Risk aversion for variational and multiple-prior preferences

DOI10.1016/J.JMATECO.2010.08.020MaRDI QIDQ433158zbMATHOpenAlexFDO

Authors Jan Werner

Publication date 13 July 2012

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2010.08.020

zbMATH Keywords

risk aversionmean-independent riskmultiple-prior expected utilityvariational preferences

Mathematics Subject Classification ID

Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 1218462 (Why is no real title available?)
• A More Robust Definition of Subjective Probability
• A Schur concave characterization of risk aversion for non-expected utility preferences
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Axiomatic foundations of multiplier preferences
• Capacities and probabilistic beliefs: a precarious coexistence
• Maxmin expected utility with non-unique prior
• Probabilistic Sophistication and Multiple Priors
• Probabilistic sophistication and variational preferences
• Recursive multiple-priors.
• Risk Aversion in the Small and in the Large
• Risk and risk aversion when states of nature matter
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Stochastic finance. An introduction in discrete time
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• Uncertainty, risk-neutral measures and security price booms and crashes

Cited in

(7)

• The structure of variational preferences
• The use of Markov operators to constructing generalised probabilities
• Many good risks: An interpretation of multivariate risk and risk aversion without the independence axiom
• Pure rank preferences and variation in risk-taking behavior
• Local utility and multivariate risk aversion
• Preference reversals and induced risk preferences: evidence for noisy maximization
• Preference under risk in the presence of indistinguishable probabilities

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