Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data

DOI10.1287/moor.2016.0799zbMath1360.91073OpenAlexW2304716031MaRDI QIDQ2976147

Andrei Savochkin, Stefania Minardi

Publication date: 13 April 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4bb4cdb74f02fa296e334a0dee3a1874f9590e84

zbMATH Keywords

moment problemrevealed preferenceAfriat inequalitiessmooth ambiguityvariational preferencescompletely monotone functions

Mathematics Subject Classification ID

Decision theory (91B06) Moment problems (44A60) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Portfolio theory (91G10)

Related Items

The Pareto Comparisons of a Group of Exponential Discounters, Foundations of ambiguity models under symmetry: \(\alpha\)-MEU and smooth ambiguity, Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution

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