Updating Ambiguity Averse Preferences
Updating Ambiguity Averse Preferences
复制标题
更新厌恶歧义的偏好
DOI：
10.2202/1935-1704.1547
复制
发表时间：
2009
期刊：
影响因子：
--
通讯作者：
Peter Klibanoff
中科院分区：
文献类型：
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作者：
Eran Hanany;Peter Klibanoff
动态一致性导致期望效用下的贝叶斯更新。我们要问的是，这对更新更普遍的偏好意味着什么。本文刻画了满足歧义规避的偏好模型的动态一致更新规则。这种特征也延伸到基于后悔的模型。作为我们的一般结果的应用，我们描述了两个重要的模糊厌恶偏好模型的动态一致更新：模糊厌恶平滑模糊偏好（Klibanoff，Marinacci和Mukerji [Econometrica 73 2005，pp. 1849-1892]）和变分偏好（Maccheroni，Marinacci和Rustichini [Econometrica 74 2006，pp. 1447-1498]）。后者包括最大-最小期望效用（吉尔博亚和Schmeidler [Journal of Mathematical Economics 18 1989，pp. 141-153]）和汉森和萨金特的乘数偏好[美国经济评论91（2）2001，pp. 60-66]作为特殊情况。对于平滑模糊偏好，我们还确定了一个简单的规则，这是唯一的动态一致的规则之间的一大类规则，可以表示为重新加权的贝叶斯规则。
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.