Ambiguity and Probabilistic Information

References

• Abdellaoui M (2000) Parameter-free elicitation of utility and probability weighting functions. Management Sci. 46:1497–1512.Link, Google Scholar
• Abdellaoui M , Vossmann F , Weber M (2005) Choice-based elicitation and decomposition of decision weights for gains and losses under uncertainty. Management Sci. 51:1384–1399.Link, Google Scholar
• Ahn D , Choi S , Gale D , Kariv S (2014) Estimating ambiguity aversion in a portfolio choice experiment. Quantitative Econom. 5:195–223.Crossref, Google Scholar
• Allais M (1953) Le comportement de l’homme rationnel devant le risque: Critique des postulats et axiomes de l’ecole Americaine. Econometrica 21:503–546.Crossref, Google Scholar
• Alon S , Schmeidler D (2014) Purely subjective maxmin expected utility. J. Econom. Theory 152:382–412.Crossref, Google Scholar
• Anscombe FJ , Aumann RJ (1963) A definition of subjective probability. Ann. Math. Statist. 34:199–205.Crossref, Google Scholar
• Baillon A , L’Haridon O , Placido L (2011) Ambiguity models and the Machina paradoxes. Amer. Econom. Rev. 101:1547–1560.Crossref, Google Scholar
• Bleichrodt H , Pinto JL (2000) A parameter-free elicitation of the probability weighting function in medical decision analysis. Management Sci. 46:1485–1496.Link, Google Scholar
• Camerer C , Weber M (1992) Recent developments in modelling preferences: Uncertainty and ambiguity. J. Risk Uncertainty 5:325–370.Crossref, Google Scholar
• Casadesus-Masanell R , Klibanoff P , Ozdenoren E (2000a) Maxmin expected utility over Savage acts with a set of priors. J. Econom. Theory 92:35–65.Crossref, Google Scholar
• Casadesus-Masanell R , Klibanoff P , Ozdenoren E (2000b) Maxmin expected utility through statewise combinations. Econom. Lett. 66:49–54.Crossref, Google Scholar
• Cerreia-Vioglio S , Maccheroni F , Marinacci M , Montrucchio L (2011) Uncertainty averse preferences. J. Econom. Theory 146:1275–1330.Crossref, Google Scholar
• Cerreia-Vioglio S , Maccheroni F , Marinacci M , Montrucchio L (2013) Classical subjective expected utility. Proc. National Acad. Sci. USA 110:6754–6759.Crossref, Google Scholar
• Chew SH , Sagi JS (2006) Event exchangeability: Probabilistic sophistication without continuity or monotonicity. Econometrica 74:771–786.Crossref, Google Scholar
• Chew SH , Sagi JS (2008) Small worlds: Modeling attitudes toward sources of uncertainty. J. Econom. Theory 139:1–24.Crossref, Google Scholar
• Choquet G (1954) Theory of capacities. Ann. Inst. Fourier (Grenoble) 5:131–295.Crossref, Google Scholar
• Dillenberger D , Segal U (2015) Recursive ambiguity and Machina’s examples. Internat. Econom. Rev. 56:55–61.Crossref, Google Scholar
• Ellsberg D (1961) Risk, ambiguity, and the Savage axioms. Quart. J. Econom. 75:643–669.Crossref, Google Scholar
• Etner J , Jeleva M , Tallon J-M (2012) Decision theory under ambiguity. J. Econom. Survey 26:234–270.Crossref, Google Scholar
• Fox CR , Tversky A (1998) A belief-based account of decision under uncertainty. Management Sci. 44:879–895.Link, Google Scholar
• Gajdos T , Hayashi T , Tallon J-M , Vergnaud J-C (2008) Attitude toward imprecise information. J. Econom. Theory 140:27–65.Crossref, Google Scholar
• Ghirardato P , Maccheroni F , Marinacci M (2004) Differentiating ambiguity and ambiguity attitude. J. Econom. Theory 118:133–173.Crossref, Google Scholar
• Ghirardato P , Maccheroni F , Marinacci M , Siniscalchi M (2003) A subjective spin on roulette wheels. Econometrica 71:1897–1908.Crossref, Google Scholar
• Gilboa I (1987) Expected utility with purely subjective non-additive probabilities. J. Math. Econom. 16:65–88.Crossref, Google Scholar
• Gilboa I , Marinacci M (2013) Ambiguity and the Bayesian paradigm. Acemoglu D , Arellano M , Dekel E , eds. Advances in Economics and Econometrics: Theory and Applications, Tenth World Congress of the Econometric Society (Cambridge University Press, New York), 179–242.Google Scholar
• Gilboa I , Schmeidler D (1989) Maxmin expected utility with non-unique prior. J. Math. Econom. 18:141–153.Crossref, Google Scholar
• Gonzalez R , Wu G (1999) On the shape of the probability weighting function. Cognitive Psych. 38:129–166.Crossref, Google Scholar
• Grant S (1995) Subjective probability without monotonicity: or how Machina’s mom may also be probabilistically sophisticated. Econometrica 63:159–189.Crossref, Google Scholar
• Grant S , Polak B (2006) Bayesian beliefs with stochastic monotonicity: An extension of Machina and Schmeidler. J. Econom. Theory 130:264–282.Crossref, Google Scholar
• Hansen LP , Sargent TJ (2001) Robust control and model uncertainty. Amer. Econom. Rev. 91:60–66.Crossref, Google Scholar
