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- W2099753359 abstract "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." @default.
- W2099753359 created "2016-06-24" @default.
- W2099753359 creator A5040739471 @default.
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- W2099753359 date "2009-11-24" @default.
- W2099753359 modified "2023-09-23" @default.
- W2099753359 title "Updating Ambiguity Averse Preferences" @default.
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- W2099753359 doi "https://doi.org/10.2202/1935-1704.1547" @default.
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