Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data

• 成果类型: Article
• 署名作者: Minardi, Stefania; Savochkin, Andrei
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; New Economic School
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2016.0799
• 发表日期: 2017
• 页码: 167-178
• 关键词: truncated moment problem; aversion; preferences; uncertainty; RISK; REPRESENTATION; probabilities; THEOREM; Savage; MODEL

摘要

In the Anscombe-Aumann setup, we provide conditions for a collection of observations to be consistent with a well-known class of smooth ambiguity preferences (Klibanoff P, Marinacci M, Mukerji S (2005) A smooth model of decision making under ambiguity. Econometrica 73(6): 1849-1892.). Each observation is assumed to take the form of an equivalence between an uncertain act and a certain outcome. We provide three results that describe these conditions for data sets of different cardinality. Our findings uncover surprising links between the smooth ambiguity model and classic mathematical results in complex and functional analysis.