Recursive smooth ambiguity preferences

• 成果类型: Article
• 署名作者: Klibanoff, Peter; Marinacci, Massimo; Mukerji, Sujoy
• 署名单位: University of Turin; Collegio Carlo Alberto; Northwestern University; University of Oxford
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.10.007
• 发表日期: 2009
• 页码: 930-976
• 关键词: Ambiguity; uncertainty; Knightian uncertainty; ambiguity aversion; Uncertainty aversion; Ellsberg paradox; Dynamic decision making; Dynamic programming under ambiguity; Smooth ambiguity

摘要

This paper axiomatizes an intertemporal version of the Smooth Ambiguity decision model developed in [P. Klibanoff, M. Marinacci, S. Mukerji, A smooth model of decision making under ambiguity, Econometrica 73 (6) (2005) 1849-1892]. A key feature of the model is that it achieves a separation between ambiguity, identified as a characteristic of the decision maker's subjective beliefs, and ambiguity attitude, a characteristic of the decision maker's tastes. In applications one may thus specify/vary these two characteristics independent of each other, thereby facilitating richer comparative statics and modeling flexibility than possible under other models which accommodate ambiguity sensitive preferences. Another key feature is that the preferences are dynamically consistent and have a recursive representation. Therefore techniques of dynamic programming can be applied when using this model. (C) 2008 Elsevier Inc. All rights reserved.