Risk, Ambiguity, and the Savage Axioms
From MaRDI portal
Publication:2870398
DOI10.2307/1884324zbMath1280.91045OpenAlexW2027047704WikidataQ55922040 ScholiaQ55922040MaRDI QIDQ2870398
Publication date: 18 January 2014
Published in: The Quarterly Journal of Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1884324
decision theoryambiguity aversionexperimental economicsutility theorysubjective expected utilityEllsberg paradox
Decision theory (91B06) Foundations and philosophical topics in statistics (62A01) Utility theory (91B16) Probabilistic games; gambling (91A60) Experimental studies (91A90)
Related Items
A theory of expected utility with nonadditive probability, Modeling attitudes towards uncertainty and risk through the use of Choquet integral, Additive representations of non-additive measures and the Choquet integral, A challenge to the compound lottery axiom: A two-stage normative structure and comparison to other theories, Recent developments in modelling preferences under risk, Expected utility with purely subjective non-additive probabilities, Weighted and quadratic models of choice under uncertainty, On indepedence for non-additive measures, with a Fubini theorem, Consequentialist foundations for expected utility, On the measurement of inequality under uncertainty, Several unresolved conceptual problems of mathematical psychology, Risk as a primitive: a survey of measures of perceived risk, Non-transitive measurable utility for decision under uncertainty, Linear utility theory for belief functions, Rationality and bounded rationality, Maxmin expected utility with non-unique prior, A theory of belief., A new model for decisions under uncertainty, Hurwicz expected utility and subjective sources, Tournaments as a response to ambiguity aversion in incentive contracts, Subjective expected utility: A review of normative theories, Quantum structure in cognition and the foundations of human reasoning, Purely subjective extended Bayesian models with Knightian unambiguity, Insurance pricing under ambiguity, Subjective probabilities need not be sharp, Demystifying dilation, Skew symmetric additive utility with finite states, Ambiguity aversion and ambiguity content in decision making under uncertainty, Decision analysis with indeterminate or incoherent probabilities, Sure things - dominance and independence rules for choice under uncertainty, Nash equilibria for games in capacities, Proper scoring rules for general decision models, Uncertainty aversion vs. competence: An experimental market study, Preferences representable by a lower expectation: Some characterizations, Attitude toward imprecise information, Utility of gambling. II: Risk, paradoxes, and data, Evaluating dialectical structures with Bayesian methods, Lexicographic state-dependent subjective expected utility, Causes of ambiguity aversion: Known versus unknown preferences, Healthy scepticism as an expected-utility explanation of the phenomena of Allais and Ellsberg, Failures of the reduction principle in an Ellsberg-type problem, Dominance conditions in non-additive expected utility theory, Subjective expected utility theory revisited: A reductio ad absurdum paradox, Modeling attitudes toward uncertainty through the use of the Sugeno integral, Advances in prospect theory: cumulative representation of uncertainty, Recent developments in modeling preferences: Uncertainty and ambiguity, Bayesian decisions with ambiguous belief aversion, Ambiguity and decision modeling: A preference-based approach, Asset allocation with distorted beliefs and transaction costs, Expected utility versus anticipated utility: Where do we stand!, From fuzzy set theory to non-additive probabilities: How have economists reacted!, Signal extraction for simulated games with a large number of players, Making inflexible investment decisions with incomplete information, The Blackwell and Dubins theorem and Rényi's amount of information measure: Some applications, On the uses of the monotonicity and independence axioms in models of ambiguity aversion, Physics of risk and uncertainty in quantum decision making, A theory of subjective expected utility with vague preferences, Career concerns and ambiguity aversion, Ambiguity and the value of information, Competence effects for choices involving gains and losses, Dominance-based rough set approach to decision under uncertainty and time preference, The value of a statistical life under ambiguity aversion, A note on metastatistics or An essay toward stating a problem in the doctrine of chances, Eliciting decision weights by adapting de Finetti's betting-odds method to prospect theory, Strategic games with security and potential level players, A reformulation of the maxmin expected utility model with application to agency theory, Expected utility with ambiguous probabilities and 'irrational' parameters, Prudent expectations equilibrium in economies with uncertain delivery, Correlated Nash equilibrium, The axioms and algebra of ambiguity, A theory of subjective compound lotteries, Imprecise probabilistic beliefs as a context for decision-making under ambiguity, Knightian uncertainty and insurance regulation decision, Robust optimal portfolio choice under Markovian regime-switching model, The ignorant observer, The effects of beliefs versus risk attitude on bargaining outcomes, On the application of multiattribute utility theory to models of choice, Stochastic dominance tests for ranking alternatives under ambiguity, Representation of preferences on fuzzy measures by a fuzzy integral, Measuring uncertainty, Recursive expected utility and the separation of attitudes towards risk and ambiguity: An experimental study, On attitude polarization under Bayesian learning with non-additive beliefs, Ambiguity through confidence functions, Limit laws for non-additive probabilities and their frequentist interpretation, Interval-valued preference structures, Quantum structure in cognition, Quantum mechanics and violations of the sure-thing principle: The use of probability interference and other concepts, Projective expected utility, Guessing the beliefs, Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion, Additivity with multiple priors, Unreliable probabilities, risk taking, and decision making, Qualitative probabilities on \(\lambda\)-systems, Extensive form games with uncertainty averse players, Research in decision theory: A personal perspective, Classification of concatenation measurement structures according to scale type, Decision making with belief functions: Compatibility and incompatibility with the sure-thing principle, On