Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data
From MaRDI portal
Publication:2976147
DOI10.1287/moor.2016.0799zbMath1360.91073OpenAlexW2304716031MaRDI QIDQ2976147
Andrei Savochkin, Stefania Minardi
Publication date: 13 April 2017
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4bb4cdb74f02fa296e334a0dee3a1874f9590e84
moment problemrevealed preferenceAfriat inequalitiessmooth ambiguityvariational preferencescompletely monotone functions
Decision theory (91B06) Moment problems (44A60) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Portfolio theory (91G10)
Related Items
The Pareto Comparisons of a Group of Exponential Discounters, Foundations of ambiguity models under symmetry: \(\alpha\)-MEU and smooth ambiguity, Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
Cites Work
- Unnamed Item
- Uncertainty averse preferences
- An analogue of the Riesz-Haviland theorem for the truncated moment problem
- A theory of subjective compound lotteries
- Maxmin expected utility with non-unique prior
- Mixed risk aversion
- Are probabilities used in markets?
- Bochner and Bernstein theorems via the nuclear integral representation theorem
- Niveloids and their extensions: risk measures on small domains
- Ambiguity and robust statistics
- Deux exemples classiques de représentation intégrale
- Theory of capacities
- Solving the truncated moment problem solves the full moment problem
- Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
- Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion
- Ambiguity, Learning, and Asset Returns
- Risk, Ambiguity, and the Savage Axioms
- Complete Monotone Quasiconcave Duality
- Ambiguity and the Bayesian Paradigm
- Axiomatic Foundations of Multiplier Preferences
- Uncertainty Aversion with Second-Order Utilities and Probabilities
- Ambiguity and Second-Order Belief
- Ambiguity and the historical equity premium
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- A Smooth Model of Decision Making under Ambiguity
- The Construction of Utility Functions from Expenditure Data
- A Definition of Subjective Probability
