Axiomatic Foundations of Multiplier Preferences

Tomasz Strzalecki

Working Paper from Harvard University OpenScholar

Abstract: This paper axiomatizes the robust control criterion of multiplier preferences introduced by Hansen and Sargent (2001). The axiomatization relates multiplier preferences to other classes of preferences studied in decision theory, in particular, the variational preferences recently introduced by Maccheroni, Marinacci, and Rustichini (2006a). This paper also establishes a link between the parameters of the multiplier criterion and the observable behavior of the agent. This link enables measurement of the parameters on the basis of observable choice data and provides a useful tool for applications.

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Related works:
Journal Article: Axiomatic Foundations of Multiplier Preferences (2011)
Working Paper: Axiomatic Foundations of Multiplier Preferences (2011)
Working Paper: Axiomatic Foundations of Multiplier Preferences (2011)
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