International Journal of General Systems, ISSN 0308-1079, 02/2019, Volume 48, Issue 2, pp. 112 - 138

Lotteries can be used to model alternatives with uncertain outcomes. Decision theory uses compound ordinary lotteries to represent a structure of lotteries...

expected utility | generalized St. Petersburg paradox | recursive ICOL | semi-recursive ICOL | ICOLs of first order | ELICITATION | REDUCTION | COMPUTER SCIENCE, THEORY & METHODS | PROBABILITIES | Recursive methods | Numerical analysis | Decision theory | Virtual reality | Mathematical models | Lotteries | Expected utility

expected utility | generalized St. Petersburg paradox | recursive ICOL | semi-recursive ICOL | ICOLs of first order | ELICITATION | REDUCTION | COMPUTER SCIENCE, THEORY & METHODS | PROBABILITIES | Recursive methods | Numerical analysis | Decision theory | Virtual reality | Mathematical models | Lotteries | Expected utility

Journal Article

Journal of Economic Theory, ISSN 0022-0531, 07/2015, Volume 158, pp. 21 - 32

Calibration results in and suggest that both expected and non-expected utility theories cannot produce non-negligible risk aversion over small stakes without...

Risk aversion | Calibration | Recursive preferences | Non-expected utility theories | DISAPPOINTMENT AVERSION | RISK-AVERSION | CHOICE | EXPECTED-UTILITY | PREFERENCES | UNCERTAINTY | ALLAIS-TYPE | ECONOMICS | ANTICIPATED UTILITY | INDEPENDENCE AXIOM | VIOLATIONS | Studies | Expected utility

Risk aversion | Calibration | Recursive preferences | Non-expected utility theories | DISAPPOINTMENT AVERSION | RISK-AVERSION | CHOICE | EXPECTED-UTILITY | PREFERENCES | UNCERTAINTY | ALLAIS-TYPE | ECONOMICS | ANTICIPATED UTILITY | INDEPENDENCE AXIOM | VIOLATIONS | Studies | Expected utility

Journal Article

Journal of Economic Theory, ISSN 0022-0531, 07/2015, Volume 158, pp. 21 - 21

Journal Article

Economic Theory, ISSN 0938-2259, 1/2007, Volume 30, Issue 1, pp. 49 - 87

We axiomatize a subjective version of the recursive expected utility model. This development extends the seminal results of Kreps and Porteus (Econometrica...

Risk aversion | Economic models | Algebra | Mathematical monotonicity | Axioms | Utility functions | Uniqueness | Search services | Lotteries | Expected utility | Uncertainty | Economics general | Risk information | Analysis | Subjective expected utility | Economic Theory | D90 | Recursive utility | D81 | D80 | Economics / Management Science | SUBSTITUTION | TEMPORAL BEHAVIOR | RESOLUTION | RISK-AVERSION | uncertainty | PROBABILITY | PREFERENCES | subjective expected utility | risk information | FRAMEWORK | ECONOMICS | ASSET RETURNS | CONSUMPTION | recursive utility | Studies | Risk | Recursive algorithms | Models | Economic theory

Risk aversion | Economic models | Algebra | Mathematical monotonicity | Axioms | Utility functions | Uniqueness | Search services | Lotteries | Expected utility | Uncertainty | Economics general | Risk information | Analysis | Subjective expected utility | Economic Theory | D90 | Recursive utility | D81 | D80 | Economics / Management Science | SUBSTITUTION | TEMPORAL BEHAVIOR | RESOLUTION | RISK-AVERSION | uncertainty | PROBABILITY | PREFERENCES | subjective expected utility | risk information | FRAMEWORK | ECONOMICS | ASSET RETURNS | CONSUMPTION | recursive utility | Studies | Risk | Recursive algorithms | Models | Economic theory

Journal Article

Review of Economic Dynamics, ISSN 1094-2025, 07/2013, Volume 16, Issue 3, pp. 497 - 510

Results in population ecology suggest that evolutionary successful species should have an adaptive (reference-based) S-shaped utility function that is more...

