Show simple item record

Randomization and Ambiguity Aversion

dc.contributor.authorKe, Shaowei
dc.contributor.authorZhang, Qi
dc.date.accessioned2020-06-03T15:22:19Z
dc.date.availableWITHHELD_12_MONTHS
dc.date.available2020-06-03T15:22:19Z
dc.date.issued2020-05
dc.identifier.citationKe, Shaowei; Zhang, Qi (2020). "Randomization and Ambiguity Aversion." Econometrica 88(3): 1159-1195.
dc.identifier.issn0012-9682
dc.identifier.issn1468-0262
dc.identifier.urihttps://hdl.handle.net/2027.42/155459
dc.publisherSpringer‐Verlag
dc.publisherWiley Periodicals, Inc.
dc.subject.otherambiguity
dc.subject.otherconvex preferences
dc.subject.otherhedging
dc.subject.otherRandomization
dc.titleRandomization and Ambiguity Aversion
dc.typeArticle
dc.rights.robotsIndexNoFollow
dc.subject.hlbsecondlevelEconomics
dc.subject.hlbtoplevelBusiness and Economics
dc.description.peerreviewedPeer Reviewed
dc.description.bitstreamurlhttps://deepblue.lib.umich.edu/bitstream/2027.42/155459/1/ecta200162.pdf
dc.description.bitstreamurlhttps://deepblue.lib.umich.edu/bitstream/2027.42/155459/2/ecta200162_am.pdf
dc.identifier.doi10.3982/ECTA15182
dc.identifier.sourceEconometrica
dc.identifier.citedreferenceLinhart, P., and R. Radner ( 1989 ): “ Minimax‐Regret Strategies for Bargaining Over Several Variables,” Journal of Economic Theory, 48 ( 1 ), 152 – 178.
dc.identifier.citedreferenceKlibanoff, P., M. Marinacci, and S. Mukerji ( 2005 ): “ A Smooth Model of Decision Making Under Ambiguity,” Econometrica, 73 ( 6 ), 1849 – 1892.
dc.identifier.citedreferenceKuzmics, C. ( 2017 ): “ Abraham Wald’s Complete Class Theorem and Knightian Uncertainty,” Games and Economic Behavior, 104, 666 – 673.
dc.identifier.citedreferenceLehmann, E. ( 1955 ): “ Ordered Families of Distributions,” Annals of Mathematical Statistics, 26 ( 3 ), 399 – 419.
dc.identifier.citedreferenceLehrer, E., and R. Teper ( 2011 ): “ Justifiable Preferences,” Journal of Economic Theory, 146 ( 2 ), 762 – 774.
dc.identifier.citedreferenceMaccheroni, F. ( 2002 ): “ Maxmin Under Risk,” Economic Theory, 19 ( 4 ), 823 – 831.
dc.identifier.citedreferenceMaccheroni, F., M. Marinacci, and A. Rustichini ( 2006 ): “ Ambiguity Aversion, Robustness, and the Variational Representation of Preferences,” Econometrica, 74 ( 6 ), 1447 – 1498.
dc.identifier.citedreferenceMachina, M. ( 1985 ): “ Stochastic Choice Functions Generated From Deterministic Preferences Over Lotteries,” Economic Journal, 95, 575 – 594.
dc.identifier.citedreferenceMachina, M., and D. Schmeidler ( 1992 ): “ A More Robust Definition of Subjective Probability,” Econometrica, 60 ( 4 ), 745 – 780.
dc.identifier.citedreferenceNehring, K. ( 2001 ): “ Ambiguity in the Context of Probabilistic Beliefs,” Unpublished Manuscript.
dc.identifier.citedreferenceOechssler, J., H. Rau, and A. Roomets ( 2019 ): “ Hedging, Ambiguity, and the Reversal of Order Axiom,” Games and Economic Behavior, 117, 380 – 387.