matrix probabilities in nonarchimedean decision theory, A variational model of preference under uncertainty, Expected utility with lower probabilities, The impact of ambiguity and prudence on prevention decisions, You've come a long way, Bayesians, Maxmin weighted expected utility: a simpler characterization, Testing quantum-like models of judgment for question order effect, Reconciling introspective utility with revealed preference: experimental arguments based on prospect theory, Discrete bipolar universal integrals, Reference dependent ambiguity, Risk averse decision making under catastrophic risk, A theory of robust experiments for choice under uncertainty, Ambiguity aversion in the long run: ``to disagree, we must also agree, Dynamic consistency in incomplete information games under ambiguity, Randomization and dynamic consistency, Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach, Decision analysis under ambiguity, Robust non-zero-sum stochastic differential reinsurance game, Sensitivity analysis: a review of recent advances, Robust Bayesian analysis in partially ordered plausibility calculi, Peter Fishburn's analysis of ambiguity, Ambiguity attitudes, framing, and consistency, An introduction to lattice based probability theories, From ambiguity aversion to a generalized expected utility. Modeling preferences in a quantum probabilistic framework, Belief distorted Nash equilibria: introduction of a new kind of equilibrium in dynamic games with distorted information, Robust newsvendor problem with autoregressive demand, Feasible sets, comparative risk aversion, and comparative uncertainty aversion in bargaining, Subjective probability, confidence, and Bayesian updating, Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty, Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity, An optimal insurance design problem under Knightian uncertainty, Belief elicitation in experiments: Is there a hedging problem?, Median loss decision theory, Case-based belief formation under ambiguity, Cobb-Douglas preferences under uncertainty, Rationality of belief or: why Savage's axioms are neither necessary nor sufficient for rationality, Rationality and indeterminate probabilities, Some properties and convergence theorems of set-valued Choquet integrals, Maxmin expected utility with additivity on unambiguous events, The worst case for real options, Quantum experimental data in psychology and economics, Optimism and firm formation, Riskiness for sets of gambles, Why uncertainty matters: discounting under intertemporal risk aversion and ambiguity, Purely subjective maxmin expected utility, Ambiguity aversion, higher-order risk attitude and optimal effort, Ambiguity aversion and the propensities for self-insurance and self-protection, Risk-neutral firms can extract unbounded profits from consumers with prospect theory preferences, On the confidence preferences model, Relative concave utility for risk and ambiguity, Ambiguous beliefs and mechanism design, A dynamic Ellsberg urn experiment, When normative and descriptive diverge: how to bridge the difference, A characterization of the 2-additive Choquet integral through cardinal information, A dynamic game of coalition formation under ambiguity, Asset pricing in a Lucas fruit-tree economy with the best and worst in mind, Optimal fiscal policy with robust control, Sharing risk and ambiguity, Inferring beliefs as subjectively imprecise probabilities, The price for information about probabilities and its relation with risk and ambiguity, Fuzzy logic-based generalized decision theory with imperfect information, Confidence sets in nonparametric calibration of exponential Lévy models, A limit theorem for equilibria under ambiguous belief correspondences, Ignorance and competence in choices under uncertainty, 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, Identifying quantum structures in the Ellsberg paradox, Optimal insurance design of ambiguous risks, Uncertain equilibria and incomplete preferences, Portfolio management with stochastic interest rates and inflation ambiguity, The bipolar Choquet integral representation, Observational equivalence and nonequivalence of subjective and robust mean-variance preferences, A closed-form solution for options with ambiguity about stochastic volatility, The role of intuition and reasoning in driving aversion to risk and ambiguity, Eliciting ambiguity aversion in unknown and in compound lotteries: a smooth ambiguity model experimental study, Distributionally robust multi-item newsvendor problems with multimodal demand distributions, A belief-based definition of ambiguity aversion, Coherent Dempster-Shafer equilibrium and ambiguous signals, Separate aggregation of beliefs and values under ambiguity, Quantum cognition and bounded rationality, Expected utility with uncertain probabilities theory, Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals, Implementation under ambiguity, Mixed extensions of decision problems under uncertainty, Diversification preferences in the theory of choice, Throwing good money after bad, Portfolio selections under mean-variance preference with multiple priors for means and variances, On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence, A logical duality for underspecified probabilistic systems, A class of incomplete and ambiguity averse preferences, Justifiable preferences, Incomplete markets, ambiguity, and irreversible investment, Uncertainty and measurement error in welfare models for risk changes, Precision and reliability in animal navigation, Non-additive anonymous games, A decision theory for partially consonant belief functions, Behavioral models for complex decision analysis, Increasing uncertainty: a definition, Subjectively weighted linear utility, Cost-efficient contingent claims with market frictions, A Dynkin game under Knightian uncertainty, Predicting human cooperation in the prisoner's dilemma using case-based decision theory, On stochastic independence under ambiguity, Dynamic consistency, valuable information and subjective beliefs, Pessimism and optimism towards new discoveries, Signaling probabilities in ambiguity: who reacts to vague news?, Savage vs. Anscombe-Aumann: an experimental investigation of ambiguity frameworks, Persuasion under ambiguity, On the polytope of non-additive measures, Exactly what happens after the Anscombe-Aumann race?, A dynamic mechanism and surplus extraction under ambiguity, A simple model of cumulative prospect theory, Bayesian consistent belief selection, On the conditional value-at-risk probability-dependent