Equity return predictability | Recursive utility | Cross-sectional distribution of equity returns | Limited commitment | HABIT | MARKETS | RISK | ECONOMICS | EFFICIENCY | CONSUMPTION | Monte Carlo method | Population ecology | Evolution | Pricing | Studies | Economic growth | Utility functions | Risk sharing | Markov analysis | Expected utility | Monte Carlo simulation

Equity return predictability | Recursive utility | Cross-sectional distribution of equity returns | Limited commitment | HABIT | MARKETS | RISK | ECONOMICS | EFFICIENCY | CONSUMPTION | Monte Carlo method | Population ecology | Evolution | Pricing | Studies | Economic growth | Utility functions | Risk sharing | Markov analysis | Expected utility | Monte Carlo simulation

Journal Article

Theory and Decision, ISSN 0040-5833, 3/2009, Volume 66, Issue 3, pp. 199 - 228

We use the multiple price list method and a recursive expected utility theory of smooth ambiguity to separate out attitude towards risk from that towards...

C44 | Operations Research/Decision Theory | Methodology of the Social Sciences | Economic Theory | Recursive expected utility | Risk | C91 | Game Theory/Mathematical Methods | Game Theory, Economics, Social and Behav. Sciences | Economics / Management Science | Ambiguity | AUCTIONS | BEHAVIOR | UNCERTAINTY | SOCIAL SCIENCES, MATHEMATICAL METHODS | AVERSION | ECONOMICS | MODEL | Electric utilities | Studies | Recursive algorithms | Mathematical analysis

C44 | Operations Research/Decision Theory | Methodology of the Social Sciences | Economic Theory | Recursive expected utility | Risk | C91 | Game Theory/Mathematical Methods | Game Theory, Economics, Social and Behav. Sciences | Economics / Management Science | Ambiguity | AUCTIONS | BEHAVIOR | UNCERTAINTY | SOCIAL SCIENCES, MATHEMATICAL METHODS | AVERSION | ECONOMICS | MODEL | Electric utilities | Studies | Recursive algorithms | Mathematical analysis

Journal Article

Econometrica, ISSN 0012-9682, 3/2007, Volume 75, Issue 2, pp. 503 - 536

An extension to Ellsberg's experiment demonstrates that attitudes to ambiguity and compound objective lotteries are tightly associated. The sample is...

Risk aversion | Bundling | Betting | Reservation prices | Expected values | Lotteries | Expected utility | Modeling | Frequentism | Ambiguity | Compound independence | Rank dependent utility | Anticipated utility | Reduction of compound lotteries nonexpected utility | Uncertainty aversion | Maxmin expected utility | Probabilistic sophistication | Recursive utility | Rule rationality | DEFINITION | anticipated utility | PREFERENCE REVERSAL PHENOMENON | STATISTICS & PROBABILITY | bundling | RISK-AVERSION | uncertainty aversion | compound independence | maxmin expected utility | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | rule rationality | SUBJECTIVE-PROBABILITY | DECISION-MAKING | nonexpected utility | SOCIAL SCIENCES, MATHEMATICAL METHODS | rank dependent utility | AMBIGUITY | ECONOMICS | INDEPENDENCE AXIOM | reduction of compound lotteries | probabilistic sophistication | recursive utility | Studies | Utility functions

Risk aversion | Bundling | Betting | Reservation prices | Expected values | Lotteries | Expected utility | Modeling | Frequentism | Ambiguity | Compound independence | Rank dependent utility | Anticipated utility | Reduction of compound lotteries nonexpected utility | Uncertainty aversion | Maxmin expected utility | Probabilistic sophistication | Recursive utility | Rule rationality | DEFINITION | anticipated utility | PREFERENCE REVERSAL PHENOMENON | STATISTICS & PROBABILITY | bundling | RISK-AVERSION | uncertainty aversion | compound independence | maxmin expected utility | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | rule rationality | SUBJECTIVE-PROBABILITY | DECISION-MAKING | nonexpected utility | SOCIAL SCIENCES, MATHEMATICAL METHODS | rank dependent utility | AMBIGUITY | ECONOMICS | INDEPENDENCE AXIOM | reduction of compound lotteries | probabilistic sophistication | recursive utility | Studies | Utility functions

Journal Article

Quantitative Economics, ISSN 1759-7323, 07/2014, Volume 5, Issue 2, pp. 195 - 223

We report a portfolio‐choice experiment that enables us to estimate parametric models of ambiguity aversion at the level of the individual subject. The assets...

