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We dedicate this paper—an extended version of which was previously circulated with the title ''Ambiguity from the Differential Viewpoint''—to Erio Castagnoli on the occasion of his 60th birthday. Abstract The objective of this paper is to show how ambiguity, and a decision maker (DM)'s response to it, can be modelled formally in the context of a general(More)
for their hospitality during the visits when part of the research was completed. Mukerji gratefully acknowledges …nan-cial support from the ESRC Research Fellowship Award award R000 27 1065, and Marinacci gratefully acknowledges the …nancial support of MIUR. Abstract We propose and axiomatize a model of preferences over acts such that the decision maker(More)
We characterize in the Anscombe Aumann framework the preferences for which there are a utility function u on outcomes and an ambiguity index c on the set of probabilities on the states of the world such that, for all acts f and g, f % g , min p Z u (f) dp + c (p) min p Z u (g) dp + c (p) : The function u represents the decision maker's risk attitudes, while(More)
A decision maker is characterized by two binary relations. The first reflects decisions that are rational in an " objective " sense: the decision maker can convince others that she is right in making them. The second relation models decisions that are rational in a " subjective " sense: the decision maker cannot be convinced that she is wrong in making(More)
This paper analyzes a model of decision under ambiguity, deemed vector expected utility or VEU. According to the proposed model, an act f : Ω → X is evaluated via the functional V (f) = Ω u • f dp + A Ω u • f dm , where u : X → is a von Neumann-Morgenstern utility function, p is a baseline probability measure, Ω u • f dm is a adjustment vector of finite or(More)
We provide a simple behavioral definition of 'subjective mixture' of acts for a large class of (not necessarily expected-utility) preferences. Subjective mixtures enjoy the same algebraic properties as the 'objective mixtures' used to great advantage in the decision setting introduced by Anscombe and Aumann (1963). This makes it possible to formulate(More)
which they thank for their hospitality. opinions expressed here are those of the authors and not those of the Fondazione Collegio Carlo Alberto. Abstract We study uncertainty averse preferences, that is, complete and transitive preferences that are convex and monotone. We establish a representation result, which is at same time general and rich in(More)
We introduce and axiomatize dynamic variational preferences, the dynamic version of the variational preferences we axiomatized in [21], which generalize the multiple priors preferences of Gilboa and Schmeidler [9], and include the Multiplier Preferences inspired by robust control and first used in macroeconomics by Hansen and Sargent (see [11]), as well as(More)
an associate editor, and two anonymous referees for helpful suggestions. We are also grateful for stim-Abstract We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not(More)