utility function, Portfolio selection: a linear approach with dual expected utility, Investment behavior under ambiguity: the case of pessimistic decision makers, Demons, deceivers and liars: Newcomb's malin génie, Portfolio inertia under ambiguity, Choices at various levels of uncertainty: an experimental test of the restated diversification theorem, Ambiguity and the value of information: An almost-objective events analysis, Decision making under incomplete data using the imprecise Dirichlet model, Stubbornness, power, and equilibrium selection in repeated games with multiple equilibria, Ambiguity aversion in the field of insurance: Insurers' attitude to imprecise and conflicting probability estimates, Dynamic choice with constant source-dependent relative risk aversion, Expected utility theory, optimal portfolios, and polyhedral coherent risk measures, A preference model for choice subject to surprise, Decreasing aversion under ambiguity, Put-call parity and market frictions, Decision making under uncertainty comprising complete ignorance and probability, Equivalences between maximum a posteriori inference in Bayesian networks and maximum expected utility computation in influence diagrams, Subjective independence and concave expected utility, Dynamic choice in a complex world, Equilibrium theory under ambiguity, Generic non-existence of general equilibrium with EUU preferences under extreme ambiguity, The unreasonable success of quantum probability. I: Quantum measurements as uniform fluctuations, Knightian games and robustness to ambiguity, Risk, uncertainty, and option exercise, Attitudes to ambiguity in one-shot normal-form games: an experimental study, A representation of preferences by the Choquet integral with respect to a 2-additive capacity, Maximum principle for differential games of forward-backward stochastic systems with applications, Event-separability in the Ellsberg urn, Informational efficiency with ambiguous information, Strategic games beyond expected utility, Attitudes toward uncertainty and randomization: an experimental study, Definitions of ambiguous events and the smooth ambiguity model, Are the treasures of game theory ambiguous?, Ambiguity aversion and trade, Dynamic consistency for non-expected utility preferences, Core and equilibria under ambiguity, Liquidity and asset prices in rational expectations equilibrium with ambiguous information, Rational preferences under ambiguity, Risk, ambiguity, and state-preference theory, Probabilistic sophistication and variational preferences, Uncertainty aversion and equilibrium existence in games with incomplete information, Sequential decision making with partially ordered preferences, Quantum decision theory as quantum theory of measurement, Dynamically consistent updating of multiple prior beliefs -- an algorithmic approach, Are beliefs a matter of taste? A case for objective imprecise information, Tribute to Jean-Yves Jaffray, Utility independence of multiattribute utility theory is equivalent to standard sequence invariance of conjoint measurement, Subjective expected utility without preferences, Robust monopoly pricing, Aggregation of multiple prior opinions, Possibility and permissibility, Ambiguity aversion in multi-armed bandit problems, Accounting for optimism and pessimism in expected utility, Central limit theorems for bounded random variables under belief measures, Bayesian learning with multiple priors and nonvanishing ambiguity, Ear decomposition for pair comparison data, Completing the state space with subjective states, Ambiguity made precise: A comparative foundation, Search and Knightian uncertainty, Decision making with imprecise probabilistic information, A simplified axiomatic approach to ambiguity aversion, The descriptive and predictive adequacy of theories of decision making under uncertainty/ambiguity, Choice with imprecise information: An experimental approach, Betting on Machina's reflection example: An experiment on ambiguity, Ambiguity, pessimism, and rational religious choice, Agreeable trade with optimism and pessimism, A proposal to extend expected utility in a quantum probabilistic framework, Behavioral mean-variance portfolio selection, Reconciling Savage's and Luce's modeling of uncertainty: the best of both worlds, Multimode utility theory, Piecewise additivity for non-expected utility, SSB utility theory: An economic perspective, SSB utility theory and decision-making under uncertainty, A method of weighing qualitative preference axioms, The ratio bias phenomenon: fact or artifact?, Re-examining the law of iterated expectations for Choquet decision makers, A comparison of milestone contract and royalty contract under critical value criterion in R\&D alliance, Green supply chain analysis under cost sharing contract with uncertain information based on confidence level, On cognitive preferences and the plausibility of rule-based models, Calibrated uncertainty, A generalization of comparative probability on finite sets, The St. Petersburg gamble and risk, Preference and belief: ambibiguity and competence in choice under uncertainty, Arbitrage, rationality, and equilibrium, The iterative law of expectation and non-adaptive probability measure, Information evaluation under nonadditive expected utility, Qualitative decision theory with preference relations and comparative uncertainty: an axiomatic approach, The likelihood method for decision under uncertainty, Quasi-Bayesian analysis using imprecise probability assessments and the generalized Bayes' rule, Arrovian aggregation of generalised expected-utility preferences: (im)possibility results by means of model theory, Ambiguity sharing and the lack of relative performance evaluation, Multi-agent fare optimization model of two modes problem and its analysis based on edge of chaos, Ambiguous life expectancy and the demand for annuities, Uncertainty, efficiency and incentive compatibility: ambiguity solves the conflict between efficiency and incentive compatibility, Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations, Uncertain dynamics, correlation effects, and robust investment decisions, Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps, Dynamically consistent preferences under imprecise probabilistic information, A parallel machine schedule updating game with compensations and clients averse to uncertain loss, Uncertainty and binary stochastic choice, Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility, Expected utility without parsimony, Upper and lower probabilistic preferences in the graph model for conflict resolution, Kurt