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Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

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  • Fabio Maccheroni
  • Massimo Marinacci
  • Aldo Rustichini
Abstract
We characterize, in the Anscombe-Aumann framework, the preferences for which there are a utility functionu on outcomes and an ambiguity indexc on the set of probabilities on the states of the world such that, for all acts f and g, Copyright The Econometric Society 2006.

Suggested Citation

  • Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
    • Handle: RePEc:ecm:emetrp:v:74:y:2006:i:6:p:1447-1498
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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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