The structure of variational preferences

S. Cerreia-Vioglio, F. Maccheroni, M. Marinacci, A. Rustichini

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2 Scopus citations


Maccheroni, Marinacci, and Rustichini (2006), in an Anscombe-Aumann framework, axiomatically characterize preferencesthat are represented bythe variational utility functional V(f)=minp∈δ{∫ u (f) dp + c(p)} ∀f ∈ F, where u is a utility function on outcomes and c is an index of uncertainty aversion. In this paper, for a given variational preference, we study the class C of functions c that represent V. Inter alia, we show that this set is fully characterized by a minimal and a maximal element, c{star operator} and d{star operator}. The function c{star operator}, also identified by Maccheroni, Marinacci, and Rustichini (2006), fully characterizes the decision maker's attitude toward uncertainty, while the novelfunction d{star operator} characterizes the uncertainty perceivedby the decision maker.

Original languageEnglish (US)
Pages (from-to)12-19
Number of pages8
JournalJournal of Mathematical Economics
StatePublished - Mar 1 2015


  • Ambiguity aversion
  • Clarke derivatives
  • Model uncertainty
  • Revealed unambiguous preference
  • Variational preferences


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