Weichselberger's contribution to imprecise probabilities and statistical inference, Are quantum-like Bayesian networks more powerful than classical Bayesian networks?, Evidential equilibria: heuristics and biases in static games of complete information, Theory of mind and general intelligence in dictator and ultimatum games, On ambiguity apportionment, Alpha-robust mean-variance reinsurance-investment strategy, Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility, Continuous-time smooth ambiguity preferences, Trust and trustworthiness under information asymmetry and ambiguity, Dynamic corporate investment and liquidity management under model uncertainty, Identities for maximum, minimum, and maxmin random utility models, The pricing effects of ambiguous private information, Regret theory: state dominance and expected utility, A new definition of entropy of belief functions in the Dempster-Shafer theory, An analytical study of norms and Banach spaces induced by the entropic value-at-risk, Distortion risk measures, ROC curves, and distortion divergence, Ellsberg's two-color experiment, portfolio inertia and ambiguity., Coherence without additivity., Incorporating wealth information into a multiple criteria decision making model, Financial market structures revealed by pricing rules: efficient complete markets are prevalent, Comonotonic book making and attitudes to uncertainty., Expected utility within a generalized concept of probability -- a comprehensive framework for decision making under ambiguity, Using Choquet integral in economics, Information and capacities, Comparing uncertainty aversion towards different sources, Stake effects on ambiguity attitudes for gains and losses, Uncertain discount and hyperbolic preferences, Effectiveness of the quantum-mechanical formalism in cognitive modeling, Robust auction design under multiple priors by linear and integer programming, Optimize, satisfice, or choose without deliberation? A simple minimax-regret assessment, Do bets reveal beliefs? A unified perspective on state-dependent utility issues, Comparing the axiomatic and ecological approaches to rationality: fundamental agreement theorems in SCOP, Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application, Recursive multiple-priors., An equilibrium model of the supply chain network under multi-attribute behaviors analysis, Models for pessimistic or optimistic decisions under different uncertain scenarios, Ambiguous games without a state space and full rationality, The quasi-sure limit of convex combinations of nonnegative measurable functions, Focus theory of choice and its application to resolving the St. Petersburg, Allais, and Ellsberg paradoxes and other anomalies, Recursive non-expected utility: connecting ambiguity attitudes to risk preferences and the level of ambiguity, Expected Scott-Suppes utility representation, More on random utility models with bounded ambiguity, Game-theoretic modeling of players' ambiguities on external factors, The general theory of decisions, Empirical relevance of ambiguity in first-price auctions, Belief updating and the demand for information, Contracting under uncertainty: a principal-agent model with ambiguity averse parties, Risk sharing in the small and in the large, Robust reinsurance contracts with uncertainty about jump risk, Maximizing a robust goal-reaching probability with penalization on ambiguity, Efficient implementation with interdependent valuations and maxmin agents, The risk transfer of non-tradable risks under model uncertainty, A theory of quantifiable beliefs, Subjective distributions, Ranked additive utility representations of gambles: Old and new axiomatizations, Decision-foundations for properties of nonadditive measures: general state spaces or general outcome spaces, Choquet expectation and Peng's \(g\)-expectation, Maximum probabilities, information, and choice under uncertainty, Dynamically consistent investment under model uncertainty: the robust forward criteria, Ambiguity aversion and model misspecification: an economic perspective, Rejoinder: Approximate models and robust decisions, Uncertain agency models with multi-dimensional incomplete information based on confidence level, Impacts of risk attitude and outside option on compensation contracts under different information structures, Quantum like modeling of decision making: quantifying uncertainty with the aid of Heisenberg-Robertson inequality, Robust time-inconsistent stochastic control problems, Conditional expected utility criteria for decision making under ignorance or objective ambiguity, Editorial: Introduction to quantum probability theory and its economic applications, Decision theory with a state of mind represented by an element of a Hilbert space: the Ellsberg paradox, Quantum-like model of subjective expected utility, Testing ambiguity and Machina preferences within a quantum-theoretic framework for decision-making, A quantum-probabilistic paradigm: non-consequential reasoning and state dependence in investment choice, Capacities and probabilistic beliefs: a precarious coexistence, Conditional preferences and updating., An experimental investigation of the impact of ambiguity on the valuation of self-insurance and self-protection, Interval models for comparative probability on finite sets, Equivalent decision trees and their associated strategy sets, Are probabilities used in markets?, Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatment choice, Maxmin expected utility over Savage acts with a set of priors, Ambiguous games, Decomposable choice under uncertainty, A survey of some applications of the idea of ambiguity aversion in economics, Maxmin expected utility through statewise combinations, Dutch books: Avoiding strategic and dynamic complications, and a comonotonic extension, Correlated equilibrium under uncertainty, Treatment choice under ambiguity induced by inferential problems, A lot of ambiguity, Causes of Allais common consequence paradoxes: an experimental dissection, A gene-brain-behavior basis for familiarity bias in source preference, Robust contracting and corporate-termism, Differentiating ambiguity and ambiguity attitude, Auctions with uncertain numbers of bidders, Axioms for preferences revealing subjective uncertainty and uncertainty aversion, Value at risk methodology under soft conditions approach (fuzzy-stochastic approach), Time and risk, On open \((c, \epsilon)\)-balls in topological spaces that capture convergence in non-additive probability measure with probability-one coincidence, Modeling human decision-making: an