Prospect Theory: For Risk and Ambiguity, provides a comprehensive and accessible
textbook treatment of the way decisions are made both when we have the statistical …

Models of utility in stochastic continuous–time settings typically assume that beliefs are
represented by a probability measure, hence ruling out a priori any concern with ambiguity …

This paper axiomatizes an intertemporal version of multiple-priors utility. A central axiom is
dynamic consistency, which leads to a recursive structure for utility, to 'rectangular'sets of …

An extension to Ellsberg's experiment demonstrates that attitudes to ambiguity and
compound objective lotteries are tightly associated. The sample is decomposed into three …

John and Lisa are offered additional insurance against the risk of a heart disease. They
would like to know the probability of developing such a disease over the next 10 years. The …

The phenomena of ambiguity and ambiguity aversion, introduced in Daniel Ellsberg's
seminal 1961 article, are ubiquitous in the real world and violate both the key rationality …

The theory of subjective expected utility has been recently extended to allow ambiguity to
matter for choice. We propose a notion of absolute ambiguity aversion by building on a …

We introduce a general model of static choice under uncertainty, arguably the weakest
model achieving a separation of cardinal utility and a unique representation of beliefs. Most …

We provide a user's guide to exotic preferences: nonlinear time aggregators, departures
from expected utility, preferences over time with known and unknown probabilities, risk …

This paper proposes a model of decision under ambiguity deemed vector expected utility, or
VEU. In this model, an uncertain prospect, or Savage act, is assessed according to (a) a …