 1-22
9. Epstein L.G., and Schneider M. IID: Independently and indistinguishably distributed. J. Econ. Theory 113 1 (2003) 32-50
10. Epstein L.G., and Schneider M. Recursive multiple-priors. J. Econ. Theory 113 1 (2003) 1-31
11. Epstein L.G., and Wang T. Intertemporal asset pricing under Knightian uncertainty. Econometrica 62 3 (1994) 283-322
12. Epstein L.G., and Zin S.E. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57 4 (1989) 937-969
13. H. Ergin, F. Gul, A subjective theory of compound lotteries, Mimeo, Princeton University, 2004
14. Ghirardato P. Revisiting Savage in a conditional world. J. Econ. Theory 20 (2002) 83-92
15. Gilboa I., and Schmeidler D. Maxmin expected utility with a non-unique prior. J. Math. Econ. 18 (1989) 141-153
16. C. Gollier, Does ambiguity aversion reinforce risk aversion? Applications to portfolio choices and asset prices, Mimeo, University of Toulouse, 2005
17. Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57 2 (1989) 357-384
18. E. Hanany, P. Klibanoff, Updating ambiguity averse preferences, Mimeo, Northwestern University, 2007
19. Hanany E., and Klibanoff P. Updating preferences with multiple priors. Theoretical Economics 2 3 (2007) 261-298
20. L. Hansen, T. Sargent, Recursive robust estimation and control without commitment, Mimeo, University of Chicago, 2006
21. Hansen L.P. Beliefs, doubts and learning: The valuation of macroeconomic risk. Amer. Econ. Rev. 97 2 (2007) 1-30
22. Hansen L.P., and Sargent T. Robust control and model uncertainty. Amer. Econ. Rev. 91 (2001) 60-66
23. Hayashi T. Intertemporal substitution, risk aversion and ambiguity aversion. J. Econ. Theory 25 (2005) 933-956
24. I. Jewitt, S. Mukerji, Ordering ambiguous acts, Mimeo, Oxford University, 2008
25. Johnsen T.H., and Donaldson J.B. The structure of intertemporal preferences under uncertainty and time consistent plans. Econometrica 53 6 (1985) 1451-1458
26. N. Ju, J. Miao, Ambiguity, learning, and asset returns, Mimeo, Hong Kong University of Science and Technology, 2007
27. Karni E., and Schmeidler D. Atemporal dynamic consistency and expected utility theory. J. Econ. Theory 54 (1991) 401-408
28. Klibanoff P., Marinacci M., and Mukerji S. A smooth model of decision making under ambiguity. Econometrica 73 6 (2005) 1849-1892
29. Kreps D., and Porteus E. Temporal resolution of uncertainty and dynamic choice theory. Econometrica 46 1 (1978) 185-200
30. Lijoi A., Prunster I., and Walker S. Bayesian consistency for stationary models. Econometric Theory 23 (2007) 749-759
31. Lucas R. Asset prices in an exchange economy. Econometrica 46 (1978) 1429-1445
32. Maccheroni F., and Marinacci M. A strong law of large numbers for capacities. Ann. Probab. 33 (2005) 1171-1178
33. Maccheroni F., Marinacci M., and Rustichini A. Ambiguity aversion, robustness and the variational representation of preferences. Econometrica 74 6 (2006) 1447-1498
34. Maccheroni F., Marinacci M., and Rustichini A. Dynamic variational preferences. J. Econ. Theory 128 (2006) 4-44
35. Machina M. Dynamic consistency and non-expected utility models of choice under uncertainty. J. Econ. Lit. 27 (1989) 1622-1668
36. Machina M., and Schmeidler D. A more robust definition of subjective probability. Econometrica 60 (1992) 745-780
37. M. Marinacci, L. Montrucchio, Unique solutions for stochastic recursive utilities, Mimeo, Collegio Carlo Alberto, 2008
38. Nau R. Uncertainty aversion with second-order utilities and probabilities. Manage. Sci. 52 1 (2006) 136-145
39. W.S. Neilson, Ambiguity aversion: An axiomatic approach using second order probabilities, Mimeo, Texas A&M University, 1993
40. K. Nishimura, H. Ozaki, A simple axiomatization of iterated Choquet objectives, Mimeo, University of Tokyo, 2003
41. Pollak R. Habit formation and dynamic demand functions. J. Polit. Economy 78 4 (1970) 745-763
42. Sarin R., and Wakker P. Dynamic choice and nonexpected utility. J. Risk Uncertainty 17 (1998) 87-119
43. Schmeidler D. Subjective probability and expected utility without additivity. Econometrica 57 3 (1989) 571-587
44. Segal U. The Ellsberg paradox and risk aversion: An anticipated utility approach. Int. Econ. Rev. 28 (1987) 175-202
45. Seidenfeld T., and Wasserman L. Dilation for sets of probabilities. Ann. Statist. 21 (1993) 1139-1154
46. K. Seo, Ambiguity and second-order belief, Mimeo, University of Rochester, 2006
47. M. Siniscalchi, Dynamic choice under ambiguity, Mimeo, Northwestern University, 2004
48. Strotz R. Myopia and inconsistency in dynamic utility maximization. Rev. Econ. Stud. 23 (1955/1956) 165-180
49. Tarski A. A lattice-theoretical fixpoint theorem and its applications. Pacific J. Math. 5 (1955) 285-309
50. Wakker P. Additive Representations of Preferences, a New Foundation of Decision Analysis (1989), Kluwer Academic Publishers, Dordrecht
51. Wang T. Conditional preferences and updating. J. Econ. Theory 108 (2003) 286-321
52. West D.B. Introduction to Graph Theory. 2nd ed. (2001), Prentice Hall, New Jersey