Purely subjective variational preferences

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Variational preferences (Maccheroni, Marinacci and Rustichini, 2006) are an important class of ambiguity averse preferences, compatible with Ellsberg-type phenomena. In this paper, a new foundation for variational preferences is derived in a framework of two-stages of purely subjective uncertainty. A similar foundation is obtained for purely subjective maxmin expected utility (Gilboa and Schmeidler, 1989). By establishing their axiomatic foundations without the use of extraneous probabilities, the conceptual appeal and applicability of these ambiguity models is enhanced. Keywords: Variational preferences, ambiguity aversion, subjective uncertainty.
JEL Classification: D81
Original languageEnglish
Pages (from-to)121–137
JournalEconomic Theory
Publication statusPublished - 5 Oct 2016


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