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Stochastically independent randomization and uncertainty aversion

Klibanoff, Peter - In: Economic Theory 18 (2001) 3, pp. 605-620

and uncertainty or ambiguity aversion (a la Ellsberg). For example, when imposed on Choquet Expected Utility (CEU …

Persistent link: https://www.econbiz.de/10005596694

Subjective ambiguity, expected utility and Choquet expected utility

Zhang, Jiankang - In: Economic Theory 20 (2002) 1, pp. 159-181

`ambiguity' is subjective and derived from preferences. …

Persistent link: https://www.econbiz.de/10005371179

Least convex capacities

Epstein, Larry G.; Zhang, Jiankang - In: Economic Theory 13 (1999) 2, pp. 263-286

Debreu proposed the notion of `least concave utility' as a way to disentangle risk attitudes from the certainty preferences embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines a corresponding decomposition of preference....

Persistent link: https://www.econbiz.de/10005178754

The dual theory of the smooth ambiguity model

Iwaki, Hideki; Osaki, Yusuke - In: Economic Theory 56 (2014) 2, pp. 275-289

This paper studies the “dual” theory of the smooth ambiguity model introduced by Klibanoff et al. (Econometrica 73 …:1849–1892, <CitationRef CitationID="CR14">2005</CitationRef>). Unlike the original model, we characterize attitudes toward ambiguity captured … by second-order probabilities. First, we give a set of axioms to derive a dual representation of the smooth ambiguity …

Persistent link: https://www.econbiz.de/10010993612

Definitions of ambiguous events and the smooth ambiguity model

Klibanoff, Peter; Marinacci, Massimo; Mukerji, Sujoy - In: Economic Theory 48 (2011) 2, pp. 399-424

Persistent link: https://www.econbiz.de/10009324536

Event-Separability in the Ellsberg urn

Machina, Mark - In: Economic Theory 48 (2011) 2, pp. 425-436

Persistent link: https://www.econbiz.de/10009324554

Ambiguity aversion and the absence of indexed debt

Mukerji, Sujoy; Tallon, Jean-Marc - In: Economic Theory 24 (2004) 3, pp. 665-685

Bayesian fashion, but instead by a set of probabilities. An ambiguity averse decision maker evaluates an act by the minimum … economic agents are ambiguity averse. The paper considers a general equilibrium model based on Magill and Quinzii (1997) with … ambiguity averse agents, where both nominal and indexed bond contracts are available for trade and all relevant prices are …

Persistent link: https://www.econbiz.de/10005597859

Optimal consumption and portfolio choice with ambiguous interest rates and volatility

Lin, Qian; Riedel, Frank - In: Economic Theory 71 (2020) 3, pp. 1189-1202

We study continuous-time consumption and portfolio choice in the presence of Knightian uncertainty about interest rates. We develop the stochastic model that involves singular priors and analyze optimal behavior. When there is sufficiently large uncertainty about interest rates, the agent...

Persistent link: https://www.econbiz.de/10014503877

Upper and lower bounds for expected utility

LiCalzi, Marco - In: Economic Theory 16 (2000) 2, pp. 489-502

The decision-theoretic literature has developed very few techniques to bound the expected utility of a random variable when only simple statistics like its median or mode or mean are known. One reason for this lack of results is that we are missing a convenient way to link probability theory and...

Persistent link: https://www.econbiz.de/10005244915

Optimal design of pension funds: a mission impossible?

Waegenaere, Anja De; Suijs, Jeroen; Borm, Peter - In: Economic Theory 22 (2003) 1, pp. 89-110

Nowadays many employers offer their employees the possibility of an insurance against too large losses in income when retiring or becoming disabled. This paper models the optimization problem of the employer when setting up such a so-called pension fund. Not surprisingly, it turns out that the...

Persistent link: https://www.econbiz.de/10005370655