dc.identifier.citedreferenceRaiffa, H. ( 1961 ): “ Risk, Ambiguity, and the Savage Axioms: Comment,” Quarterly Journal of Economics, 75 ( 4 ), 690 – 694.
dc.identifier.citedreferenceRothschild, M., and J. Stiglitz ( 1970 ): “ Increasing Risk: I. A Definition,” Journal of Economic Theory, 2 ( 3 ), 225 – 243.
dc.identifier.citedreferenceSaito, K. ( 2011 ): “ Preference for Randomization and Ambiguity Aversion,” Unpublished Manuscript.
dc.identifier.citedreferenceSaito, K. ( 2013 ): “ Social Preferences Under Risk: Equality of Opportunity versus Equality of Outcome,” American Economic Review, 103 ( 7 ), 3084 – 3101.
dc.identifier.citedreferenceSaito, K. ( 2015 ): “ Preferences for Flexibility and Randomization Under Uncertainty,” American Economic Review, 105 ( 3 ), 1246 – 1271.
dc.identifier.citedreferenceSchmeidler, D. ( 1989 ): “ Subjective Probability and Expected Utility Without Additivity,” Econometrica, 57 ( 3 ), 571 – 587.
dc.identifier.citedreferenceSeo, K. ( 2009 ): “ Ambiguity and Second‐Order Belief,” Econometrica, 77 ( 5 ), 1575 – 1605.
dc.identifier.citedreferenceSiniscalchi, M. ( 2009 ): “ Vector Expected Utility and Attitudes Toward Variation,” Econometrica, 77 ( 3 ), 801 – 855.
dc.identifier.citedreferenceWolitzky, A. ( 2016 ): “ Mechanism Design With Maxmin Agents: Theory and an Application to Bilateral Trade,” Theoretical Economics, 11 ( 3 ), 971 – 1004.
dc.identifier.citedreferenceAgranov, M., and P. Ortoleva ( 2017 ): “ Stochastic Choice and Preferences for Randomization,” Journal of Political Economy, 125 ( 1 ), 40 – 68.
dc.identifier.citedreferenceAliprantis, D., and K. Border ( 2006 ): Infinite Dimensional Analysis ( Third Ed.). Berlin, Heidelberg: Springer‐Verlag.
dc.identifier.citedreferenceAnscombe, F., and R. Aumann ( 1963 ): “ A Definition of Subjective Probability,” Annals of Mathematical Statistics, 34 ( 1 ), 199 – 205.
dc.identifier.citedreferenceAntić, N. ( 2015 ): “ Contracting With Unknown Technologies,” Unpublished Manuscript.
dc.identifier.citedreferenceAuster, S. ( 2018 ): “ Robust Contracting Under Common Value Uncertainty,” Theoretical Economics, 13 ( 1 ), 175 – 204.
dc.identifier.citedreferenceBade, S. ( 2015 ): “ Randomization Devices and the Elicitation of Ambiguity‐Averse Preferences,” Journal of Economic Theory, 159 ( A ), 221 – 235.
dc.identifier.citedreferenceBaillon, A., Y. Halevy, and C. Li ( 2019 ): “ Experimental Elicitation of Ambiguity Attitude Using the Random Incentive System,” Unpublished Manuscript.
dc.identifier.citedreferenceBergemann, D., and K. Schlag ( 2008 ): “ Pricing Without Priors,” Journal of the European Economic Association, 6 ( 2/3 ), 560 – 569.
dc.identifier.citedreferenceBergemann, D., and K. Schlag ( 2011 ): “ Robust Monopoly Pricing,” Journal of Economic Theory, 146 ( 6 ), 2527 – 2543.
dc.identifier.citedreferenceBodoh‐Creed, A. ( 2012 ): “ Ambiguous Beliefs and Mechanism Design,” Games and Economic Behavior, 75 ( 2 ), 518 – 537.
