We study the interplay of probabilistic sophistication, second order stochastic dominance and uncertainty aversion, three fundamental notions in choice under uncertainty. In particular, our main result, Theorem 2, characterizes uncertainty averse preferences that are probabilistically...

Maccheroni, Marinacci, and Rustichini (2006), in an Anscombe–Aumann framework, axiomatically characterize preferences that are represented by the variational utility functional V(f)=minp∈Δ{∫u(f)dp+c(p)}∀f∈F, where u is a utility function on outcomes and c  is an index of...

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (see Maccheroni et al., 2006) and optimal portfolios generated by classical expected utility. As a special case, we connect optimization of truncated...