Recursive smooth ambiguity preferences

@article{Klibanoff2009RecursiveSA,
  title={Recursive smooth ambiguity preferences},
  author={Peter Klibanoff and M. Marinacci and Sujoy Mukerji},
  journal={J. Econ. Theory},
  year={2009},
  volume={144},
  pages={930-976}
}
This paper axiomatizes an intertemporal version of the Smooth Ambiguity decision model developed in Klibanoff, Marinacci, and Mukerji (2005). A key feature of the model is that it achieves a separation between ambiguity, identified as a characteristic of the decision maker's subjective beliefs, and ambiguity attitude, a characteristic of the decision maker's tastes. In applications one may thus specify/vary these two characteristics independent of each other, thereby facilitating richer… Expand
High Order Smooth Ambiguity Preferences and Asset Prices
A Continuous-Time Asset Pricing Model with Smooth Ambiguity Preferences
Continuous-time smooth ambiguity preferences
Preferences for partial information and ambiguity
  • J. Li
  • Computer Science
  • 2020
Measuring Ambiguity Aversion
Measuring Ambiguity Aversion
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 136 REFERENCES
Dynamic Choice Under Ambiguity
Intertemporal substitution, risk aversion and ambiguity aversion
Ambiguity Aversion: An Axiomatic Approach Using Second Order Probabilities
Intertemporal Asset Pricing Under Knightian Uncertainty
Updating Preferences with Multiple Priors
The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach
Ambiguity-Aversion and Non-Additive Probability:
Recursive multiple-priors
...
1
2
3
4
5
...