Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data
DOI10.1287/MOOR.2016.0799zbMATH Open1360.91073OpenAlexW2304716031MaRDI QIDQ2976147FDOQ2976147
Authors: Stefania Minardi, Andrei Savochkin 
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
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moment problemAfriat inequalitiesrevealed preferencesmooth ambiguityvariational preferencescompletely monotone functions
Decision theory (91B06) Portfolio theory (91G10) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Moment problems (44A60)
Cites Work
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- Risk, ambiguity and the Savage axioms
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- Mixed risk aversion
- Solving the truncated moment problem solves the full moment problem
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- An analogue of the Riesz-Haviland theorem for the truncated moment problem
- Bochner and Bernstein theorems via the nuclear integral representation theorem
- Deux exemples classiques de représentation intégrale
- Ambiguity and the historical equity premium
- Ambiguity and robust statistics
Cited In (4)
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- The Pareto comparisons of a group of exponential discounters
- Foundations of ambiguity models under symmetry: \(\alpha\)-MEU and smooth ambiguity
- Definitions of ambiguous events and the smooth ambiguity model
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