• Karni E , Maccheroni F , Marinacci M (2014) Ambiguity and nonexpected utility. Young P , Zamir S , eds. Handbook of Game Theory , vol. 4 (North Holland, Amsterdam), 901–947.Google Scholar
• Kilka M , Weber M (2001) What determines the dhape of the probability weighting function under uncertainty? Management Sci. 47:1712–1726.Link, Google Scholar
• Klibanoff P , Marinacci M , Mukerji S (2005) A smooth model of decision making under ambiguity. Econometrica 73:1849–1892.Crossref, Google Scholar
• Kopylov I (2007) Subjective probabilities on “small” domains. J. Econom. Theory 133:236–265.Crossref, Google Scholar
• Lehrer E , Teper R (2015) Subjective independence and concave expected utility. J. Econom. Theory 158:33–53.Crossref, Google Scholar
• L’Haridon O , Placido L (2010) Betting on Machina’s reflection example: An experiment on ambiguity. Theory Decision 69:375–393.Crossref, Google Scholar
• Maccheroni F , Marinacci M , Rustichini A (2006) Ambiguity aversion, robustness, and the variational representation of preferences. Econometrica 74:1447–1498.Crossref, Google Scholar
• Machina M (2009) Risk, ambiguity, and the rank-dependence axioms. Amer. Econom. Rev. 99:385–392.Crossref, Google Scholar
• Machina M , Schmeidler D (1992) A more robust definition of subjective probability. Econometrica 60:745–780.Crossref, Google Scholar
• Machina M , Schmeidler D (1995) Bayes without Bernoulli: Simple conditions for probabilistically sophisticated choice. J. Econom. Theory 67:106–128.Crossref, Google Scholar
• Machina M , Siniscalchi M (2014) Ambiguity and ambiguity aversion. Machina M , Viscusi WK , eds. Handbook of the Economics of Risk and Uncertainty , vol. 1 (North Holland, Amsterdam), 729–807.Crossref, Google Scholar
• Marinacci M (2015) Model uncertainty. J. Eur. Econom. Assoc. 13:1022–1100.Crossref, Google Scholar
• Nakamura Y (1990) Subjective expected utility with non-additive probabilities on finite state spaces. J. Econom. Theory 51:346–366.Crossref, Google Scholar
• Nau RF (2006) Uncertainty aversion with second-order utilities and probabilities. Management Sci. 52:136–145.Link, Google Scholar
• Prelec D (1998) The probability weighting function. Econometrica 66:497–527.Crossref, Google Scholar
• Quiggin J (1982) A theory of anticipated utility. J. Econom. Behav. Organ. 3:323–343.Crossref, Google Scholar
• Sarin R , Wakker PP (1992) A simple axiomatization of nonadditive expected utility. Econometrica 60:1255–1272.Crossref, Google Scholar
• Savage LJ (1954) The Foundations of Statistics, 2nd ed. (Dover Publications, New York).Google Scholar
• Schmeidler D (1986) Integral representation without additivity. Proc. Amer. Math. Soc. 97:255–261.Crossref, Google Scholar
• Schmeidler D (1989) Subjective probability and expected utility without additivity. Econometrica 57:571–587.Crossref, Google Scholar
• Segal U (1987) The Ellsberg paradox and risk aversion: An anticipated utility approach. Internat. Econom. Rev. 28:175–202.Crossref, Google Scholar
• Segal U (1990) Two-stage lotteries without the reduction axiom. Econometrica 58:349–377.Crossref, Google Scholar
• Siniscalchi M (2008) Machina's reflection example and VEU preferences: A very short note. Working paper, Northwestern University, Evanston, IL.Google Scholar
• Siniscalchi M (2009) Vector expected utility and attitudes toward variation. Econometrica 77:801–855.Crossref, Google Scholar
• Smith JE , Nau RF (1995) Valuing risky projects: Option pricing theory and decision analysis. Management Sci. 41:795–816.Link, Google Scholar
• Steiner J , Stewart C (2016) Perceiving prospects properly. Amer. Econom. Rev. 106:1601–1631.Crossref, Google Scholar
• Trautmann S , van de Kuilen G (2014) Ambiguity attitudes. Keren G , Wu G , eds. Blackwell Handbook of Judgment and Decision Making (Blackwell, London), 89–116.Google Scholar
• van de Kuilen G , Wakker PP (2011) The midweight method to measure attitudes toward risk and ambiguity. Management Sci. 57:582–598.Link, Google Scholar
• Wakker PP (1989a) Commonotonic addtivity for Choquet integrals. Working paper, Duke University, Durham, NC.Google Scholar
• Wakker PP (1989b) Continuous subjective expected utility with non-additive probabilities. J. Math. Econom. 18:1–27.Crossref, Google Scholar
• Wakker PP (2008) Uncertainty. Durlauf SN , Blume LE , eds. The New Palgrave Dictionary of Economics (The Macmillan Press, London), 6780–6791.Crossref, Google Scholar
• Wu G , Gonzalez R (1996) Curvature of the probability weighting function. Management Sci. 42:1676–1690.Link, Google Scholar
• Wu G , Gonzalez R (1999) Nonlinear decision weights in choice under uncertainty. Management Sci. 45:74–85.Link, Google Scholar