overview of the Brussels quantum approach, Representing attitudes towards ambiguity in Hilbert space: foundations and applications, Goal-based investing based on multi-stage robust portfolio optimization, A numerical method for hedging Bermudan options under model uncertainty, Supply chain pricing and effort decisions with the participants' belief under the uncertain demand, Two-degree-of-freedom Ellsberg urn problem, Portfolio concentration, portfolio inertia, and ambiguous correlation, Explaining versus describing human decisions: Hilbert space structures in decision theory, Willingness-to-pay and willingness-to-accept for risky and ambiguous lotteries, Information, Bertrand-Edgeworth competition and the law of one price, On games under expected utility with rank dependent probabilities, Robust consumption and portfolio choice with derivatives trading, Robust equilibrium strategies in a defined benefit pension plan game, A theoretical foundation of ambiguity measurement, An experiment on the evaluation of information under risk and ambiguity, Preferences with changing ambiguity aversion, Set-valued capacities: multi-agenda decision making, A representation of partially ordered preferences, Judged knowledge and ambiguity aversion, Dynamic consistency and ambiguity: a reappraisal, Pricing strategies and mechanism choice in reward-based crowdfunding, Nonparametric predictive utility inference, Modeling uncertainty in multi-criteria decision analysis, Measuring and disentangling ambiguity and confidence in the lab, Products of non-additive measures: a Fubini-like theorem, Representation results for law invariant time consistent functions, Static portfolio choice under cumulative prospect theory, Investment under ambiguity with the best and worst in mind, Reputation, incomplete information, and differences in patience in repeated games with multiple equilibria, Attitudes toward uncertainty among the poor: an experiment in rural Ethiopia, Heterogeneous ambiguity attitudes: a field experiment among small-scale stock investors in China, Stochastic differential portfolio games for an insurer in a jump-diffusion risk process, Ambiguity in asset pricing and portfolio choice: a review of the literature, Intertemporal utility smoothing under uncertainty, Bilevel programming approaches to production planning for multiple products with short life cycles, Depth-bounded belief functions, Decision making under uncertainty: the relation between economic preferences and psychological personality traits, Multi-stock portfolio optimization under prospect theory, Reinsurance-investment game between two mean-variance insurers under model uncertainty, Laws of large numbers of negatively correlated random variables for capacities, Anticipated regret as an explanation of uncertainty aversion, Second-order ambiguous beliefs, Controlling the degree of caution in statistical inference with the Bayesian and frequentist approaches as opposite extremes, Portfolio selection under model uncertainty: a penalized moment-based optimization approach, Investment behavior under Knightian uncertainty -- an evolutionary approach, Epistemic properties of knowledge hierarchies, A discrete choice model when context matters, Non-additive beliefs and strategic equilibria, Epistemic conditions for agreement and stochastic independence of \(\epsilon\)-contaminated beliefs, Choquet rationality, Uncertainty aversion and rationality in games of perfect information, Incomplete markets, Knightian uncertainty and high-water marks, Cross-efficiency evaluation in data envelopment analysis based on prospect theory, Effects of prior distributions: an application to piped water demand, Biased Bayesian learning with an application to the risk-free rate puzzle, Risky choices in strategic environments: an experimental investigation of a real options game, A strategic product for belief functions, Uncertainty measurement with belief entropy on the interference effect in the quantum-like Bayesian networks, The value of the right distribution in stochastic programming with application to a Newsvendor problem, Abraham Wald's complete class theorem and Knightian uncertainty, A parsimonious model of subjective life expectancy, Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility, Maxmin implementation, Optimal investment under ambiguous technology shocks, Dynamic decision making under ambiguity: an experimental investigation, Games in context: equilibrium under ambiguity for belief functions, Decision-making: from neuroscience to neuroeconomics -- an overview, A measure of ambiguity (Knightian uncertainty), Robust state-dependent mean-variance portfolio selection: a closed-loop approach, \(\mu\)-\(\sigma\) games, Credence for conclusions: a brief for Jeffrey's rule, Quantum-like influence diagrams for decision-making, Model uncertainty on commodity portfolios, the role of convenience yield, Belief hedges: Measuring ambiguity for all events and all models, Decision-making with partial information, Robust pricing under strategic trading, Updating confidence in beliefs, Comparing ambiguous urns with different sizes, Ambiguity under growing awareness, Aggregation of opinions in networks of individuals and collectives, Discrete Arrow-Pratt indexes for risk and uncertainty, A theory of unanimous jury voting with an ambiguous likelihood, Robust classical-impulse stochastic control problems in an infinite horizon, Uncertainty and compound lotteries: calibration, Dynamically consistent objective and subjective rationality, Robust leverage dynamics without commitment, Gambling with death, Ambiguity and awareness: a coherent multiple priors model, More ambiguity aversion or more risk aversion?, Reacting to ambiguous messages: an experimental analysis, Gender differences in ambiguity aversion under different outcome correlation structures, Purely subjective variational preferences, Understanding the nonadditive probability decision model, Ambiguity aversion in first-price sealed-bid auctions, Subjective probabilities on ``small domains, Ambiguous events and maxmin expected utility, On the implications of integrating linear tracing procedure with imprecise probabilities, Bruno de Finetti and imprecision: imprecise probability does not exist!, When curiosity kills the profits: an experimental examination, Probabilistic argumentation, The impact of governmental assistance on insurance demand under ambiguity: a theoretical model and an experimental test, Min- and Max-induced rankings: an experimental study, Experimental evidence on case-based decision theory, Skewed