Econometric Applications of Maxmin Expected Utility

@inproceedings{Chamberlain1999EconometricAO,
  title={Econometric Applications of Maxmin Expected Utility},
  author={Gary E Chamberlain and Moshe Buchinsky and J. K. Hahn and Guido Imbens and Keisuke Hirano and Frank Kleibergen and Peter Klibano and Charles F. Manski and Ariel Pakes and J. Porter and Neil Shephard},
  year={1999}
}
Gilboa and Schmeidler provide axioms on preferences that imply a set of distributions and a preference ordering based on the minimum expected utility with respect to this set We consider joint distributions for data and for the random variables that together with the agent s choice determine utility relevant outcomes for example a joint distribution for data that will be available when a portfolio decision is made and for future returns that will determine the value of the portfolio The set of… CONTINUE READING
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