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In the classic Anscombe and Aumann decision setting, we give necessary and sufficient conditions that guarantee the existence of a utility function u on outcomes and an ambiguity index c on the set of all probabilities on the states of the world such that acts are ranked according to the...
Persistent link: https://www.econbiz.de/10005427049
Persistent link: https://www.econbiz.de/10005375199
We study the cores of non-atomic market games, a class of transferable utility co- operative games introduced by Aumann and Shapley [2], and, more in general, of those games that admit a na-continuous and concave extension to the set of ideal coalitions, studied by Einy, Moreno, and Shitovitz...
Persistent link: https://www.econbiz.de/10005405546
We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. [8]) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated quadratic utility (cf. [2])...
Persistent link: https://www.econbiz.de/10005405555
We study the updating of beliefs under ambiguity for invariant biseparable preferences. In particular, we show that a natural form of dynamic consistency characterizes the Bayesian updating of these beliefs.
Persistent link: https://www.econbiz.de/10005405560
We study orders of risk and model uncertainty aversion in the smooth ambiguity model proposed by Klibanoff, Marinacci, and Mukerji (2005). We consider a quadratic approximation of their model and we show that both risk and model uncertainty attitudes have at most a second order effect....
Persistent link: https://www.econbiz.de/10011081545
We consider real pre-Hilbert modules H on Archimedean f-algebras A with unit e. We provide conditions on A and H such that a Riesz representation theorem for bounded/continuous A-linear operators holds.
Persistent link: https://www.econbiz.de/10011207936
We establish an Ergodic Theorem for lower probabilities, a generalization of standard probabilities widely used in applications. As an application, we provide a version for lower probabilities of the Strong Law of Large Numbers.
Persistent link: https://www.econbiz.de/10010856750
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...
Persistent link: https://www.econbiz.de/10011065388
Persistent link: https://www.econbiz.de/10011026277