Recursive multiple-priors.
From MaRDI portal
Publication:1420874
DOI10.1016/S0022-0531(03)00097-8zbMath1107.91360OpenAlexW2057609912MaRDI QIDQ1420874
Martin Schneider, Larry G. Epstein
Publication date: 23 January 2004
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0022-0531(03)00097-8
controlRobustAmbiguityDynamic consistencyEllsberg ParadoxRecursive utilityMultiple-priorsUpdating beliefs
Economic time series analysis (91B84) Sensitivity (robustness) (93B35) Utility theory (91B16) Economic growth models (91B62)
Related Items
Objective rationality foundations for (dynamic) \(\alpha\)-MEU, Laws of large numbers under model uncertainty with an application to \(m\)-dependent random variables, Tight Approximations of Dynamic Risk Measures, Minimizing regret in dynamic decision problems, Static and dynamic quantile preferences, Information processing under imprecise risk with an insurance demand illustration, Ambiguity aversion under maximum-likelihood updating, Updating Choquet beliefs, Robust experimentation in the continuous time bandit problem, Dynamic semi-consistency, Asset trading under non-classical ambiguity and heterogeneous beliefs, Optimal decision under ambiguity for diffusion processes, Asset prices with locally constrained-entropy recursive multiple-priors utility, A simple robust asset pricing model under statistical ambiguity, On representations of the set of supermartingale measures and applications in discrete time, A central limit theorem for sets of probability measures, Hedging under generalized good-deal bounds and model uncertainty, Dynamic consistency and ambiguity: a reappraisal, Relative maximum likelihood updating of ambiguous beliefs, On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation, Unnamed Item, Optimal Learning Under Robustness and Time-Consistency, Conditional coherent risk measures and regime-switching conic pricing, Dynamic consistency in incomplete information games with multiple priors, Robust comparative statics for the elasticity of intertemporal substitution, Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework, Optimal stopping under model ambiguity: A time‐consistent equilibrium approach, Public goods with ambiguity in large economies, On efficiency in disagreement economies, VALUATIONS AND DYNAMIC CONVEX RISK MEASURES, Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes, Firm heterogeneity, financial frictions and ambiguity, Testing negative value of information and ambiguity aversion, Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping, Ambiguous price formation, A central limit theorem, loss aversion and multi-armed bandits, Asset prices in a labor search model with confidence shocks, Updating variational (Bewley) preferences, Ambiguity and endogenous discounting, Context dependence and consistency in dynamic choice under uncertainty: the case of anticipated regret, Preference for flexibility and dynamic consistency, Robust Optimization of Credit Portfolios, Ambiguous volatility, possibility and utility in continuous time, Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game, Dynamically stable preferences, Intertemporal equilibria with Knightian uncertainty, (Not) delegating decisions to experts: the effect of uncertainty, Recursive robust estimation and control without commitment, Aggregation of opinions and risk measures, Sequential auctions with ambiguity, An intertemporal model of growing awareness, Optimal investments for risk- and ambiguity-averse preferences: a duality approach, Markov decision processes with recursive risk measures, Mutual absolute continuity of multiple priors, Quantifying ambiguity bounds via time-consistent sets of indistinguishable models, Imperfect recall and time inconsistencies: an experimental test of the absentminded driver ``paradox, Coherent multiperiod risk adjusted values and Bellman's principle, Ambiguity aversion, games against nature, and dynamic consistency, Decision making in phantom spaces, Coherent and convex monetary risk measures for bounded càdlàg processes, Dynamic coherent risk measures, Rectangular Sets of Probability Measures, Ambiguous chance constrained problems and robust optimization, Portfolio inertia and epsilon-contaminations, Dynamic variational preferences, Robust control and model misspecification, A characterization of the set of local martingale measures, Do Bayesians Learn Their Way Out of Ambiguity?, Solution concepts for games with ambiguous payoffs, Dutch book rationality conditions for conditional preferences under ambiguity, An optimal investment and consumption model with stochastic returns, A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME, Twisted probabilities, uncertainty, and prices, Optimal Portfolio Choice Based on α-MEU Under Ambiguity, Ambiguity under growing awareness, ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES, Testing exchangeability: fork-convexity, supermartingales and e-processes, Consequentialism and dynamic consistency in updating ambiguous beliefs, Updating pricing rules, Dynamic contracting for innovation under ambiguity, An active-set strategy to solve Markov decision processes with good-deal risk measure, Robust Portfolio Choice and Indifference Valuation, Introduction to the special issue in honor of Larry Epstein, Dynamically consistent objective and subjective rationality, Objective rationality and recursive multiple priors, Learning from ambiguous and misspecified models, On characterizing the set of martingale measures in discrete time, Robust estimation and control under commitment, Portfolio choices: comparative statics under both expected return and volatility uncertainty, A note on Kuhn's theorem with ambiguity averse players, Informativeness of experiments for MEU -- a recursive definition, Optimal stopping under model uncertainty and the regularity of lower Snell envelopes, Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures, Distributionally Robust Inventory Control When Demand Is a Martingale, A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty, Toward theoretical understandings of robust Markov decision processes: sample complexity and asymptotics, How do subjects view multiple sources of ambiguity?, Choquet expected discounted utility, Rationalisable belief selection, Dynamic bid-ask pricing under Dempster-Shafer uncertainty, On stochastic independence under ambiguity, Optimal consumption and portfolio choice with ambiguous interest rates and volatility, Dynamic consistency, valuable information and subjective beliefs, Equivalence between time consistency and