noise, Ambiguity, optimism, and pessimism in adverse selection models, Ordering ambiguous acts, Quantum-like models cannot account for the conjunction fallacy, A quantum-like model of selection behavior, The Ellsberg paradox: a challenge to quantum decision theory?, Modeling behavior of decision makers with the aid of algebra of qubit creation-annihilation operators, Reinsurance contract design when the insurer is ambiguity-averse, Testing constant absolute and relative ambiguity aversion, Optimal insurance under rank-dependent expected utility, What are axiomatizations good for?, On some aspects of decision theory under uncertainty: rationality, price-probabilities and the Dutch book argument, Individual vs. group decision-making: an experiment on dynamic choice under risk and ambiguity, Competitive insurance market in the presence of ambiguity, Unambiguous events and dynamic Choquet preferences, Imprecision and prior-data conflict in generalized Bayesian inference, An interval-valued utility theory for decision making with Dempster-Shafer belief functions, The fog of fraud -- mitigating fraud by strategic ambiguity, Social and strategic ambiguity versus betrayal aversion, The effect of environmental uncertainty on the tragedy of the commons, Non-monetary incentives in online experiments, A two-parameter model of dispersion aversion, Foundations of everyday practical reasoning, Uncertainty, credal sets and second order probability, Iterated Choquet expectations: a possibility result, The emergence of ``fifty-fifty probability judgments through Bayesian updating under ambiguity, Epistemology and economics, Rationalizing two-tiered choice functions through conditional choice, (Not) delegating decisions to experts: the effect of uncertainty, Optimal risk exposure and dividend payout policies under model uncertainty, Detection of rare events with uncertain outcomes, Public debt dynamics under ambiguity by means of iterated function systems on density functions, Quantum structures in human decision-making: towards quantum expected utility, A survey of decision making and optimization under uncertainty, Mean-CVaR portfolio selection model with ambiguity in distribution and attitude, Portfolio selection: a review, The dual theory of the smooth ambiguity model, Choice theory when agents can randomize, Decision making in phantom spaces, Random sets lotteries and decision theory, Self-serving interpretations of ambiguity in other-regarding behavior, Probability logic, logical probability, and inductive support, Portfolio inertia and epsilon-contaminations, On probabilities and loss aversion, Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation, On some ordinal models for decision making under uncertainty, Hedging, ambiguity, and the reversal of order axiom, Optimal XL-insurance under Wasserstein-type ambiguity, Ambiguity aversion in the small and in the large for weighted linear utility, Subjective expected utility with non-additive probabilities on finite state spaces, Generalised free energy and active inference, Pathwise superhedging on prediction sets, Representation theorems for WVaR with respect to a capacity, Dutch book rationality conditions for conditional preferences under ambiguity, Portfolio allocation problems between risky and ambiguous assets, On booms that never bust: ambiguity in experimental asset markets with bubbles, Another form of Chover's law of the iterated logarithm under sub-linear expectations, Asymmetric gain-loss reference dependence and attitudes toward uncertainty, Savage for dummies and experts, The PDEs and numerical scheme for derivatives under uncertainty volatility, Modeling agent's conditional preferences under objective ambiguity in Dempster-Shafer theory, Ambiguity and price competition, A formal framework for deliberated judgment, R for risk. Uncertainty and probability, Emotion and knowledge in decision making under uncertainty, The principal-agent problem with smooth ambiguity, Uncertain urn problems and Ellsberg experiment, Consequentialism and dynamic consistency in updating ambiguous beliefs, Incentive contracting under ambiguity aversion, Ambiguity sensitive preferences in Ellsberg frameworks, A revealed reference point for prospect theory, Mechanism design with ambiguous transfers: an analysis in finite dimensional naive type spaces, Revisiting precautionary saving under ambiguity, Preference orderings represented by coherent upper and lower conditional previsions, Physician behavior and conditional altruism: the effects of payment system and uncertain health benefit, Solving sequential collective decision problems under qualitative uncertainty, Decision-making with belief functions: a review, Bertrand game with Nash bargaining fairness concern, Mean-dispersion preferences with a specific dispersion function, Satisficing versus optimality: criteria for sustainability, Comparative ambiguity aversion and downside ambiguity aversion, A simple mean-dispersion model of ambiguity attitudes, An axiomatization of Choquet expected utility with cominimum independence, Gender differences when subjective probabilities affect risky decisions: an analysis from the television game show Cash Cab, Aggregating infinitely many probability measures, How do subjects view multiple sources of ambiguity?, Monetary equilibria and Knightian uncertainty, Rectification of Preferences in a Fuzzy Environment, Minimizing regret in dynamic decision problems, Managing Underperformance Risk in Project Portfolio Selection, Two new characterizations of universal integrals on the scale \([0,1\)], A DESCRIPTIVE DECISION-MAKING MODEL UNDER UNCERTAINTY: COMBINATION OF DEMPSTER-SHAFER THEORY AND PROSPECT THEORY, Perspectival Act Utilitarianism, Fuzzy measures and asset prices: accounting for information ambiguity, The role of information search and its influence on risk preferences, Ambiguity aversion under maximum-likelihood updating, Shunning uncertainty: the neglect of learning opportunities, Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity, Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms, Linear cumulative prospect theory with applications to portfolio selection and insurance demand, MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY, Combining Second-Order Belief Distributions with Qualitative Statements in Decision Analysis, Decisions under risk and uncertainty: A survey of recent developments, On subjective expected value under ambiguity, Optimal dividend-distribution strategy under ambiguity aversion, Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion, Robust