منابع مشابه
Recursive smooth ambiguity preferences
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 are updated over time
متن کاملIntertemporal substitution and recursive smooth ambiguity preferences
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff et al. (2005) and the twostage randomization approach à la Seo (2009). We characterize risk attitude and ...
متن کاملIntertemporal Substitution and Recursive Smooth Ambiguity Preferences ∗ Takashi Hayashi
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff, Marinacci, and Mukerji (2005) and the two-stage randomization approach à la Seo (2009). We characterize ...
متن کاملRecursive Smooth Ambiguity Preferences1
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...
متن کاملIncomplete Information Games with Smooth Ambiguity Preferences∗
We propose equilibrium notions for incomplete information games involving players who perceive ambiguity about the types of others. Players have smooth ambiguity preferences (Klibanoff, Marinacci and Mukerji, 2005) and may be ambiguity averse. In the smooth ambiguity model it is possible to hold the agents’information fixed while varying the agent’s ambiguity attitude from aversion to neutralit...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2009
ISSN: 0022-0531
DOI: 10.1016/j.jet.2008.10.007