Uncertainty | recursive nonexpected utility | contraction expected utility | Choquet expected utility | maxmin expected utility | risk aversion | recursive expected utility | rank‐dependent utility | experiment | subjective expected utility | pessimism/optimism | C91 | D81 | ambiguity aversion | α-maxmin expected utility | Maxmin expected utility | Experiment | Subjective expected utility | Recursive expected utility | Recursive nonexpected utility | Contraction expected utility | Ambiguity aversion | Risk aversion | Rank-dependent utility | Pessimism/optimism | LOTTERIES | BEHAVIOR | alpha-maxmin expected utility | RISK | ASTERISK | EXPECTED UTILITY | ATTITUDE | AFRIATS THEOREM | UNCERTAINTY AVERSION | ECONOMICS | ANTICIPATED UTILITY | rank-dependent utility | REVEALED PREFERENCE | Expected utility | Economic models | Pessimism

Uncertainty | recursive nonexpected utility | contraction expected utility | Choquet expected utility | maxmin expected utility | risk aversion | recursive expected utility | rank‐dependent utility | experiment | subjective expected utility | pessimism/optimism | C91 | D81 | ambiguity aversion | α-maxmin expected utility | Maxmin expected utility | Experiment | Subjective expected utility | Recursive expected utility | Recursive nonexpected utility | Contraction expected utility | Ambiguity aversion | Risk aversion | Rank-dependent utility | Pessimism/optimism | LOTTERIES | BEHAVIOR | alpha-maxmin expected utility | RISK | ASTERISK | EXPECTED UTILITY | ATTITUDE | AFRIATS THEOREM | UNCERTAINTY AVERSION | ECONOMICS | ANTICIPATED UTILITY | rank-dependent utility | REVEALED PREFERENCE | Expected utility | Economic models | Pessimism

Journal Article

Econometrica, ISSN 0012-9682, 07/2017, Volume 85, Issue 4, pp. 1239 - 1260

We extend Ellsberg's two‐urn paradox and propose three symmetric forms of partial ambiguity by limiting the possible compositions in a deck of 100 red and...

maxmin expected utility | ambiguity | Ellsberg paradox | experiment | recursive non‐expected utility | Risk | source preference | Choquet expected utility | recursive non-expected utility | DEFINITION | STATISTICS & PROBABILITY | PARADOX | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SUBJECTIVE-PROBABILITY | DECISION-MAKING | MODELS | UNCERTAINTY AVERSION | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | ANTICIPATED UTILITY | INDEPENDENCE AXIOM | Analysis | Dietary supplements | Card games | Ambiguity

maxmin expected utility | ambiguity | Ellsberg paradox | experiment | recursive non‐expected utility | Risk | source preference | Choquet expected utility | recursive non-expected utility | DEFINITION | STATISTICS & PROBABILITY | PARADOX | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SUBJECTIVE-PROBABILITY | DECISION-MAKING | MODELS | UNCERTAINTY AVERSION | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | ANTICIPATED UTILITY | INDEPENDENCE AXIOM | Analysis | Dietary supplements | Card games | Ambiguity

Journal Article

Journal of Economic Theory, ISSN 0022-0531, 05/2017, Volume 169, pp. 344 - 364

We study the attitude of decision makers to skewed noise. For a binary lottery that yields the better outcome with probability , we identify noise around with...