contracts with one-sided commitment, Multi-state choices with aggregate feedback on unfamiliar alternatives, Relative maximum likelihood updating of ambiguous beliefs, An Information-Based Model for Subjective Probability, How to make ambiguous strategies, Rationality principles for preferences on belief functions, Robust time-inconsistent stochastic linear-quadratic control with drift disturbance, Dynamic focus programming: a new approach to sequential decision problems under uncertainty, Distributionally robust pricing in independent private value auctions, Comment on ``A theoretical foundation of ambiguity measurement, Randomization is optimal in the robust principal-agent problem, Updating variational (Bewley) preferences, An axiomatic characterization of Bayesian updating, Estimating Second Order Probability Beliefs from Subjective Survival Data, On the observational implications of Knightian uncertainty, \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty, The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment, An efficient numerical method for the robust optimal investment problem with general utility functions, SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY, Agency and Interaction What We Are and What We Do in Formal Epistemology, Decision Theory Without “Independence” or Without “Ordering”, Ambiguity and the Bayesian Paradigm, Advances in Prospect Theory: Cumulative Representation of Uncertainty, Optimal insurance under maxmin expected utility, Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets, Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data, Unnamed Item, Ambiguity and robust statistics, Decomposition-integral: unifying Choquet and the concave integrals, Ambiguity, data and preferences for information -- a case-based approach, Dynamically stable preferences, On the application of J.M. Keynes's approach to decision making, The Polytope of Fuzzy Measures and Its Adjacency Graph, Precautionary saving and the notion of ambiguity prudence, Optimal portfolio with vector expected utility, Hierarchies of ambiguous beliefs, Sealed bid auctions with ambiguity: theory and experiments, The refoundation of the symmetric equilibrium in Schumpeterian growth models, Optimal consumption and portfolio choice with ambiguity and anticipation, A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation, Decision making on the sole basis of statistical likelihood, Distinguishing indeterminate belief from ``risk-averse preferences, Pfanzagl exchanges diagnose an anomaly in expected utility decision theory, Small worlds: Modeling attitudes toward sources of uncertainty, Portfolio selection with probabilistic utility, Correcting expected utility for comparisons between alternative outcomes: A unified parameterization of regret and disappointment, Ambiguity aversion, games against nature, and dynamic consistency, Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income, Identification of fuzzy measures from sample data with genetic algorithms, On the plausibility transformation method for translating belief function models to probability models, Agreement and stochastic independence of belief functions, Dynamic variational preferences, Do trade union leaders violate subjective expected utility? some insights from experimental data, An experimental test of generalized ambiguity aversion using lottery pricing tasks, Extreme points of some families of non-additive measures, Data-Based Dominance, MATHEMATICAL STRUCTURE OF QUANTUM DECISION THEORY, Unintended hedging in ambiguity experiments, Ambiguity and perceived coordination in a global game, SHACKLE AND MODERN DECISION THEORY, PROBABILITY AND UNCERTAINTY: THE LEGACY OF GEORGESCU‐ROEGEN, Choquet-based European option pricing with stochastic (and fixed) strikes, Risk-informed decision-making in the presence of epistemic uncertainty, Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework, Optimal Portfolio Choice Based on α-MEU Under Ambiguity, Robust MDPs with k-Rectangular Uncertainty, Additive Consistency of Risk Measures and Its Application to Risk-Averse Routing in Networks, Minimal preferences on lotteries, Uncertainty aversion and aversion to increasing uncertainty, Evaluating second-order probability judgments with strictly proper scoring rules, Physiological utility theory and the neuroeconomics of choice, A brain imaging study of the choice procedure, The somatic marker hypothesis: a neural theory of economic decision, Coherent lower previsions and Choquet integrals, Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences., ON THE POSSIBILISTIC DECISION MODEL: FROM DECISION UNDER UNCERTAINTY TO CASE-BASED DECISION, A theory of belief for scientific refutations, An invitation to economical test spaces and effect algebras, Dilatation monotonous Choquet integrals, On the Difference between Social and Private Goods, Ambiguity, asset prices, and excess volatility in a pure-exchange economy, Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory, Robust reinsurance contract with learning and ambiguity aversion, Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk, Modeling and Learning of Hierarchical Decision Models: The Case of the Choquet Integral, Does Gold Still Shelter Inflation, and, if so, When? Evidence From Four Countries, Extension and Application of Itô's Formula UnderG-Framework, OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY, An Econometric Model Based on the Maxmin Expected Utility Model: An Application to Earthquake Insurance, Robust control in a rough environment, A model of adaptive decision-making from representation of information environment by quantum fields, Decision Making in the Environment of Heterogeneous Uncertainty, One-Shot Decision Theory: A Fundamental Alternative for Decision Under Uncertainty, Risk Perception and Ambiguity in a Quantile Cumulative Prospect Theory, AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL, A simple robust asset pricing model under statistical ambiguity, Smooth ambiguity preferences and asset prices with a jump-diffusion process, The Value of Randomized Solutions in Mixed-Integer Distributionally Robust Optimization Problems, Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences, Unnamed Item, Imprecise information and subjective belief, Robust reinsurance contracts in continuous time, Optimal Learning Under Robustness and Time-Consistency, When Risk Perception Gets in the Way: Probability Weighting and Underprevention, The ex ante aggregation of opinions under uncertainty, Estimating ambiguity aversion in a portfolio choice experiment, Logical