Uncertainty averse preferences

Cerreia‐Vioglio, Simone; Maccheroni, Fabio; Marinacci, Mássimo; Montrucchio, Luigi

doi:10.1016/j.jet.2011.05.006

Cited by 216 publications

(204 citation statements)

References 44 publications

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“…In order to better understand this class of models, Cerreia-Vioglio, Maccheroni, Marinacci, and Montrucchio (2011) recently established a common representation that uni…es and classi…es them. …”

Section: Beyond Independence: Uncertainty Averse Preferencesmentioning

confidence: 99%

Ambiguity and the Bayesian Paradigm

Gilboa

Marinacci

2016

Readings in Formal Epistemology

168

144

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This is a survey of some of the recent decision-theoretic literature involving beliefs that cannot be quanti…ed by a Bayesian prior. We discuss historical, philosophical, and axiomatic foundations of the Bayesian model, as well as of several alternative models recently proposed. The de…nition and comparison of ambiguity aversion and the updating of non-Bayesian beliefs are brie ‡y discussed. Finally, several applications are mentioned to illustrate the way that ambiguity (or "Knightian uncertainty") can change the way we think about economic problems.

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Section: Beyond Independence: Uncertainty Averse Preferencesmentioning

confidence: 99%

Ambiguity and the Bayesian Paradigm

Gilboa

Marinacci

2016

Readings in Formal Epistemology

168

144

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“…The decision-theoretic results in [35] and [57] were recently yet further extended by developments in Cerreia-Vioglio et al [11]. Observing that all ambiguity-averse preferences are obtained by weakening the independence axiom (the coordinate independence axiom within the Savage setting), the authors in [11] take this to its extreme by imposing independence only at the level of risk.…”

Section: Introductionmentioning

confidence: 99%

“…Observing that all ambiguity-averse preferences are obtained by weakening the independence axiom (the coordinate independence axiom within the Savage setting), the authors in [11] take this to its extreme by imposing independence only at the level of risk. This yields a numerical representation in terms of quasiconcave utility functionals.…”

Section: Introductionmentioning

confidence: 99%

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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

Källblad

2017

Finance Stoch

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Motivated by recent axiomatic developments, we study the risk-and ambiguity-averse investment problem where trading takes place in continuous time over a fixed finite horizon and terminal payoffs are evaluated according to criteria defined in terms of quasiconcave utility functionals. We extend to the present setting certain existence and duality results established for so-called variational preferences by Schied (Finance Stoch. 11:107-129, 2007). The results are proved by building on existing results for the classical utility maximization problem, combined with a careful analysis of the involved quasiconvex and semicontinuous functions.Keywords Model uncertainty · Ambiguity aversion · Quasiconvex risk measures · Optimal investment · Robust portfolio selection · Duality theory

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“…Examples of these preferences began with the Choquet Expected Utility of Schmeidler (1989) and the Maximin Expected Utility (MEU) of Gilboa and Schmeidler (1989). For more recent developments see Maccheroni et al (2006), Cerreia-Vioglio et al (2011) and the references therein. Since the example offered above is a special case of MEU, it is not a novelty that our preferences would rationalize Ellsberg's choices.…”

Section: Additional Remarksmentioning

confidence: 99%

An interpretation of Ellsberg’s Paradox based on information and incompleteness

Castro¹,

Yannelis

2013

Econ Theory Bull

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This note relates ambiguity aversion and private information, by offering an interpretation of the Ellsberg's paradox in terms of incompleteness of preferences. We adopt the standard model of information in terms of a σ -algebra of events. These events are the events that the decision maker is informed about and therefore able to judge its likelihood by attaching a probability value to them. Note that the decision maker is unable to compare acts that are not measurable with respect to , because those cannot be integrated using the standard expected utility framework. Her preferences are, therefore, incomplete. Facing a decision problem that requires comparing non-measurable acts, the decision maker is confronted with the problem of completing her preferences. Some natural ways of completing the preferences lead to the behavior described by the Ellsberg's thought experiment.

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Uncertainty averse preferences

Abstract: Rustichini, and Tom Sargent, for some very useful comments. Part of this research was done while some of the authors were visiting the Economics Department of Boston University and the Collegio Carlo Alberto, which they thank for their hospitality.

Cited by 216 publications

References 44 publications

Ambiguity and the Bayesian Paradigm

Ambiguity and the Bayesian Paradigm

Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

An interpretation of Ellsberg’s Paradox based on information and incompleteness

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