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Ambiguity Revealed

Bayer, Ralph-C and Bose, Subir and Polisson, Matthew and Renou, Ludovic (2013) Ambiguity Revealed. Working Paper. University of Adelaide, School of Economics Working Papers 2013-05.

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We derive necessary and sufficient conditions for data sets composed of state-contingent prices and consumption to be consistent with two prominent models of decision making under uncertainty: variational preferences and smooth ambiguity. The revealed preference conditions for subjective expected utility, maxmin expected utility, and multiplier preferences are characterized as special cases. We implement our tests on data from a portfolio choice experiment.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: ambiguity; expected utility; maxmin; revealed preference; smooth; uncertainty; variational.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 14 Jan 2015 13:33
Last Modified: 14 Jan 2015 13:33

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