Skewed distributions | Ambiguity aversion and seeking | Recursive non-expected utility | Compound lotteries | RESOLUTION | RISK | EXPECTED UTILITY | CHOICE | DECISION-MAKING | PREFERENCES | UNCERTAINTY | AMBIGUITY | ECONOMICS | INDEPENDENCE AXIOM

Skewed distributions | Ambiguity aversion and seeking | Recursive non-expected utility | Compound lotteries | RESOLUTION | RISK | EXPECTED UTILITY | CHOICE | DECISION-MAKING | PREFERENCES | UNCERTAINTY | AMBIGUITY | ECONOMICS | INDEPENDENCE AXIOM

Journal Article

Journal of Money, Credit and Banking, ISSN 0022-2879, 03/2016, Volume 48, Issue 2-3, pp. 325 - 362

We study the portfolio decision of a household with limited information‐processing capacity (rational inattention [RI]) in a setting with recursive utility. We...

rational inattention | D53 | portfolio choice | G11 | long‐run consumption risk | D81 | recursive utility | asset pricing | Portfolio choice | Recursive utility | Rational inattention | Asset pricing | Long-run consumption risk | BUSINESS, FINANCE | long-run consumption risk | INFORMATION | RETURNS | RESOLUTION | UNCERTAINTY | ECONOMICS | Capital assets pricing model | Equilibrium (Economics) | Portfolio management | Analysis | Recursive functions | Studies | Rational expectations | Asset allocation | Expected utility | Equilibrium | Risk assessment

rational inattention | D53 | portfolio choice | G11 | long‐run consumption risk | D81 | recursive utility | asset pricing | Portfolio choice | Recursive utility | Rational inattention | Asset pricing | Long-run consumption risk | BUSINESS, FINANCE | long-run consumption risk | INFORMATION | RETURNS | RESOLUTION | UNCERTAINTY | ECONOMICS | Capital assets pricing model | Equilibrium (Economics) | Portfolio management | Analysis | Recursive functions | Studies | Rational expectations | Asset allocation | Expected utility | Equilibrium | Risk assessment

Journal Article

Journal of Economic Theory, ISSN 0022-0531, 11/2003, Volume 113, Issue 1, pp. 1 - 31

This paper axiomatizes an intertemporal version of multiple-priors utility. A central axiom is dynamic consistency, which leads to a recursive structure for...

Robust control | Multiple-priors | Dynamic consistency | Updating beliefs | Ellsberg Paradox | Recursive utility | Ambiguity | Ellsberg paradox | Mutiple-priors | updating beliefs | multiple-priors | dynamic consistency | RISK | DYNAMIC CHOICE | MODEL UNCERTAINTY | MAXMIN EXPECTED UTILITY | ambiguity | SUBJECTIVE-PROBABILITY | robust control | ECONOMICS | ASSET RETURNS | recursive utility | Usage | Human acts | Utility theory | Recursive functions | Models | Research | Human behavior | Studies | Economic models | Economic theory | Bayesian analysis

Robust control | Multiple-priors | Dynamic consistency | Updating beliefs | Ellsberg Paradox | Recursive utility | Ambiguity | Ellsberg paradox | Mutiple-priors | updating beliefs | multiple-priors | dynamic consistency | RISK | DYNAMIC CHOICE | MODEL UNCERTAINTY | MAXMIN EXPECTED UTILITY | ambiguity | SUBJECTIVE-PROBABILITY | robust control | ECONOMICS | ASSET RETURNS | recursive utility | Usage | Human acts | Utility theory | Recursive functions | Models | Research | Human behavior | Studies | Economic models | Economic theory | Bayesian analysis

Journal Article

Journal of Economic Dynamics and Control, ISSN 0165-1889, 05/2018, Volume 90, pp. 30 - 44

This study extends the smooth ambiguity preferences model proposed by Klibanoff et al. (2005) to a continuous-time dynamic setting. It is known that the...

