Ambiguity sensitive preferences in Ellsberg frameworks

DOI10.1007/S00199-017-1095-3MaRDI QIDQ2323583zbMATH OpenOpenAlexFDO

Authors Claudia Ravanelli, Gregor Svindland

Publication date 3 September 2019

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-017-1095-3

zbMATH Keywords

\(\alpha \)-maxmin expected utility modelambiguity aversionEllsberg frameworkmarket equilibriumportfolio choice

Mathematics Subject Classification ID

Experimental studies (91A90) Individual preferences (91B08) Utility theory (91B16) Portfolio theory (91G10)

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Cites work

• A behavioral characterization of plausible priors
• A two-person dynamic equilibrium under ambiguity
• Additivity with multiple priors
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Convex Analysis
• Differentiating ambiguity and ambiguity attitude
• Equilibrium theory under ambiguity
• Estimating ambiguity aversion in a portfolio choice experiment
• Fear of the unknown: familiarity and economic decisions
• Maxmin expected utility with non-unique prior
• Perceived ambiguity and relevant measures
• Preferences Over Sets of Lotteries1
• Probabilistic Sophistication and Multiple Priors
• Risk, ambiguity and the Savage axioms
• Robustness and Ambiguity Aversion in General Equilibrium *
• Sealed bid auctions with ambiguity: theory and experiments
• The \(\alpha \)-MEU model: a comment
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
• Uncertainty, efficiency and incentive compatibility: ambiguity solves the conflict between efficiency and incentive compatibility

Cited in

(11)

• Climate policy: how to deal with ambiguity?
• Eliciting ambiguous beliefs using constructed ambiguous acts: alpha-maxmin
• A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility
• Ambiguity aversion in the small and in the large for weighted linear utility
• Representation of subjective preferences under ambiguity
• Testing ambiguity theories with a mean-preserving design
• Observational equivalence and nonequivalence of subjective and robust mean-variance preferences
• Equilibrium strategies for alpha-maxmin expected utility maximization
• A class of incomplete and ambiguity averse preferences
• Robust -maxmin representations
• Variational preferences and equilibria in games under ambiguous belief correspondences

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