perspectives on the foundations of probability, Public private partnerships contract under moral hazard and ambiguous information, Optimality in an OLG model with nonsmooth preferences, Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework, Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets, Preference robust distortion risk measure and its application, Persuasion with unknown beliefs, Subjective expected utility through stochastic independence, Making decisions with evidential probability and objective Bayesian calibration inductive logics, Revealing a preference for mixtures: An experimental study of risk, Impact of cost uncertainty on supply chain competition under different confidence levels, Purely subjective revealed ambiguity, Robust stimulus of private investment: Tax rate cut or investment subsidy?, Focus programming: a bi‐level programming approach to static stochastic optimization problems, Conditional decisions under objective and subjective ambiguity in Dempster-Shafer theory, On the Ellsberg and Machina paradoxes, The ecological rationality of decision criteria, TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES, Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty, Conjoint Axiomatization of the Choquet Integral for Heterogeneous Product Sets, The Impact of the Structure of the Payoff Matrix on the Final Decision made Under Uncertainty, Impact of Compound and Reduced Specification on Valuation of Projects with Multiple Risks, The Myopic Property in Decision Models, Strong laws of large numbers for negatively dependent random variables under sublinear expectations, Fundamental Principles of Modeling in Macroeconomics, OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION, Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game, Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions, Imprecise Probabilities and Unstable Betting Behaviour, Data-driven robust mean-CVaR portfolio selection under distribution ambiguity, Risk Perception, Risk Attitude, and Decision: A Rank-Dependent Analysis, ZOOMING IN ON AMBIGUITY ATTITUDES, Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution, DISPLAYING UNCERTAIN INFORMATION ABOUT PROBABILITY: EXPERIMENTAL EVIDENCE, UNCERTAINTY AVERSION AND PORTFOLIO INERTIA, Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity, Imprecise probability for non-commuting observables, Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate, SKEWNESS‐AWARE ASSET ALLOCATION: A NEW THEORETICAL FRAMEWORK AND EMPIRICAL EVIDENCE, SOLUTION UNIQUENESS IN A CLASS OF CURRENCY CRISIS GAMES, External Observer Reflections on QBism, Its Possible Modifications, and Novel Applications, AMBIGUOUS RISK AVERSION UNDER CAPACITY, Decision-theoretic foundations of qualitative possibility theory, DISTORTION RISK MEASURES, AMBIGUITY AVERSION AND OPTIMAL EFFORT, OPTIMISM AND PESSIMISM IN GAMES, Cumulative prospect theory and imprecise risk, Ambiguity in portfolio selection, Stable equilibrium in beliefs in extensive games with perfect information, Fuzzy rationality and parameter elicitation in decision analysis, Forward-backward stochastic differential equations with mixed initial-terminal conditions, Representing subjective orderings of random variables: An extension, Do Bayesians Learn Their Way Out of Ambiguity?, Equilibrium Notions for Agents with Cumulative Prospect Theory Preferences, The value of information and the value of awareness, MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS, Comparative uncertainty: theory and automation, Games of incomplete information: a framework based on belief functions, Games of incomplete information: a framework based on belief functions, REALISTIC UTILITY VERSUS GAME UTILITY: A PROPOSAL FOR DEALING WITH THE SPREAD OF UNCERTAIN PROSPECTS, Optimal Stopping Under Uncertainty in Drift and Jump Intensity, A foundation for probabilistic beliefs with or without atoms, Choquet Expected Utility Representation of Preferences on Generalized Lotteries, Decision Analysis Methods for Selecting Consumer Services with Attribute Value Uncertainty, Measuring Beliefs Under Ambiguity, Portfolio selection with robust estimators considering behavioral biases in a causal network, Use and Applications of Non-Additive Measures and Integrals, RECURSIVE AMBIGUITY AND MACHINA'S EXAMPLES, Towards a Bayesian Theory of Second-Order Uncertainty: Lessons from Non-Standard Logics, BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION, Asymmetry of Risk and Value of Information, Portfolio choices: comparative statics under both expected return and volatility uncertainty, Household consumption-investment-insurance decisions with uncertain income and market ambiguity, A subjective metric of authentication, On Modeling of Uncertainty in Behavioral Economics, Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures, Ellsberg meets Keynes at an urn, Testing negative value of information and ambiguity aversion, Time-consistent lifetime portfolio selection under smooth ambiguity, Incorporating ignorance within game theory: an imprecise probability approach, Ambiguous price formation, God games: an experimental study of uncertainty, superstition, and cooperation, Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling, Random dual expected utility, Source and rank-dependent utility, Choquet expected discounted utility, On ambiguity-averse market equilibrium, Eliciting second-order beliefs, A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility, Subjective complexity under uncertainty, Robust Bayesian choice, Expected utility theory, Jeffrey's decision theory, and the paradoxes, Optimal insurance design under belief-dependent utility and ambiguity, The maximal coordination principle in regulatory Boolean networks, Robust optimal asset-liability management with mispricing and stochastic factor market dynamics, Analysis of the evolution of pedestrian crossing based on dynamic penalty mechanism, Approximate Bayesian implementation and exact maxmin implementation: an equivalence, Decision-making under uncertainty -- a quantum value operator approach, Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications, Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models, Structural credit risk model driven by Lévy process under knight uncertainty, Maxmin expected utility in Savage's framework, Dynamic bid-ask pricing under Dempster-Shafer uncertainty, Confirmation bias in social networks, Beyond uncertainty aversion, The key to the knowledge norm of action is ambiguity, Advertising, ecolabeling and consumers' beliefs: greenwashing or not?
