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21
Expected Utility Theory without the Completeness Axiom
 JOURNAL OF ECONOMIC THEORY, VOLUME 115, ISSUE 1
, 2004
"... We study the problem of obtaining an expected utility representation for a potentially incomplete preference relation over lotteriesby meansof a set of von Neumann–Morgenstern utility functions. It is shown that, when the prize space is a compact metric space, a preference relation admits such a mul ..."
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Cited by 48 (8 self)
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We study the problem of obtaining an expected utility representation for a potentially incomplete preference relation over lotteriesby meansof a set of von Neumann–Morgenstern utility functions. It is shown that, when the prize space is a compact metric space, a preference relation admits such a multiutility representation provided that it satisfies the standard axioms of expected utility theory. Moreover, the representing set of utilities is unique in a welldefined sense.
Axiomatic foundations of multiplier preferences
, 2007
"... This paper axiomatizes the robust control criterion of multiplier preferences introduced by Hansen and Sargent (2001). The axiomatization relates multiplier preferences to other classes of preferences studied in decision theory. Some properties of multiplier preferences are generalized to the broade ..."
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Cited by 33 (3 self)
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This paper axiomatizes the robust control criterion of multiplier preferences introduced by Hansen and Sargent (2001). The axiomatization relates multiplier preferences to other classes of preferences studied in decision theory. Some properties of multiplier preferences are generalized to the broader class of variational preferences, recently introduced by Maccheroni, Marinacci and Rustichini (2006). The paper also establishes a link between the parameters of the multiplier criterion and the observable behavior of the agent. This link enables measurement of the parameters on the basis of observable choice data and provides a useful tool for applications. I am indebted to my advisor Eddie Dekel for his continuous guidance, support, and encouragement. I am grateful to Peter Klibanoff and Marciano Siniscalchi for many discussions which resulted in significant improvements of the paper. I would also like to thank Jeff Ely and Todd Sarver for helpful comments and suggestions. This project started after a very stimulating conversation with Tom Sargent and was further shaped by conversations with Lars Hansen. All errors are my own.
Regret Aversion and Opportunity Dependence
 Journal of Economic Theory
"... This paper provides an axiomatic model of decision making under uncertainty in which the decision maker is driven by anticipated expost regrets. Our model allows both regret aversion and likelihood judgement over states to coexist. Also, we characterize two special cases, minimax regret with multi ..."
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Cited by 21 (0 self)
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This paper provides an axiomatic model of decision making under uncertainty in which the decision maker is driven by anticipated expost regrets. Our model allows both regret aversion and likelihood judgement over states to coexist. Also, we characterize two special cases, minimax regret with multiple priors that generalizes Savage’s minimax regret, and a smooth model of regret aversion. 1
A Simpli…ed Axiomatic Approach to Ambiguity Aversion, mimeo
, 2009
"... This paper takes the AnscombeAumann framework with horse and roulette lotteries, and applies the Savage axioms to the horse lotteries and the von NeumannMorgenstern axioms to the roulette lotteries. The resulting representation of preferences yields a subjective probability measure over states an ..."
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Cited by 7 (0 self)
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This paper takes the AnscombeAumann framework with horse and roulette lotteries, and applies the Savage axioms to the horse lotteries and the von NeumannMorgenstern axioms to the roulette lotteries. The resulting representation of preferences yields a subjective probability measure over states and two utility functions, one governing risk attitudes and one governing ambiguity attitudes. The model is able to accommodate the Ellsberg paradox and preferences for reductions in ambiguity.
Subjective states: a more robust model
, 2007
"... Following Kreps [11], Nehring [15, 16] and Dekel, Lipman and Rustichini [5], we study the demand for ‡exibility and what it reveals about subjective uncertainty. As in the cited papers, the latter is represented by a subjective state space consisting of possible future preferences over actions to be ..."
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Cited by 5 (3 self)
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Following Kreps [11], Nehring [15, 16] and Dekel, Lipman and Rustichini [5], we study the demand for ‡exibility and what it reveals about subjective uncertainty. As in the cited papers, the latter is represented by a subjective state space consisting of possible future preferences over actions to be chosen ex post. One contribution is to provide axiomatic foundations for a range of alternative hypotheses about the nature of these ex post preferences. Secondly, we establish a sense in which the subjective state space is uniquely pinned down by the agent’s ex ante ranking of (random) menus. For both purposes, we show that it is advantageous to assume that the agent ranks random menus, and to think of ex post upper contour sets rather than ex post preferences. Finally, we demonstrate the tractability of our representation by showing that it can model the two comparative notions “2 desires more ‡exibility than 1”and “2 is more averse to ‡exibilityrisk than is 1.”
