Results 1  10
of
25
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 ..."
Abstract

Cited by 33 (3 self)
 Add to MetaCart
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.
A behavioral characterization of plausible priors
 Journal of Economic Theory
"... Recent theories of choice under uncertainty represent ambiguity via multiple priors, informally interpreted as alternative probabilistic models of the uncertainty that the decisionmaker considers equally plausible. This paper provides a robust behavioral foundation for this interpretation. A prior ..."
Abstract

Cited by 33 (6 self)
 Add to MetaCart
(Show Context)
Recent theories of choice under uncertainty represent ambiguity via multiple priors, informally interpreted as alternative probabilistic models of the uncertainty that the decisionmaker considers equally plausible. This paper provides a robust behavioral foundation for this interpretation. A prior P is deemed “plausible ” if (i) preferences over a subset C of acts are consistent with subjective expected utility (SEU), and (ii) jointly with an appropriate utility function, P provides the unique SEU representation of preferences over C. Under appropriate axioms, plausible priors can be elicited from preferences; moreover, if these axioms hold, (i) preferences are probabilistically sophisticated if and only if they are SEU, and (ii) under suitable consequentialism and dynamic consistency axioms, “plausible posteriors ” can be derived from plausible priors via Bayes ’ rule. Several wellknown decision models are consistent with the axioms proposed here. This paper has an Online Appendix: please visit
From decision theory to decision aiding methodology (my very personal version of this history and some related reflections)
, 2003
"... ..."
(Show Context)
Subjective Probability under Additive Aggregation of Conditional Preferences
, 1997
"... This paper provides an axiomatic basis for a representation of personal preferences in which the utility of an act can be expressed as an expected value of conditional utilities of the act given any set of mutually exclusive and exhaustive scenarios, under a unique subjective probability. The repres ..."
Abstract

Cited by 19 (2 self)
 Add to MetaCart
This paper provides an axiomatic basis for a representation of personal preferences in which the utility of an act can be expressed as an expected value of conditional utilities of the act given any set of mutually exclusive and exhaustive scenarios, under a unique subjective probability. The representation is general enough to incorporate statedependent utilities and or utilities with dependencies across states, as, for example, in the case of disappointment aversion. More generally, this is a model incorporating subjective probability and subjective consequences, since neither probabilities nor consequences are included among its primitives. The model reduces to subjective expected utility under the additional assumptions of separability and stateindependence with respect to an objective statecontingent
Rationality of Belief  Or: Why Savage's axioms are neither necessary nor sufficient for rationality
, 2009
"... ..."
Cumulative dominance and probabilistic sophistication
 Mathematical Social Sciences
, 2000
"... ..."
A SingleStage Approach to Anscombe and Aumann's Expected Utility
, 1996
"... . Anscombe and Aumann showed that if one accepts the existence of a physical randomizing device such as a roulette wheel then Savage's derivation of subjective expected utility can be considerably simplified. They, however, invoked compound gambles to define their axioms. We demonstrate that th ..."
Abstract

Cited by 5 (1 self)
 Add to MetaCart
. Anscombe and Aumann showed that if one accepts the existence of a physical randomizing device such as a roulette wheel then Savage's derivation of subjective expected utility can be considerably simplified. They, however, invoked compound gambles to define their axioms. We demonstrate that the subjective expected utility derivation can be further simplified and need not invoke compound gambles. Our simplification is obtained by closely following the steps by which probabilities and utilities are revealed. KEYWORDS: subjective expected utility, revealed preference, decision analysis, subjective probability, multistage gambles Journal of Economic Literature Classification Number D81 * The support for this research was provided in part by the Decision, Risk, and Management Science branch of the National Science Foundation. 2 1. INTRODUCTION The most wellknown justification for subjective expected utility theory (SEU) was provided by Savage (1954). Savage's hallmark contribution wa...
AMBIGUITY AND AMBIGUITY AVERSION
, 2013
"... The phenomena of ambiguity and ambiguity aversion, introduced in Daniel Ellsberg’s seminal 1961 article, are ubiquitous in the realworld and violate both the key rationality axioms and classic models of choice under uncertainty. In particular, they violate the hypothesis that individuals ’ uncertai ..."
Abstract

Cited by 4 (0 self)
 Add to MetaCart
The phenomena of ambiguity and ambiguity aversion, introduced in Daniel Ellsberg’s seminal 1961 article, are ubiquitous in the realworld and violate both the key rationality axioms and classic models of choice under uncertainty. In particular, they violate the hypothesis that individuals ’ uncertain beliefs can be represented by subjective probabilities (sometimes called personal probabilities or priors). This chapter begins with a review of early notions of subjective probability and Leonard Savage’s joint axiomatic formalization of expected utility and subjective probability. It goes on to describe Ellsberg’s classic urn paradoxes and the extensive experimental literature they have inspired. It continues with analytical descriptions of the numerous (primarily axiomatic) models of ambiguity aversion which have been developed by economic theorists, and concludes with a discussion of some current theoretical topics and newer