Smooth ambiguity preferences | Stochastic differential utility | Continuous time | Asset pricing | EXPECTED UTILITY | RECURSIVE UTILITY | DUAL THEORY | RISK | AVERSION | ECONOMICS | MODEL | ASSET RETURNS | Analysis | Pricing

Smooth ambiguity preferences | Stochastic differential utility | Continuous time | Asset pricing | EXPECTED UTILITY | RECURSIVE UTILITY | DUAL THEORY | RISK | AVERSION | ECONOMICS | MODEL | ASSET RETURNS | Analysis | Pricing

Journal Article

Journal of Mathematical Economics, ISSN 0304-4068, 03/2015, Volume 57, pp. 28 - 30

The well-known Blackwell theorem states the equivalence of statistical informativeness and economic valuableness. Çelen (2012) generalizes this theorem, which...

Recursive utility | Value of information | Maxmin expected utility | Blackwell | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Studies | Economic models | Theorems | Expected utility | Information | Preferences

Recursive utility | Value of information | Maxmin expected utility | Blackwell | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Studies | Economic models | Theorems | Expected utility | Information | Preferences

Journal Article

Econometrica, ISSN 0012-9682, 3/1992, Volume 60, Issue 2, pp. 353 - 394

This paper presents a stochastic differential formulation of recursive utility. Sufficient conditions are given for existence, uniqueness, time consistency,...

Risk aversion | Lipschitz condition | Utility models | Utility functions | Differential equations | Uniqueness | Differentials | Search services | Economic utility | Expected utility | STOCHASTIC CONTROL | SECURITIES | J PS SOCIAL SCIENCES, MATHEMATICAL METHODS | RESOLUTION | EQUATIONS | BELLMAN EQUATION | STATISTICS & PROBABILITY | CHOICE UNDER UNCERTAINTY | RISK-AVERSION | OPTIMAL-GROWTH | J GY ECONOMICS | EXPECTED UTILITY | CHOICE | PREFERENCES | RECURSIVE UTILITY | UNCERTAINTY | MATHEMATICS, MISCELLANEOUS | CONSUMPTION | Stochastic analysis | Models | Research | Utility theory | Recursive functions | Studies | Economic theory | Stochastic models | Markov analysis | Econometrics | Economic statistics

Risk aversion | Lipschitz condition | Utility models | Utility functions | Differential equations | Uniqueness | Differentials | Search services | Economic utility | Expected utility | STOCHASTIC CONTROL | SECURITIES | J PS SOCIAL SCIENCES, MATHEMATICAL METHODS | RESOLUTION | EQUATIONS | BELLMAN EQUATION | STATISTICS & PROBABILITY | CHOICE UNDER UNCERTAINTY | RISK-AVERSION | OPTIMAL-GROWTH | J GY ECONOMICS | EXPECTED UTILITY | CHOICE | PREFERENCES | RECURSIVE UTILITY | UNCERTAINTY | MATHEMATICS, MISCELLANEOUS | CONSUMPTION | Stochastic analysis | Models | Research | Utility theory | Recursive functions | Studies | Economic theory | Stochastic models | Markov analysis | Econometrics | Economic statistics

Journal Article

Annual Review of Financial Economics, ISSN 1941-1367, 12/2010, Volume 2, Issue 1, pp. 315 - 346

The Ellsberg paradox suggests that people's behavior is different in risky situations-when they are given objective probabilities-from their behavior in...

portfolio choice | asset pricing | Risk aversion | Dividends | Betting | Asset markets | Investment risk | Lotteries | Inertia | Expected utility | Financial portfolios | Ambiguity | Portfolio choice | Asset pricing | SUBSTITUTION | RECURSIVE MULTIPLE-PRIORS | INFORMATION | RISK-AVERSION | MODEL UNCERTAINTY | PORTFOLIO SELECTION | CHOICE | BUSINESS, FINANCE | SUBJECTIVE-PROBABILITY | STOCHASTIC DIFFERENTIAL UTILITY | ECONOMICS | CONSUMPTION | portfolio choice; asset pricing | Economic research | Research | Valuation | Portfolio management | Financial risk

portfolio choice | asset pricing | Risk aversion | Dividends | Betting | Asset markets | Investment risk | Lotteries | Inertia | Expected utility | Financial portfolios | Ambiguity | Portfolio choice | Asset pricing | SUBSTITUTION | RECURSIVE MULTIPLE-PRIORS | INFORMATION | RISK-AVERSION | MODEL UNCERTAINTY | PORTFOLIO SELECTION | CHOICE | BUSINESS, FINANCE | SUBJECTIVE-PROBABILITY | STOCHASTIC DIFFERENTIAL UTILITY | ECONOMICS | CONSUMPTION | portfolio choice; asset pricing | Economic research | Research | Valuation | Portfolio management | Financial risk

