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Purely subjective variational preferences

Craig Webb

Economic Theory, 2017, vol. 64, issue 1, No 6, 137 pages

Abstract: Abstract Variational preferences (Maccheroni et al. in Econometrica 74:1447–1498, 2006) are an important class of ambiguity averse preferences, compatible with Ellsberg-type phenomena. In this paper, a new foundation for variational preferences is derived in a framework of two stages of purely subjective uncertainty. A similar foundation is obtained for purely subjective maxmin expected utility (Gilboa and Schmeidler in J Math Econ 18:141–153, 1989). By establishing their axiomatic foundations without the use of extraneous probabilities, the conceptual appeal and applicability of these ambiguity models is enhanced.

Keywords: Variational preferences; Ambiguity aversion; Subjective uncertainty (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00199-016-1003-2

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