zbMATH — the first resource for mathematics

The epsilon-Gini-contamination multiple priors model admits a linear-mean-standard-deviation utility representation. (English) Zbl 1255.91254
Summary: We introduce the \(\epsilon \)-Gini-contamination multiple priors model in which the set of priors are those probability measures that are ‘close’ to a central \(P\) with respect to the relative Gini concentration index. We show that such preferences can be represented by a linear-mean-standard-deviation utility function on a restricted domain.

91B62 Economic growth models
62A01 Foundations and philosophical topics in statistics
60B10 Convergence of probability measures
Full Text: DOI
[1] Gilboa, Itzhak; Schmeidler, David, Maxmin expected utility with a non-unique prior, Journal of mathematical economics, 18, 141-153, (1989) · Zbl 0675.90012
[2] Kogan, L., Wang, T., 2002. A Simple Theory of Asset Pricing under Model Uncertainty, mimeo (http://finance.sauder.ubc.ca/ wang/papers/KoganWang.pdf).
[3] Maccheroni, Fabio, Massimo Marinacci Aldo Rustichini, in press. Ambiguity aversion, robustness, and the variational representation of preferences Econometrica. · Zbl 1187.91066
[4] Machina, Mark; Schmeidler, David, A more robust definition of subjective probability, Econometrica, 60, 745-780, (1992) · Zbl 0763.90012
[5] Quiggin, John; Chambers, Robert G., Risk premiums and benefit measures for generalized expected utility theories, Journal risk and uncertainty, 17, 121-137, (1998) · Zbl 0917.90021
[6] Quiggin, John; Chambers, Robert G., Invariant risk attitudes, Journal of economic theory, 117, 96-118, (2004) · Zbl 1086.91037
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.