dc.identifier.citedreferenceBose, S., and A. Daripa ( 2009 ): “ A Dynamic Mechanism and Surplus Extraction Under Ambiguity,” Journal of Economic Theory, 144 ( 5 ), 2084 – 2114.
dc.identifier.citedreferenceBose, S., and L. Renou ( 2014 ): “ Mechanism Design With Ambiguous Communication Devices,” Econometrica, 82 ( 5 ), 1853 – 1872.
dc.identifier.citedreferenceBose, S., E. Ozdenoren, and A. Pape ( 2006 ): “ Optimal Auctions With Ambiguity,” Theoretical Economics, 1 ( 4 ), 411 – 438.
dc.identifier.citedreferenceCarrasco, V., V. Farinha Luz, N. Kos, M. Messner, P. Monteiro, and H. Moreira ( 2018 ): “ Optimal Selling Mechanisms Under Moment Conditions,” Journal of Economic Theory, 177, 245 – 279.
dc.identifier.citedreferenceCarroll, G. ( 2015 ): “ Robustness and Linear Contracts,” American Economic Review, 105 ( 2 ), 536 – 563.
dc.identifier.citedreferenceCarroll, G. ( 2017 ): “ Robustness and Separation in Multidimensional Screening,” Econometrica, 85 ( 2 ), 453 – 488.
dc.identifier.citedreferenceCarroll, G., and I. Segal ( 2019 ): “ Robustly Optimal Auctions With Unknown Resale Opportunities,” Review of Economic Studies, 86 ( 4 ), 1527 – 1555.
dc.identifier.citedreferenceCerreia‐Vioglio, S. ( 2009 ): “ Maxmin Expected Utility on a Subjective State Space: Convex Preferences Under Risk,” Unpublished Manuscript.
dc.identifier.citedreferenceCerreia‐Vioglio, S., D. Dillenberger, and P. Ortoleva ( 2015 ): “ Cautious Expected Utility and the Certainty Effect,” Econometrica, 83 ( 2 ), 693 – 728.
dc.identifier.citedreferenceCerreia‐Vioglio, S., D. Dillenberger, P. Ortoleva, and G. Riella ( 2019 ): “ Deliberately Stochastic,” American Economic Review, 109 ( 7 ), 2425 – 2445.
dc.identifier.citedreferenceCerreia‐Vioglio, S., F. Maccheroni, M. Marinacci, and L. Montrucchio ( 2011 ): “ Uncertainty Averse Preferences,” Journal of Economic Theory, 146 ( 4 ), 1275 – 1330.
dc.identifier.citedreferenceCerreia‐Vioglio, S., F. Maccheroni, and M. Marinacci ( 2017 ): “ Stochastic Dominance Analysis Without the Independence Axiom,” Management Science, 63 ( 4 ), 1097 – 1109.
dc.identifier.citedreferencede Castro, L., and N. Yannelis ( 2018 ): “ Uncertainty, Efficiency and Incentive Compatibility: Ambiguity Solves the Conflict Between Efficiency and Incentive Compatibility,” Journal of Economic Theory, 177, 678 – 707.
dc.identifier.citedreferencede Castro, L., Z. Liu, and N. Yannelis ( 2017 )a: “ Ambiguous Implementation: The Partition Model,” Economic Theory, 63 ( 1 ), 233 – 261.
dc.identifier.citedreferencede Castro, L., Z. Liu, and N. Yannelis ( 2017 )b: “ Implementation Under Ambiguity,” Games and Economic Behavior, 101, 20 – 33.
dc.identifier.citedreferenceDi Tillio, A., N. Kos, and M. Messner ( 2017 ): “ The Design of Ambiguous Mechanisms,” Review of Economic Studies, 84 ( 1 ), 237 – 276.
dc.identifier.citedreferenceDominiak, A., and W. Schnedler ( 2011 ): “ Attitudes Toward Uncertainty and Randomization: An Experimental Study,” Economic Theory, 48 ( 2–3 ), 289 – 312.
