TY - JOUR
T1 - The structure of variational preferences
AU - Cerreia-Vioglio, S.
AU - Maccheroni, F.
AU - Marinacci, M.
AU - Rustichini, A.
N1 - Publisher Copyright:
© 2015 Elsevier B.V.
PY - 2015/3/1
Y1 - 2015/3/1
N2 - 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.
AB - 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.
KW - Ambiguity aversion
KW - Clarke derivatives
KW - Model uncertainty
KW - Revealed unambiguous preference
KW - Variational preferences
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U2 - 10.1016/j.jmateco.2015.01.002
DO - 10.1016/j.jmateco.2015.01.002
M3 - Article
AN - SCOPUS:84925844369
SN - 0304-4068
VL - 57
SP - 12
EP - 19
JO - Journal of Mathematical Economics
JF - Journal of Mathematical Economics
ER -