Ambiguity Revealed

We derive necessary and sucient conditions for data sets composed of state-contingent prices and consumption to be consistent with two prominent models of decision making under uncertainty: variational preferences and smooth ambiguity. The revealed preference conditions for subjective expected utility, maxmin expected utility, and multiplier preferences are characterized as special cases. We implement our tests on data from a portfolio choice experiment.

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Year of publication:	2013-04
Authors:	Bayer, Ralph-C ; Bose, Subir ; Polisson, Matthew ; Renou, Ludovic
Institutions:	School of Economics, University of Adelaide
Subject:	ambiguity \| expected utility \| maxmin \| revealed preference \| smooth \| uncertainty \| variational

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Extent:	application/pdf
Series:	School of Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2013-05 25 pages
Classification:	D1 - Household Behavior and Family Economics ; D8 - Information and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010897243