The B.E. Journal of Theoretical Economics
Editor-in-Chief: Schipper, Burkhard
Ed. by Fong, Yuk-fai / Peeters, Ronald / Puzzello , Daniela / Rivas, Javier
IMPACT FACTOR increased in 2015: 0.412
5-year IMPACT FACTOR: 0.471
SCImago Journal Rank (SJR) 2014: 0.581
Source Normalized Impact per Paper (SNIP) 2014: 0.516
Impact per Publication (IPP) 2014: 0.387
Mathematical Citation Quotient (MCQ) 2014: 0.08
Updating Ambiguity Averse Preferences
Citation Information: The B.E. Journal of Theoretical Economics. Volume 9, Issue 1, ISSN (Online) 1935-1704, DOI: 10.2202/1935-1704.1547, November 2009
- Published Online:
Dynamic consistency leads to Bayesian updating under expected utility. We ask what it implies for the updating of more general preferences. In this paper, we characterize dynamically consistent update rules for preference models satisfying ambiguity aversion. This characterization extends to regret-based models as well. As applications of our general result, we characterize dynamically consistent updating for two important models of ambiguity averse preferences: the ambiguity averse smooth ambiguity preferences (Klibanoff, Marinacci and Mukerji [Econometrica 73 2005, pp. 1849-1892]) and the variational preferences (Maccheroni, Marinacci and Rustichini [Econometrica 74 2006, pp. 1447-1498]). The latter includes max-min expected utility (Gilboa and Schmeidler [Journal of Mathematical Economics 18 1989, pp. 141-153]) and the multiplier preferences of Hansen and Sargent [American Economic Review 91(2) 2001, pp. 60-66] as special cases. For smooth ambiguity preferences, we also identify a simple rule that is shown to be the unique dynamically consistent rule among a large class of rules that may be expressed as reweightings of the Bayes' rule.
Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.