Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini

Econometrica, 2006, vol. 74, issue 6, 1447-1498

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.

Date: 2006
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