Journal Article

Theory and Decision, ISSN 0040-5833, 2/2013, Volume 74, Issue 2, pp. 285 - 310

This paper axiomatizes a recursive utility model that captures both intertemporal utility smoothing defined across time and ambiguity aversion defined over...

Utility smoothing | Gain/loss asymmetry | Game Theory, Economics, Social and Behav. Sciences | Economics / Management Science | Ambiguity aversion | Operations Research/Decision Theory | Economic Theory | Methodology of the Social Sciences | D90 | Game Theory/Mathematical Methods | Recursive utility | D81 | Discount factors | SUBSTITUTION | RECURSIVE MULTIPLE-PRIORS | RISK-AVERSION | EXPECTED UTILITY | SUBJECTIVE-PROBABILITY | PREFERENCES | SOCIAL SCIENCES, MATHEMATICAL METHODS | AMBIGUITY | ECONOMICS | CONSUMPTION | Studies | Utility functions | Uncertainty | Utilities | Equivalence | Mathematical analysis | Smoothing | Representations | Recursive | Ambiguity

Utility smoothing | Gain/loss asymmetry | Game Theory, Economics, Social and Behav. Sciences | Economics / Management Science | Ambiguity aversion | Operations Research/Decision Theory | Economic Theory | Methodology of the Social Sciences | D90 | Game Theory/Mathematical Methods | Recursive utility | D81 | Discount factors | SUBSTITUTION | RECURSIVE MULTIPLE-PRIORS | RISK-AVERSION | EXPECTED UTILITY | SUBJECTIVE-PROBABILITY | PREFERENCES | SOCIAL SCIENCES, MATHEMATICAL METHODS | AMBIGUITY | ECONOMICS | CONSUMPTION | Studies | Utility functions | Uncertainty | Utilities | Equivalence | Mathematical analysis | Smoothing | Representations | Recursive | Ambiguity

Journal Article

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Full Text
"Third down with a yard to go": Recursive expected utility and the Dixit-Skeath conundrum

Economics Letters, ISSN 0165-1765, 2001, Volume 73, Issue 3, pp. 275 - 286

In two-outcome strictly competitive games, equilibrium mixed strategies do not depend on ultimate prizes. Dixit and Skeath [Games of Strategy (1999) Norton,...

Recursive expected utility | Comparative statics | Non-expected utility | D81 | Strictly competitive games | C72 | ECONOMICS | strictly competitive games | recursive expected utility | non-expected utility | comparative statics

Recursive expected utility | Comparative statics | Non-expected utility | D81 | Strictly competitive games | C72 | ECONOMICS | strictly competitive games | recursive expected utility | non-expected utility | comparative statics

Journal Article

Journal of the European Economic Association, ISSN 1542-4766, 12/2013, Volume 11, Issue 6, pp. 1432 - 1456

We develop a model that explains the stylized facts of food scares: an immediate and sharp decline in consumption of the product followed by a slow and...

D81 | WELFARE | EXPECTED UTILITY | RISK PERCEPTION | DEMAND | RECURSIVE MULTIPLE-PRIORS | INFORMATION | CONTAMINATION | AMBIGUITY | AVERSION | ECONOMICS | DILATION | Studies | Consumption | Economic models | Decision making models | Scarcity | Perceptions | Food supply

D81 | WELFARE | EXPECTED UTILITY | RISK PERCEPTION | DEMAND | RECURSIVE MULTIPLE-PRIORS | INFORMATION | CONTAMINATION | AMBIGUITY | AVERSION | ECONOMICS | DILATION | Studies | Consumption | Economic models | Decision making models | Scarcity | Perceptions | Food supply

Journal Article