Mutual absolute continuity of multiple priors

DOI10.1016/j.jet.2006.12.004zbMath1132.91562OpenAlexW2022181669MaRDI QIDQ2469869

Massimo Marinacci, Larry G. Epstein

Publication date: 11 February 2008

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://www.carloalberto.org/assets/working-papers/no.19.pdf

zbMATH Keywords

multiple priorsmutual absolute continuity

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items

Dynamic consistency, valuable information and subjective beliefs ⋮ Equilibrium prices and trade under ambiguous volatility ⋮ Closure and preferences ⋮ Financial markets with volatility uncertainty ⋮ Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ Ambiguous act equilibria ⋮ Ambiguity and the Bayesian Paradigm ⋮ Optimal stopping with dynamic variational preferences ⋮ Intertemporal equilibria with Knightian uncertainty ⋮ Optimal risk-sharing under mutually singular beliefs ⋮ Ordinal notions of submodularity ⋮ Infinite supermodularity and preferences

Cites Work

• Maxmin expected utility with non-unique prior
• Recursive multiple-priors.
• Coherent multiperiod risk adjusted values and Bellman's principle
• A Representation Theorem for "Preference for Flexibility"
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Risk, Ambiguity, and the Separation of Utility and Beliefs