dc.identifier.citedreferenceDubra, J., F. Maccheroni, and E. Ok ( 2004 ): “ Expected Utility Theory Without the Completeness Axiom,” Journal of Economic Theory, 115 ( 1 ), 118 – 133.
dc.identifier.citedreferenceDwenger, N., D. Kübler, and G. Weizsäcker ( 2018 ): “ Flipping a Coin: Evidence From Laboratory and Field,” Journal of Public Economics, 167, 240 – 250.
dc.identifier.citedreferenceEasley, D., and M. O’Hara ( 2010 ): “ Microstructure and Ambiguity,” Journal of Finance, 65 ( 5 ), 1817 – 1846.
dc.identifier.citedreferenceEasley, D., M. O’Hara, and L. Yang ( 2014 ): “ Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation,” Review of Financial Studies, 27 ( 4 ), 1190 – 1237.
dc.identifier.citedreferenceEllsberg, D. ( 1961 ): “ Risk, Ambiguity, and the Savage Axioms,” Quarterly Journal of Economics, 75 ( 4 ), 643 – 669.
dc.identifier.citedreferenceEpstein, L., and M. Schneider ( 2010 ): “ Ambiguity and Asset Markets,” Annual Review of Financial Economics, 2, 315 – 346.
dc.identifier.citedreferenceEpstein, L., M. Marinacci, and K. Seo ( 2007 ): “ Coarse Contingencies and Ambiguity,” Theoretical Economics, 2 ( 4 ), 355 – 394.
dc.identifier.citedreferenceFleurbaey, M. ( 2010 ): “ Assessing Risky Social Situations,” Journal of Political Economy, 118 ( 4 ), 649 – 680.
dc.identifier.citedreferenceFrick, M., R. Iijima, and Y. Le Yaouanq ( 2019 ): “ Boolean Representations of Preferences Under Ambiguity,” Unpublished Manuscript.
dc.identifier.citedreferenceFudenberg, D., R. Iijima, and T. Strzalecki ( 2015 ): “ Stochastic Choice and Revealed Perturbed Utility,” Econometrica, 83 ( 6 ), 2371 – 2409.
dc.identifier.citedreferenceGajdos, T., and E. Maurin ( 2004 ): “ Unequal Uncertainties and Uncertain Inequalities: An Axiomatic Approach,” Journal of Economic Theory, 116 ( 1 ), 93 – 118.
dc.identifier.citedreferenceGhirardato, P., and M. Marinacci ( 2001 ): “ Risk, Ambiguity and the Separation of Utility and Beliefs,” Mathematics of Operations Research, 26 ( 4 ), 864 – 890.
dc.identifier.citedreferenceGhirardato, P., F. Maccheroni, and M. Marinacci ( 2004 ): “ Differentiating Ambiguity and Ambiguity Attitude,” Journal of Economic Theory, 118 ( 2 ), 133 – 173.
dc.identifier.citedreferenceGilboa, I., and D. Schmeidler ( 1989 ): “ Maxmin Expected Utility With Non‐Unique Prior,” Journal of Mathematical Economics, 18 ( 2 ), 141 – 153.
dc.identifier.citedreferenceHansen, L., and T. Sargent ( 2010 ): “ Wanting Robustness in Macroeconomics,” in Handbook of Monetary Economics, Vol. 3B. North Holland, Chapter 20, 1097 – 1157.
dc.identifier.citedreferenceIlut, C., M. Kehrig, and M. Schneider ( 2018 ): “ Slow to Hire, Quick to Fire: Employment Dynamics With Asymmetric Responses to News,” Journal of Political Economy, 126 ( 5 ), 2011 – 2071.
dc.owningcollnameInterdisciplinary and Peer-Reviewed


Files in this item

Show simple item record

Remediation of Harmful Language

The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.

Accessibility

If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.