Ambiguity Revealed

Ralph-C Bayer (), Subir Bose, Matthew Polisson and Ludovic Renou

No 2013-05, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: We derive necessary and sucient conditions for data sets composed of state-contingent prices and consumption to be consistent with two prominent models of decision making under uncertainty: variational preferences and smooth ambiguity. The revealed preference conditions for subjective expected utility, maxmin expected utility, and multiplier preferences are characterized as special cases. We implement our tests on data from a portfolio choice experiment.

Keywords: ambiguity; expected utility; maxmin; revealed preference; smooth; uncertainty; variational. (search for similar items in EconPapers)
JEL-codes: D1 D8 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2013-04
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Ambiguity revealed (2013)
Working Paper: Ambiguity Revealed (2012)
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