Dynamic variational preferences

By Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini. Journal of Economics Theory, 2006

311 citations recorded by the source corpus.

Subfields: Economics and Econometrics, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/fc4befdd54c92e9bd0f49a06a2eb2ebb1ff18e0d

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. Lars Peter Hansen
2. Massimo Marinacci
3. Peter Klibanoff
4. Costis Skiadas
5. Eran Hanany
6. Thomas J. Sargent
7. Fabio Maccheroni
8. Martin Schneider

In General Decision Sciences

1. Massimo Marinacci
2. Peter Klibanoff
3. Lars Peter Hansen
4. Eran Hanany
5. Fabio Maccheroni
6. Costis Skiadas
7. Larry G. Epstein
8. Paolo Ghirardato

Citations in the corpus

• Risk Preferences and the Macroeconomic Announcement Premium (2018, background): “(iii) The variational preferences of Maccheroni, Marinacci, and Rustichini (2006a), the dynamic version of which is studied in Maccheroni, Marinacci, and Rustichini (2006b).”
• Optimal Stopping With Multiple Priors (2009, unknown): “Recent work also shows that one might generalize our results to the more general class of dynamic variational preferences (Maccheroni, Marinacci, and Rustichini (2006)) or convex risk measures (Föllmer and Penner (2007)).”
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences (2006, methodology): “It is worth observing that in Maccheroni, Marinacci, and Rustichini (2006) we show that a version of these formulas holds also for dynamic variational preferences, the intertemporal version of the variational preferences we are introducing in this paper.”
• PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009, methodology): “The next result, a variation of (Maccheroni et al. 2006a, corollary 21), shows that the same is true for monotone mean-variance preferences.”
• Recursive smooth ambiguity preferences (2009, methodology): “In Maccheroni, Marinacci, and Rustichini (2006b), they extend variational preferences to an intertemporal setting and also characterize when this extension is dynamically consistent, thus generalizing the characterization of Epstein and Schneider (2003b) for MEU.”
• Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility (2013, background): “…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 entropic variational preferences of Hansen and Sargent ð2001Þ.”
• Ambiguity and Asset Markets (2010, background): “Maccheroni et al. (2006b) axiomatize a recursive version of variational utility that is the special case of our recursive model for which one-step-ahead acts are evaluated using variational utility (Equation 2.16).”
• Robust control and model misspecification (2006, methodology): “[34] for an axiomatic treatment of preferences specified using convex penalization.”
• Updating Ambiguity Averse Preferences (2009, methodology): “Theorem 18 of MMR [2006a] shows that this smoothness is equivalent to the ambiguity index being essentially strictly convex (i.e., strictly convex on the domain of convex combinations of measures in that are minimizers of the representing functional for at least one act).”
• Ambiguity in Asset Markets: Theory and Experiment (2010, background): “pB = ( 1 )(1 G)u 0(wG) pG”
• Financial markets with volatility uncertainty (2010, background): “Maccheroni, Marinacci, and Rustichini (2006) generalize this model to so–called variational preferences.”