AMBIGUITY AVERSION, ROBUSTNESS, AND THE VARIATIONAL

The function u represents the decision maker's risk attitudes, while the index c captures his ambiguity attitudes. These preferences include the multiple priors preferences of Gilboa and Schmeidler and the multiplier preferences of Hansen and Sargent. This provides a rigorous decision-theoretic foundation for the latter model, which has been widely used in macroeconomics and finance.

[1]  R. Dana,et al.  A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS , 2005 .

[2]  Larry G. Epstein,et al.  Ambiguity, risk, and asset returns in continuous time , 2000 .

[3]  Massimo Marinacci,et al.  PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES , 2009 .

[4]  I. Gilboa,et al.  Maxmin Expected Utility with Non-Unique Prior , 1989 .

[5]  Larry G. Epstein.  A definition of uncertainty aversion , 1999 .

[6]  D. Schmeidler,et al.  A More Robust Definition of Subjective Probability , 1992 .

[7]  M. Rothschild,et al.  Increasing risk: I. A definition , 1970 .

[8]  Aldo Rustichini.  Emotion and Reason in Making Decisions , 2005, Science.

[9]  J. Milnor,et al.  AN AXIOMATIC APPROACH TO MEASURABLE UTILITY , 1953 .

[10]  I. Olkin,et al.  Inequalities: Theory of Majorization and Its Applications , 1980 .

[11]  Larry G. Epstein,et al.  Intertemporal Asset Pricing Under Knightian Uncertainty , 1994 .

[12]  K. Chong.  Doubly stochastic operators and rearrangement theorems , 1976 .

[13]  R. Phelps.  Convex Functions, Monotone Operators and Differentiability , 1989 .

[14]  K. Chong,et al.  Equimeasurable rearrangements of functions , 1971 .

[15]  Massimo Marinacci,et al.  Probabilistic Sophistication and Multiple Priors , 2002 .

[16]  Tan Wang.  A Class of Multi-Prior Preferences , 2003 .

[17]  Colin Camerer,et al.  Neural Systems Responding to Degrees of Uncertainty in Human Decision-Making , 2005, Science.

[18]  K. Arrow.  Essays in the theory of risk-bearing , 1958 .

[19]  P. Billingsley,et al.  Probability and Measure , 1980 .

[20]  F. J. Anscombe,et al.  A Definition of Subjective Probability , 1963 .

[21]  David Schmeidler,et al.  A bibliographical note on a theorem of Hardy, Littlewood, and Polya , 1979 .