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Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion

Skiadas, Costis - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 1, pp. 59-93

(Knightian uncertainty) and a roulette (objective risk). The class of scale-invariant (SI) ambiguity-averse preferences, in a … axiom is shown to imply either unit CRRA toward roulette risk or SI maxmin expected utility. Removing the weak independence … axiom but adding a separability assumption on preferences over pure horse-race bets leads to source-dependent constant-relative-risk …

Persistent link: https://www.econbiz.de/10011688977

Regret testing : learning to play Nash equilibrium without knowing you have an opponent

Foster, Dean P.; Young, H. Peyton - In: Theoretical economics : TE ; an open access journal in … 1 (2006) 3, pp. 341-367

A learning rule is uncoupled if a player does not condition his strategy on the opponent's payoffs. It is radically uncoupled if a player does not condition his strategy on the opponent's actions or payoffs. We demonstrate a family of simple, radically uncoupled learning rules whose...

Persistent link: https://www.econbiz.de/10011702986

Worst-case equilibria in first-price auctions

Gretschko, Vitali; Mass, Helene - In: Theoretical economics : TE ; an open access journal in … 19 (2024) 1, pp. 61-93

The usual analysis of bidding in first-price auctions assumes that bidders know the distribution of valuations. We analyze first-price auctions in which bidders do not know the precise distribution of their competitors' valuations, but only the mean of the distribution. We propose a novel...

Persistent link: https://www.econbiz.de/10014468062

Optimal auctions with ambiguity

Bose, Subir; Ozdenoren, Emre; Pape, Andreas D. - In: Theoretical economics : TE ; an open access journal in … 1 (2006) 4, pp. 411-438

A crucial assumption in the optimal auction literature is that each bidder's valuation is known to be drawn from a unique distribution. In this paper we study the optimal auction problem allowing for ambiguity about the distribution of valuations. Agents may be ambiguity averse (modeled using...

Persistent link: https://www.econbiz.de/10011702781

Objective rationality and uncertainty averse preferences

Cerreia-Vioglio, Simone - In: Theoretical economics : TE ; an open access journal in … 11 (2016) 2, pp. 523-545

As in Gilboa, Maccheroni, Marinacci, and Schmeidler \cite{GMMS}, we consider a decision maker characterized by two binary relations: $\succsim^{\ast}$ and $\succsim^{{\small \wedge}}$. The first binary relation is a Bewley preference. It\ models the rankings for which the decision maker is sure....

Persistent link: https://www.econbiz.de/10011672025

Dynamic choice under ambiguity

Siniscalchi, Marciano - In: Theoretical economics : TE ; an open access journal in … 6 (2011) 3, pp. 379-421

This paper analyzes dynamic choice for ambiguity-sensitive decision makers. It demonstrates that unambiguous behavioral predictions can be obtained, even in the face of dynamic inconsistency, by taking the individual's preferences over decision trees, rather than acts, as primitive. In...

Persistent link: https://www.econbiz.de/10011691151

Intertemporal substitution and recursive smooth ambiguity preferences

Hayashi, Takashi; Miao, Jianjun - In: Theoretical economics : TE ; an open access journal in … 6 (2011) 3, pp. 423-472

separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches … Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model …

Persistent link: https://www.econbiz.de/10011691090

Choice deferral and ambiguity aversion

Kopylov, Igor - In: Theoretical economics : TE ; an open access journal in … 4 (2009) 2, pp. 199-228

When confronted with uncertain prospects, people often exhibit both choice deferral and Ellsberg-type ambiguity aversion. This paper obtains a joint representation for these behavioral phenomena. The decision maker as portrayed by my model is willing to choose an uncertain prospect f over g...

Persistent link: https://www.econbiz.de/10011699104

Preferences for partial information and ambiguity

Li, Jian - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 3, pp. 1059-1094

We commonly think of information as an instrument for better decisions, yet evidence suggests that people often decline free information in non-strategic scenarios. This paper provides a theory for how a dynamically-consistent decision maker can be averse to partial information as a consequence...

Persistent link: https://www.econbiz.de/10012308729

Allais, Ellsberg, and preferences for hedging

Dean, Mark; Ortoleva, Pietro - In: Theoretical economics : TE ; an open access journal in … 12 (2017) 1, pp. 377-424

Two of the most well known regularities observed in preferences under risk and uncertainty are ambiguity aversion and …

Persistent link: https://www.econbiz.de/10011704845