Uncertainty Aversion with Second-Order Utilities and Probabilities

By Robert F. Nau. Management Sciences, 2006

314 citations recorded by the source corpus.

Subfields: Artificial Intelligence, General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ba3e589145b6e5aa4e4658d1b06a0ecc7aaeea87

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Citations in the corpus

Ambiguity and Ambiguity Aversion (2014, background): “Ozdenoren and Peck (2008) also took a dynamic approach, framing a twostage Ellsberg urn problem as a “game against nature” and exploring various implications for ambiguity aversion and dynamic consistency.”
A simplified axiomatic approach to ambiguity aversion (2010, background): “While this is consistent with Strzalecki (2009), it runs contrary to preference-based attempts to define "ambiguous," such as in Epstein and Zhang (2001), Ghirardato et al.”
Vector Expected Utility and Attitudes Toward Variation (2008, background): “…Maccheroni and Marinacci [28]), non-additive beliefs (Schmeidler [52]), second-order probabilities (Klibanoff, Mukerjee and Marinacci [40]; Nau [46]; Ergin and Gul [23]), relative entropy (Hansen and Sargent [35]; Hansen, Sargent and Tallarini [36]), or varia- tional methods (Maccheroni,…”
Estimating Ambiguity Aversion in a Portfolio Choice Experiment (2009, unknown): “[19] Nau, R.”
Updating Ambiguity Averse Preferences (2009, background): “4See also Ergin and Gul [12], Nau [35], Neilson [36], and Seo [47] for related preference analyses and Hansen [22] for an application to macroeconomic risk.”
Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility (2013, background): “…aversion that have received some attention in the literature: second-order expected utility, proposed by Klibanoff, Marinacci, and Mukerji ð2005Þ and Nau ð2006Þ, and the smooth case of divergence preferences, proposed by Maccheroni, Marinacci, and Rustichini ð2006aÞ as an extension of the…”
Ambiguity and the value of information (2010, background): “6 Nau (2006) , Chew and Sagi (2008), and Ergin and Gul (2009) develop similar smooth (differentiable),”
Ambiguity aversion and the propensities for self-insurance and self-protection (2011, methodology): “Similar models are developed by Nau (2006) , Chew and Sagi (2008), Ergin and Gul (2009), and Neilson (2010).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “Ergin and Gul (2004) and Nau (2006) have identified ambiguous bets with”
Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, unknown): “sgn @ @ b wm b we = sgn P (rm; re) : (30)”