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From Wald to Savage : Homo Economicus Becomes a Bayesian Statistician

Giocoli, Nicola - 2012

subjective expected utility theory in his 1954 classic The Foundations of Statistics. It is the latter's acknowledged fiasco to …

Persistent link: https://www.econbiz.de/10013113861

Risk Aversion Under Preference Uncertainty

Kräussl, Roman - 2012

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

Persistent link: https://www.econbiz.de/10013115460

Alpha As Ambiguity : Robust Mean-Variance Portfolio Analysis

Maccheroni, Fabio - 2012

We derive the analogue of the classic Arrow-Pratt approximation of the certainty equivalent under model uncertainty as defined by the smooth model of decision making under ambiguity of Klibanoff, Marinacci and Mukerji (2005). We study its scope via a portfolio allocation exercise that delivers a...

Persistent link: https://www.econbiz.de/10013116294

Justification Norms Under Uncertainty : A Preliminary Inquiry

Hill, Claire A. - 2011

People making decisions under uncertainty may need to justify those decisions to their reputational community. This Essay considers when and how the potential need to justify might lead a decision-maker to employ a methodology better suited to yielding a justifiable choice that may not be the...

Persistent link: https://www.econbiz.de/10013120789

Sequence Risk : Managing Retiree Exposure to Sequence Risk Through Probability of Failure Based Decision Rules

Frank Sr, Larry R. - 2011

• This paper broadens the perspective on sustainable distributions by expanding into three dimensions, introducing transitory states as well as all those states existing simultaneously.• Withdrawal rates alone do not tell a complete sustainable distribution story; withdrawal rates are time...

Persistent link: https://www.econbiz.de/10013124747

Group Representations for Decision Making under Risk and Uncertainty

Charles-Cadogan, G. - 2012

This paper extends decision making under risk and uncertainty to group theory via representations of invariant … behavioural space for prospect theory. First, we predict that canonical specifications for value functions, probability weighting … in decision theory. Moreover, representations include the special unitary group SU(2) and orthogonal group Θ …

Persistent link: https://www.econbiz.de/10013096459

Expected Utility and Equilibrium with Subjective Choice Sets and Strategic Reporting

Di Caprio, Debora - 2012

This paper studies an economy where agents trade using a shared language, so that they do not need to meet in person with goods physically present. Agents provide vague descriptions of proposed net trades, which we interpret as arising either from inherent limitations in what the agents can...

Persistent link: https://www.econbiz.de/10013100429

An Alternative Subjective Expected Utility Representation Theorem

Kuzmics, Christoph - 2012

A decision maker (DM) is asked to make choices from a set of acts, which entail both risk and uncertainty in the sense of knight (1921). Extending Raiffa's (1961) argument I show that, provided the DM can choose acts objectively randomly (by flipping her own fair coin, for instance), provided...

Persistent link: https://www.econbiz.de/10013101803

Does Ambiguity Diversification Pay?

Izhakian, Yehuda (Yud) - 2012

With a focus on risk, classical portfolio theory assumes that probabilities of future outcomes are known. In reality …

Persistent link: https://www.econbiz.de/10013103323

Recursive Ambiguity and Machina’s Examples

Dillenberger, David - 2012

Machina (2009, 2012) lists a number of situations where standard models of ambiguity aversion are unable to capture plausible features of ambiguity attitudes. Most of these problems arise in choice over prospects involving three or more outcomes. We show that the recursive non-expected utility...

Persistent link: https://www.econbiz.de/10013106219