Recursive multiple-priors

被引：368

作者：

Epstein, LG

Schneider, M

机构：

[1] Univ Rochester, Dept Econ, Rochester, NY 14627 USA

[2] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA

来源：

JOURNAL OF ECONOMIC THEORY | 2003年 / 113卷 / 01期

基金：

美国国家科学基金会;

关键词：

ambiguity; multiple-priors; dynamic consistency; Ellsberg paradox; robust control; updating beliefs; recursive utility;

D O I：

10.1016/S0022-0531(03)00097-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 priors and to prior-by-prior Bayesian updating as the updating rule for such sets of priors. It is argued that dynamic consistency is intuitive in a wide range of situations and that the model is consistent with a rich set of possibilities for dynamic behavior under ambiguity. (C) 2003 Elsevier Science (USA). All rights reserved.

引用

页码：1 / 31

页数：31

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ANDERSON EL, 2000, UNPUB ROBUSTNESS DET

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