Probabilistically Sophisticated Multiple Priors

Simon Harold Grant · Atsushi Kajii

7 citations0/0 files storedRePEc: Research Papers in Economics

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Decision-Making and Behavioral Economics Game Theory and Applications Bayesian Modeling and Causal Inference

Abstract

We characterize the intersection of the probabilistically sophisticated and multiple prior models. We show this class is strictly larger than the subjective expected utility model and that its elements can be generated from a generalized class of the -contaminated priors, which we dub the - contaminated/ -truncated prior.

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References

1989Maxmin expected utility with non-unique prior 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences 1992A More Robust Definition of Subjective Probability 1999A Definition of Uncertainty Aversion 2002Ambiguity Made Precise: A Comparative Foundation 2001Subjective Probabilities on Subjectively Unambiguous Events 2002Probabilistic Sophistication and Multiple Priors 1998Constant Risk Aversion

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2008Subjective Beliefs and ex ante Trade 2010Probabilistic Sophistication and Variational Preferences 2010Risk aversion for variational and multiple-prior preferences 2025The roles of subjective/objective probabilities in representation of preferences under uncertainty

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