This chapter reviews developments in the theory of decision making under risk and uncertainty, focusing on models that, over the last 40 years, dominated the theoretical discussions. It also surveys some implications of the departures from the “linearity in the probabilities†aspect of...

Starting with the seminal paper of Gilboa and Schmeidler (1989) [32] an analogy between the maxmin approach of decision theory under ambiguity and the minimax approach of robust statistics – e.g., Blum and Rosenblatt (1967) [10] – has been hinted at. The present paper formally clarifies this...

This paper analyzes preferences in the presence of ambiguity that are rational in the sense of satisfying the classical ordering condition as well as monotonicity. Under technical conditions that are natural in an Anscombe-Aumann environment, we show that even for such general preference model...

We examine a variety of preference-based definitions of ambiguous events in the context of the smooth ambiguity model.  We first consider the definition proposed in Klibanoff, Marinacci, and Mukerji (2005) based on the classic Ellsberg two-urn paradox (Ellsberg (1961)), and show that it...

We propose and axiomatize a new model of preferences that achieves a separation between ambiguity, identified as a characteristic of the decision maker's subjective information, and ambiguity attitude, a characteristic of the decision maker's tastes.

This paper axiomatizes an intertemporal version of the Smooth Ambiguity decision model developed in Klibanoff, Marinacci, and Mukerji (2005). A key feature of the model is that it achieves a separation between ambiguity, identified as a characteristic of the decision maker's subjective beliefs,...

The paper considers an agent who must choose an action today under uncertainty about the consequence of any chosen action but without having in mind a complete list of all the contingencies that could influence outcomes. She conceives of some relevant (subjective) contingencies but she is aware...