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This paper axiomatizes the robust control criterion of multiplier preferences introduced by Hansen and Sargent (2001). The axiomatization relates multiplier preferences to other classes of preferences studied in decision theory, in particular the variational preferences, recently introduced by...
Persistent link: https://www.econbiz.de/10014199838
We provide an axiomatic analysis of dynamic random utility, characterizing the stochastic choice behavior of agents who solve dynamic decision problems by maximizing some stochastic process (U_t) of utilities. We show first that even when (U_t) is arbitrary, dynamic random utility imposes new...
Persistent link: https://www.econbiz.de/10012908509
Under dynamic random utility, an agent (or population of agents) solves a dynamic decision problem subject to evolving private information. We analyze the fully general and non-parametric model, axiomatically characterizing the implied dynamic stochastic choice behavior. A key new feature...
Persistent link: https://www.econbiz.de/10012953649