nested formula, Ambiguous partially observable Markov decision processes: structural results and applications, Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations, Exactly what happens after the Anscombe-Aumann race?, Dynamically consistent preferences under imprecise probabilistic information, A dynamic mechanism and surplus extraction under ambiguity, Dynamic consistency in incomplete information games under ambiguity, Randomization and dynamic consistency, Bayesian consistent belief selection, Erratum: Coherent and convex risk measures for unbounded càdlàg processes, On ambiguity apportionment, Aggregation under homogeneous ambiguity: a two-fund separation result, Information and ambiguity: herd and contrarian behaviour in financial markets, Scheduling personal finances via integer programming, The best choice problem under ambiguity, Robust hidden Markov LQG problems, An optimal insurance design problem under Knightian uncertainty, An infinite-horizon model of nonmonotone utility smoothing, Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test, The worst case for real options, Recursiveness of indifference prices and translation-invariant preferences, Investment under ambiguity with the best and worst in mind, Trembles in extensive games with ambiguity averse players, Financial markets with volatility uncertainty, Intertemporal utility smoothing under uncertainty, Foundations for optimal inattention, Learning from ambiguous urns, Randomization devices and the elicitation of ambiguity-averse preferences, A dynamic Ellsberg urn experiment, Uncertain discount and hyperbolic preferences, Risk, uncertainty, and option exercise, Dynamic portfolio choice under ambiguity and regime switching mean returns, A note on ``Re-examining the law of iterated expectations for Choquet decision makers, Uncertainty averse preferences, Asset prices in an ambiguous economy, Backward nonlinear expectation equations, Risk aversion for variational and multiple-prior preferences, Asset pricing in a Lucas fruit-tree economy with the best and worst in mind, Dynamically consistent CEU preferences on \(f\)-convex events, Conditional expected utility, ``Agreeing to disagree type results: a decision-theoretic approach., Risk, ambiguity, and state-preference theory, Optimal stopping with dynamic variational preferences, IID: Independently and indistinguishably distributed., Interim efficiency with MEU-preferences, Fuzzy logic-based generalized decision theory with imperfect information, Dynamically consistent updating of multiple prior beliefs -- an algorithmic approach, Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity, The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices, A decision-theoretic model of asset-price underreaction and overreaction to dividend news, Robust portfolio choice with stochastic interest rates, Dynamic decision making when risk perception depends on past experience, Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach, Robust portfolio optimization with a generalized expected utility model under ambiguity, A closed-form solution for options with ambiguity about stochastic volatility, The K-armed bandit problem with multiple priors, Kuhn's theorem for extensive form Ellsberg games, A two-person dynamic equilibrium under ambiguity, Solution of macromodels with Hansen-Sargent robust policies: some extensions, Biased Bayesian learning with an application to the risk-free rate puzzle, Evaluating ambiguous random variables from Choquet to maxmin expected utility, Dynamic market participation and endogenous information aggregation, Irrationality and ambiguity in extensive games, Ambiguous persuasion, Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles, Efficient allocations under ambiguity, Search and Knightian uncertainty, Modeling nonmonotone preferences: the case of utility smoothing, Robust \(H_\infty\) control for a generic linear rational expectations model of economy, Macroeconomic uncertainty prices when beliefs are tenuous, Time (in)consistency of multistage distributionally robust inventory models with moment constraints, Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures, The value of a statistical life under ambiguity aversion, Dynamic decision making under ambiguity: an experimental investigation, Time consistency conditions for acceptability measures, with an application to tail value at risk, Ambiguity aversion and model misspecification: an economic perspective, A note on recursive multiple-priors, Degree of imprecision: geometric and algorithmic approaches, On dynamic consistency in ambiguous games, Stochastic dynamic utilities and intertemporal preferences, Smoothing preference kinks with information, Interim efficient allocations under uncertainty, Learning under ambiguity: an experiment in gradual information processing, Recursive smooth ambiguity preferences, Distributionally robust optimal control and MDP modeling, Structured ambiguity and model misspecification, Learning (to disagree?) in large worlds, Speculative trade under ambiguity, Robust pricing under strategic trading, New formulations of ambiguous volatility with an application to optimal dynamic contracting, Implications of uncertainty for optimal policies, Updating confidence in beliefs, Estimating robustness, Stopping with anticipated regret, A model of minimal probabilistic belief revision, On attitude polarization under Bayesian learning with non-additive beliefs, Blackwell's informativeness ranking with uncertainty-averse preferences
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Intertemporal substitution, risk aversion and ambiguity aversion
- A two-person dynamic equilibrium under ambiguity
- Stationary cardinal utility and optimal growth under uncertainty
- Maxmin expected utility with non-unique prior
- Recursive utility and preferences for information
- Dynamic choice and nonexpected utility
- On the measurement of inequality under uncertainty
- Maxmin expected utility over Savage acts with a set of priors
- Updating ambiguous beliefs
- Conditional preferences and updating.
- Risk, Ambiguity, and the Savage Axioms
- Subjective Probability and Expected Utility without Additivity
- Merging of Opinions with Increasing Information
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Intertemporal Asset Pricing under Knightian Uncertainty
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Robust Permanent Income and Pricing
- A Subjective Spin on Roulette Wheels
- Ambiguity, Risk, and Asset Returns in Continuous Time
- A Definition of Subjective Probability