A Smooth Model of Decision Making under Ambiguity

By Peter Klibanoff, Massimo Marinacci, Sujoy Mukerji. 2005

2,114 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/a642e0838a4be5337515ac6eed58c66b00bee989

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

In General Decision Sciences

In Management Science and Operations Research

Citations in the corpus

The value of a statistical life (2009, neutral): “34See also Treich (2007) who shows that VSL is always higher under ambiguity aversion (Klibanoff et al., 2005).”
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012, background): “see Klibanoff et al. (2005), in which the agent does not choose the minimum of the set but rather weighs more the worse”
Risk Preferences and the Macroeconomic Announcement Premium (2018, background): “…of Strzalecki (2011); the variational ambiguity-averse preference of Maccheroni, Marinacci, and Rustichini (2006a,b); the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji (2005, 2009); the disappointment aversion preference of Gul (1991); and the recursive smooth ambiguity preference…”
Variation in risk seeking behaviour following large losses: A natural experiment (2014, background): “Klibanoff, Marinacci, and Mukerji (2005) modeled ambiguity aversion as arising from the curvature of a second order utility function on the expected utility of the possible lotteries (which have a probability to be the one being played).”
Ambiguity aversion and the propensities for self-insurance and self-protection (2011, methodology): “14 This result is established by Klibanoff et al. (2005) in their Theorem 2.”
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.”
Ambiguity in the Small and in the Large (2012, background): “In the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji (2005), V (h) = ∆(S) φ E Q [u • h] d µ(Q), where µ is a 'second-order belief' over all priors.”
Rational preferences under ambiguity (2011, background): “Recall that has no worst consequence.”
Dynamic Portfolio Choice and Risk Aversion (2007, background): “Theoptimal portfolio weight in generaldependson thevolatility of the risky assetreturn; therefore,the agentmust time the volatility.”
Estimating Ambiguity Aversion in a Portfolio Choice Experiment (2009, background): “…(1989); CEU: Schmeidler (1989); -MEU: Ghirardato et al. (2004) and Olszewski (2006); Contraction Expected Utility: Gajdos et al. (2008); REU: Ergin and Gul (2004), Klibanoff et al. (2005), Nau (2005), Seo (2009), and related work by Halevy and Feltkamp (2005), Giraud (2005) and Ahn (2008).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, positive): “Klibanoff et al. (2005) have elaborated these multi-stage ideas by proposing that the ambiguity of a risky act f be characterized by a set ℘ = {P1, ..., Pn} of subjectively plausible cumulative probability distributions for f .”
Recursive expected utility and the separation of attitudes towards risk and ambiguity: an experimental study (2009, background): “A recent work by Klibanoff et al. (2005) [KMM henceforth] addresses this separation issue that provides us with the required theoretical foundation as discussed in Sect.”
Fire Sales in a Model of Complexity (2009, methodology): “We could have instead used the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji (2005), which would lead to similar qualitative conclusions but milder quantitative effects.”