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Veiel, Rafael - 2022

Consider an investment problem with strategic complementarities and incomplete information about returns. This paper shows that investors aggregate their private information in equilibrium by trading a token and observing its market price over multiple rounds before making the investment...

Persistent link: https://www.econbiz.de/10014239114

Preferences under ambiguity without event-separability : conference paper

Borah, Abhinash; Kops, Christopher - 2014

We propose and axiomatically characterize a representation of ambiguity sensitive preferences. The distinguishing feature of our axiomatization is that we do not require preferences to be event-wise separable over any domain of acts. Even without any such separability restrictions, we are able...

Persistent link: https://www.econbiz.de/10010491097

On the Ellsberg Paradox and its Extension by Machina : A Hyper-Bayesian Account

Sharpe, Keiran - 2018

This paper proposes a model of expected utility maximization which accounts for the Ellsberg paradox and Machina's extension of it. In the model, decision makers use a ring of hypercomplex numbers, and they do so in order to decompose their beliefs into ‘ambiguous' or ‘unambiguous' parts –...

Persistent link: https://www.econbiz.de/10012937146

Foundations of ambiguity models under symmetry : α-MEU and smooth ambiguity

Klibanoff, Peter; Mukerji, Sujoy; Seo, Kyoungwon; … - 2021 - This Version: January 13, 2021

The α-MEU model and the smooth ambiguity model are two popular models in decision making under ambiguity. However, the axiomatic foundations of these two models are not completely understood. We provide axiomatic foundations of these models in a symmetric setting with a product state space...

Persistent link: https://www.econbiz.de/10012422419

Ordering ambiguous acts

Jewitt, Ian; Mukerji, Sujoy - 2017

We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...

Persistent link: https://www.econbiz.de/10011694759

Symmetry axioms and perceived ambiguity

Klibanoff, Peter; Mukerji, Sujoy; Seo, Kyoungwon - 2017

Since at least de Finetti [7], preference symmetry assumptions have played an important role in models of decision making under uncertainty. In the current paper, we explore (1) the relationship between the symmetry assumption of Klibanoff, Mukerji and Seo (KMS) [21] and alternative symmetry...

Persistent link: https://www.econbiz.de/10011694779

A Theory of Quantifiable Beliefs

Karni, Edi; Grant, Simon - 2001

theory of quantifiable beliefs - a form of probabilistic sophistication that does not preclude state-dependent preferences … and does not require the reduction of compound lotteries. The theory includes the state-dependent expected utility model … special cases. The theory is flexible enough to admit recursivity in the decision-making process. One specific example of this …

Persistent link: https://www.econbiz.de/10014141058

Navigating ambiguity : imprecise probabilities and the updating of disease risk beliefs

Kerwin, Jason; Pandey, Divya - 2023

Probabilistic risk beliefs are key drivers of economic and health decisions, but people are not always certain about their beliefs. We study these "imprecise probabilities", also known as ambiguous beliefs. We show that imprecision is measurable separately from the levels of risk beliefs. People...

Persistent link: https://www.econbiz.de/10014390526

The appeal of information transactions

Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - 2012

An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent's preferences for information. The index of information...

Persistent link: https://www.econbiz.de/10009633817

Uncertainty and natural resources : prudence facing doomsday

Emmerling, Johannes - 2015

This paper studies the optimal extraction of a non-renewable resource under uncertainty using a discrete-time approach in the spirit of the literature on precautionary savings. We find that boundedness of the utility function, in particular the assumption about U(0), gives very different results...

Persistent link: https://www.econbiz.de/10010528821

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