Maxmin expected utility with non-unique prior
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Publication:1122462
DOI10.1016/0304-4068(89)90018-9zbMath0675.90012OpenAlexW2067477904WikidataQ59446848 ScholiaQ59446848MaRDI QIDQ1122462
David Schmeidler, Itzhak Gilboa
Publication date: 1989
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://ageconsearch.umn.edu/record/275405/files/TEL-AVIV-FSWP-086.pdf
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general situations, On the Measurement of Economic Tail Risk, Duality in a Problem of Static Partial Hedging under Convex Constraints, Ambiguity aversion under maximum-likelihood updating, On comparison of non-Bayesian experts, Patience in some non-additive models, Conditional Analysis and a Principal-Agent Problem, Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition, Analogy in Decision Making, MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY, An Econometric Model Based on the Maxmin Expected Utility Model: An Application to Earthquake Insurance, UNCERTAIN DECISION MAKING AND ITS APPLICATION TO PORTFOLIO SELECTION PROBLEM, Risk Perception and Ambiguity in a Quantile Cumulative Prospect Theory, Decision Making Under Z-Information, AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL, Doubts or variability?, Asset prices with locally constrained-entropy recursive multiple-priors utility, Duopolistic competition with multiple scenarios and different attitudes toward uncertainty, A note on monotone mean-variance preferences for continuous processes, Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion, Haezendonck-Goovaerts capital allocation rules, Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion, Multi-state choices with aggregate feedback on unfamiliar alternatives, Relative maximum likelihood updating of ambiguous beliefs, Imprecise information and subjective belief, Robust reinsurance contracts in continuous time, Portfolio selection in quantile decision models, The ex ante aggregation of opinions under uncertainty, Twofold multiprior preferences and failures of contingent reasoning, How to make ambiguous strategies, Dynamic consistency in incomplete information games with multiple priors, Flexible Bayesian analysis of first price auctions using a simulated likelihood, Rationality principles for preferences on belief functions, Estimating ambiguity aversion in a portfolio choice experiment, On the Regularities of Mass Random Phenomena, Detectability, duality, and surplus extraction, VALUATIONS AND DYNAMIC CONVEX RISK MEASURES, UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET, Inf-convolution and optimal allocations for mixed-VaRs, Comment on ``A theoretical foundation of ambiguity measurement, Bilateral risk sharing in a comonotone market with rank-dependent utilities, Updating variational (Bewley) preferences, Ambiguous information and dilation: an experiment, On the observational implications of Knightian uncertainty, \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty, The Impact of the Structure of the Payoff Matrix on the Final Decision made Under Uncertainty, Risk minimizing portfolios and HJBI equations for stochastic differential games, Fundamental Principles of Modeling in Macroeconomics, EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS, Ambiguity and the Bayesian Paradigm, Optimal insurance under maxmin expected utility, Robust Optimization of Credit Portfolios, Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data, A note on the worst case approach for a market with a stochastic interest rate, OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY, A note on comonotonic additivity, Robust optimization of consumption with random endowment, Data-driven robust mean-CVaR portfolio selection under distribution ambiguity, ZOOMING IN ON AMBIGUITY ATTITUDES, Risk and Utility in the Duality Framework of Convex Analysis, Duality and General Equilibrium Theory Under Knightian Uncertainty, UNCERTAINTY AVERSION AND PORTFOLIO INERTIA, Comonotonic proper scoring rules to measure ambiguity and subjective beliefs, OPTIMAL MONETARY POLICY UNDER PARAMETER UNCERTAINTY IN A SIMPLE MICROFOUNDED MODEL, Uncertainty aversion, robust control and asset holdings, MATHEMATICAL STRUCTURE OF QUANTUM DECISION THEORY, Robust Utility Maximization without Model Compactness, Do Bayesians Learn Their Way Out of Ambiguity?, UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME, MEASURING DISTRIBUTION MODEL RISK, SHACKLE AND MODERN DECISION THEORY, Routing Optimization Under Uncertainty, CONIC PORTFOLIO THEORY, Robust optimal risk sharing and risk premia in expanding pools, Measures of model uncertainty and calibrated option bounds, Wald's mighty maximin: a tutorial, COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME, Risk-informed decision-making in the presence of epistemic uncertainty, Risk Exchange with Distorted Probabilities, Characterization, Robustness, and Aggregation of Signed Choquet Integrals, CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES, PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES, Orderings and Probability Functionals Consistent with Preferences, Optimal Portfolio Choice Based on α-MEU Under Ambiguity, ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES, RISK MEASURES: RATIONALITY AND DIVERSIFICATION, ROBUST DYNAMIC PRICING OVER INFINITE HORIZON IN THE PRESENCE OF MODEL UNCERTAINTY, A brain imaging study of the choice procedure, Adaptive Robust Control under Model Uncertainty, Risk Measures and Robust Optimization Problems, A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES, Optimal stopping under model uncertainty and the regularity of lower Snell envelopes, Ambiguity, asset prices, and excess volatility in a pure-exchange economy, Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case, CONSTITUTIONAL CONSTRAINTS UNDER AMBIGUITY: A GAME-THEORETIC APPROACH, Star-Shaped Risk Measures, Robust control in a rough environment, A simple robust asset pricing model under statistical ambiguity, Smooth ambiguity preferences and asset prices with a jump-diffusion process, Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences, Preference Robust Optimization for Choice Functions on the Space of CDFs, Optimal Learning Under Robustness and Time-Consistency, A Savage-Like Representation Theorem for Preferences on Multi-acts, Nonparametric Adaptive Robust Control under Model Uncertainty, Public private partnerships contract under moral hazard and ambiguous information, Optimality in an OLG model with nonsmooth preferences, Robust comparative statics for the elasticity of intertemporal substitution, 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 state-dependent distortion risk measure on act space and its application in optimal decision making, On efficiency in disagreement economies, Subjective expected utility through stochastic independence, 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