A Note on the Joint Occurrence of Insurance and Gambling
, 1988
"... This note provides a formal justification for the Friedman and Savage nonconcavity in the utility of money. This is based on the possibility of indivisibilities in the consumption possibilities set. A precise characterization of when gambling is optimal (and the optimal type) is provided in one spec ..."
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Cited by 2 (0 self)
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This note provides a formal justification for the Friedman and Savage nonconcavity in the utility of money. This is based on the possibility of indivisibilities in the consumption possibilities set. A precise characterization of when gambling is optimal (and the optimal type) is provided in one special case. Some possible limitations are considered. 1
Decision under risk: The classical Expected Utility model
, 2008
"... Ce chapitre d’ouvrage collectif a pour but de présenter les bases de la modélisation de la prise de décision dans un univers risqué. Nous commençons par définir, de manière générale, la notion de risque et d’accroissement du risque et rappelons des définitions et catégorisations (valables en dehors ..."
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Cited by 2 (0 self)
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Ce chapitre d’ouvrage collectif a pour but de présenter les bases de la modélisation de la prise de décision dans un univers risqué. Nous commençons par définir, de manière générale, la notion de risque et d’accroissement du risque et rappelons des définitions et catégorisations (valables en dehors de tout modèle de représentation) de comportements face au risque. Nous exposons ensuite le modèle classique d’espérance d’utilité de von Neumann et Morgenstern et ses principales propriétés. Les problèmes posés par ce modèle sont ensuite discutés et deux modèles généralisant l’espérance d’utilité brièvement présentés.
The ExAnte Aggregation of Opinions under Uncertainty ∗
, 2011
"... This paper presents an analysis of the problem of aggregating preference orderings under subjective uncertainty. Individual preferences, or opinions, agree on the ranking of risky prospects, but are quite general because we do not specify the perception of ambiguity or the attitude towards it. A con ..."
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Cited by 1 (0 self)
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This paper presents an analysis of the problem of aggregating preference orderings under subjective uncertainty. Individual preferences, or opinions, agree on the ranking of risky prospects, but are quite general because we do not specify the perception of ambiguity or the attitude towards it. A convexity axiom for the exante preference characterizes a (collective) decision rule that can be interpreted as a compromise between the utilitarian and the Rawlsian criteria. The former is characterized by the independence axiom as in Harsanyi (1955). Existing results are special cases of our representation theorems, which also allow us to interpret Segal’s (1987) twostage approach to ambiguity as the exante aggregation of (Bayesian) future selves ’ opinions.
Nontrivial Equilibrium in an Economy with Stochastic Rationing
 National Bureau of Economic Research, Working Paper 322
, 1979
"... program in economic fluctuations. Any opinions expressed are those of the authors and not those of the National Bureau of Economic Research. The authors wish to thank Kenneth J. Arrow and Jerry Green for stimulating conversations. * A grant from the Finnish Cultural Foundation is gratefully acknowl ..."
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Cited by 1 (1 self)
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program in economic fluctuations. Any opinions expressed are those of the authors and not those of the National Bureau of Economic Research. The authors wish to thank Kenneth J. Arrow and Jerry Green for stimulating conversations. * A grant from the Finnish Cultural Foundation is gratefully acknowledged.
Precautionary Decision Rules under Risk Needed or Redundant?
, 2005
"... Abstract: I give a general class of preference representations conforming with the von NeumannMorgenstern axioms, time consistency and additivity of welfare over time on certain outcomes (certainty additivity). I discuss whether precautionary decision rules are needed and in what sense. By explici ..."
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Cited by 1 (0 self)
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Abstract: I give a general class of preference representations conforming with the von NeumannMorgenstern axioms, time consistency and additivity of welfare over time on certain outcomes (certainty additivity). I discuss whether precautionary decision rules are needed and in what sense. By explicitly taking care of the gauge freedom allowed for Bernoulli utility my representation theorem allows to relate different setups in the literature. This way a general relation between intertemporal substitutability, risk aversion and a preference for the timing of uncertainty resolution is derived. I point out that only the difference between intertemporal substitutability and risk aversion is gauge invariant. This invariant is shown to characterize precautionarity.