Dynamic variational preferences
From MaRDI portal
Publication:2496226
DOI10.1016/j.jet.2005.12.011zbMath1153.91384OpenAlexW1484793812MaRDI QIDQ2496226
Fabio Maccheroni, Aldo Rustichini, Massimo Marinacci
Publication date: 12 July 2006
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://www.carloalberto.org/assets/working-papers/no.1.pdf
Related Items
Conditional preference orders and their numerical representations, Optimal consumption and portfolio choice with ambiguous interest rates and volatility, Dynamic consistency, valuable information and subjective beliefs, Ambiguous partially observable Markov decision processes: structural results and applications, Minimizing regret in dynamic decision problems, Dynamically consistent preferences under imprecise probabilistic information, A dynamic mechanism and surplus extraction under ambiguity, Static and dynamic quantile preferences, Robust experimentation in the continuous time bandit problem, Three types of robust Ramsey problems in a linear-quadratic framework, Doubts or variability?, Asset prices with locally constrained-entropy recursive multiple-priors utility, A simple robust asset pricing model under statistical ambiguity, A note on monotone mean-variance preferences for continuous processes, A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility, Dynamic consistency and ambiguity: a reappraisal, Recursiveness of indifference prices and translation-invariant preferences, Why uncertainty matters: discounting under intertemporal risk aversion and ambiguity, Individual antecedents of real options appraisal: the role of national culture and ambiguity, Financial markets with volatility uncertainty, Optimal stopping under ambiguity in continuous time, Updating variational (Bewley) preferences, Foundations for optimal inattention, Ambiguity and endogenous discounting, Uncertain discount and hyperbolic preferences, Uncertainty averse preferences, Asset prices in an ambiguous economy, On recursive utilities with non-affine aggregator and conditional certainty equivalent, Ambiguity and the Bayesian Paradigm, Optimal stopping with dynamic variational preferences, A two-parameter model of dispersion aversion, Mean-dispersion preferences and constant absolute uncertainty aversion, Identifying quantum structures in the Ellsberg paradox, Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach, Duality and General Equilibrium Theory Under Knightian Uncertainty, The K-armed bandit problem with multiple priors, An interval of no-arbitrage prices in financial markets with volatility uncertainty, TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS, Stochastic games with unbounded payoffs: applications to robust control in economics, Survival with ambiguity, Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles, Ambiguity aversion, games against nature, and dynamic consistency, Introduction to model uncertainty and robustness, Robust control and model misspecification, Macroeconomic uncertainty prices when beliefs are tenuous, The \(CEV\) model and its application to financial markets with volatility uncertainty, Optimal investment under ambiguous technology shocks, Ambiguity aversion and model misspecification: an economic perspective, Discounted Utility and Present Value—A Close Relation, Stochastic dynamic utilities and intertemporal preferences, Smoothing preference kinks with information, Learning under ambiguity: an experiment in gradual information processing, COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME, Recursive smooth ambiguity preferences, Twisted probabilities, uncertainty, and prices, PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES, Optimal Portfolio Choice Based on α-MEU Under Ambiguity, Structured ambiguity and model misspecification, New formulations of ambiguous volatility with an application to optimal dynamic contracting, Dynamic contracting for innovation under ambiguity, Learning and self-confirming long-run biases, Asset pricing under smooth ambiguity in continuous time, Objective rationality and recursive multiple priors, Mean-dispersion preferences with a specific dispersion function, A simple mean-dispersion model of ambiguity attitudes, Blackwell's informativeness ranking with uncertainty-averse preferences
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Intertemporal substitution, risk aversion and ambiguity aversion
- A note on recursive multiple-priors
- Maxmin expected utility with non-unique prior
- A neo\(^ 2\) Bayesian foundation of the maxmin value for two-person zero- sum games
- Quasi-stationary cardinal utility and present bias.
- Recursive multiple-priors.
- Robust control and recursive utility
- Conditional preferences and updating.
- Differentiating ambiguity and ambiguity attitude
- Niveloids
- Niveloids and their extensions: risk measures on small domains
- Ambiguity aversion, games against nature, and dynamic consistency
- Conditional and dynamic convex risk measures
- Robust control and model misspecification
- Ambiguity Aversion and Incompleteness of Financial Markets
- Risk, Ambiguity, and the Savage Axioms
- Dynamic choice under ambiguity
- PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
- Intertemporal Asset Pricing under Knightian Uncertainty
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences