Ambiguity revealed

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

No W13/05, IFS Working Papers from Institute for Fiscal Studies

Abstract: We derive necessary and sufficient 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 characterised 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)
Date: 2013-03-28
New Economics Papers: this item is included in nep-dcm, nep-exp, nep-mic and nep-upt
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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