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- Peter Klibano, Massimo Marinacci, Sujoy Mukerji
- 2002

We propose and axiomatize a model of preferences over acts such that the decision maker prefers act f to act g if and only if E1Á (E1⁄4u ± f) ̧ E1Á (E1⁄4u ± g), where E is the expectation operator, u is a vN-M utility function, Á is an increasing transformation, and 1 is a subjective probability over the set ¦ of probability measures 1⁄4 that the decision… (More)

- Paolo Ghirardato, Fabio Maccheroni, Massimo Marinacci
- J. Economic Theory
- 2004

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 very general decision model. We introduce relation derived from the DM’s preferences, called “unambiguous preference”, and show that it can be represented by a set of probability measures. We provide such set with a… (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 makers risk attitudes, while… (More)

- Paolo Ghirardato, Massimo Marinacci
- TARK
- 1998

The theory of subjective expected utility has been recently extended to allow ambiguity to matter for choice. We propose a notion of absolute ambiguity aversion by building on a notion of comparative ambiguity aversion. We characterize it for a preference model which encompasses some of the most popular models in the literature. We next build on these ideas… (More)

- Paolo Ghirardato, Massimo Marinacci
- Math. Oper. Res.
- 2001

We introduce a general model of static choice under uncertainty, arguably the weakest model achieving a separation of cardinal utility and a unique representation of beliefs. Most of the nonexpected utility models existing in the literature are special cases of it. Such separation is motivated by the view that tastes are constant, whereas beliefs change… (More)

- Peter Klibanoff, Massimo Marinacci, Sujoy Mukerji
- J. Economic Theory
- 2009

Introduction Propose and provide foundations for a preference model set in an explicitly dynamic framework with uncertainty where: DM is sensitive to ambiguity ambiguity attitude is separated from ambiguity ‡exibility in ambiguity attitude and in scope of ambiguity preferences are dynamically consistent discounted expected utility is a special case beliefs… (More)

In the classic Anscombe and Aumann decision setting, we give necessary and sufficient conditions that guarantee the existence of a utility function u on outcomes and an ambiguity index c on the set of all probabilities on the states of the world such that, for all acts f and g, f % g ⇔ min p (∫ u (f) dp+ c (p) ) ≥ min p (∫ u (g) dp+ c (p) ) . The function u… (More)

- Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci, Luigi Montrucchio
- J. Economic Theory
- 2011

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 structure. Many objective functions commonly used in applications are special cases of this representation. JEL classification: D81

- Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini
- J. Economic Theory
- 2006

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)

- Massimo Marinacci
- Games and Economic Behavior
- 2000