Recursive smooth ambiguity preferences

By Peter Klibanoff, Massimo Marinacci, Sujoy Mukerji. Journal of Economics Theory, 2009

435 citations recorded by the source corpus.

Subfields: Economics and Econometrics, General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/574d98e1da8ace40b6e16ee81864c5c01fa57f94

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Antony Millner
2. Simon Dietz
3. Geoffrey M. Heal
4. Eran Hanany
5. Ravi Bansal
6. Costis Skiadas
7. Peter Klibanoff
8. Hengjie Ai

In General Decision Sciences

1. Geoffrey M. Heal
2. Antony Millner
3. Simon Dietz
4. Eran Hanany
5. Costis Skiadas
6. Peter Klibanoff
7. Nabil I. Al-Najjar
8. Jonathan Weinstein

In Management Science and Operations Research

1. Costis Skiadas
2. Eran Hanany
3. Geoffrey M. Heal
4. Antony Millner
5. Hengjie Ai
6. Ravi Bansal
7. Simon Dietz
8. Jonathan Weinstein

Citations in the corpus

• Scientific Ambiguity and Climate Policy (2013, methodology): “The static ambiguity framework described in the previous section has been extended to the dynamic case in Klibanoff et al. (2009). They obtain a representation of preferences over time- and state-dependent acts, i.”
• Pollution Control with Uncertain Stock Dynamics: When, and How, to be Precautious (2012, background): “[22, 23] and Epstein and Schneider [5], the focus of Hansen-Sargent robustness project is as much practical as it is theoretical.”
• THE AMBIGUITY AVERSION LITERATURE: A CRITICAL ASSESSMENT (2009, background): “Schmeidler (1989) laid a formal foundation for this enterprise by modifying Savage’s (1954) subjective expected utility model.”
• Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility (2013, result): “The approach is consistent with the way Maccheroni, Marinacci, and Rustichini ð2006bÞ and Klibanoff, Marinacci, and Mukerji ð2009Þ extend their respective static formulations to dynamic settings.”
• Updating Ambiguity Averse Preferences (2009, background): “In an early contribution in this direction, Eichberger and Grant [1997] succeed in characterizing a class of preferences quadratic in probabilities that allows for ambiguity aversion and is closed under Machina-Schmeidler updating. Why closure? Economists often choose to work with speci…c models bec”
• Risk Preferences and the Macroeconomic Announcement Premium (2018, background): “The smooth ambiguity-averse preference of Klibanoff, Marinacci, and Mukerji (2005, 2009) can be represented in the form of (14) with the following choice of the certainty equivalent functional: I [V ] = ϕ−1 {∫ ∆ ϕ (Ex [V ]) dµ (x) } .”
• Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, neutral): “+ 1 +   +  " +1 − 1  +  Ã( (∗2  )  ≥ 0 ((2)∗)   0 !# + (((2)∗)− (∗2  ))  p 2(∗2  )  (70)”