Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

By Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini. 2006

1,307 citations recorded by the source corpus.

Subfields: Economics and Econometrics, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/961a2295798d53dd4df5edf9e61d997f73141a23

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Citations in the corpus

CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “utility see, for instance, Schied (2004) and Maccheroni, Marinacci, and Rustichini (2004) .”
Expected Utility with Uncertain Probabilities Theory (2017, neutral): “A related variational preferences model, suggested by Maccheroni et al. (2006) and generalized by Grant and Polak (2007), extends this line of models.”
Incentives in Experiments: A Theoretical Analysis (2018, neutral): “The ≽-dominant elements of any set E ⊆ X are denoted by dom≽ Eð Þ 5 x ∈ E : 8 y ∈ Eð Þ x ≽ yf g: Where applicable, strict preference (the asymmetric part of ≽) is denoted by ≻.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, neutral): “  =  +   + (σ )0σ − £21 − 12 ¤ η = σ + " 2 2  1 1  # (138)”
Stochastic Choice and Revealed Perturbed Utility (2015, neutral): “As noted by McFadden (1973), a zero probability is empirically indistinguishable from a positive but small probability.”
PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009, neutral): “7 We refer the interested reader to [ MMR ] for a discussion of this notion, and its inter-”
Optimal reinsurance under risk and uncertainty (2015, neutral): “Though there are other recent approaches (Maccheroni et al., 2006), the worst-case principle properly incorporates the ambiguity aversion (Gilboa and Schmeidler, 1989), and therefore our analysis will deal with this principle when considering the insurer expected wealth, the insurer global risk…”
Exponential utility maximization under model uncertainty for unbounded endowments (2016, background): “ term robust reﬂects uncertainty about the true probabilistic model and the consideration of a whole family of models as a consequence. This is not a new concept and since the seminal papers [16] and [24] it has gained a lot of attention, see e.g. [1, 3, 4, 6, 8, 12, 18, 28, 29, 30] and [9] for an o”
Recursive smooth ambiguity preferences (2009, methodology): “Recently, Maccheroni, Marinacci, and Rustichini (2006a) developed a class of preferences called variational preferences, which include both MEU preferences and a version of Hansen and Sargent (2001) preferences known as multi- 31 plier preferences as special cases.”
Information-Theoretic Bounded Rationality (2015, background): “There is currently no widely agreed upon deﬁnition of ambiguities, although there exist proposals, such as the framework of variational preferences [Maccheroni et al., 2006]. which is itself another perfectly-rational decision problem.”
Rational preferences under ambiguity (2011, background): “…(B) DSMA and Collegio Carlo Alberto, Università di Torino, Turin, Italy e-mail: paolo.ghirardato@carloalberto.org M. Siniscalchi Northwestern University, Chicago, IL, USA e-mail: marciano@northwestern.edu S. Cerreia-Vioglio et al. Keywords Rational preferences · Ambiguity · Unambiguous…”