Author
Massimo Marinacci
Other affiliations: University of Turin, Collegio Carlo Alberto, University of Minnesota ...read more
Bio: Massimo Marinacci is an academic researcher from Bocconi University. The author has contributed to research in topics: Ambiguity & Ambiguity aversion. The author has an hindex of 47, co-authored 192 publications receiving 11242 citations. Previous affiliations of Massimo Marinacci include University of Turin & Collegio Carlo Alberto.
Papers published on a yearly basis
Papers
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TL;DR: In this article, the authors propose a model of preferences over acts such that the decision maker evaluates acts according to the expectation (over a set of probability measures) of an increasing transformation of an act's expected utility.
Abstract: We propose and axiomatize a model of preferences over acts such that the decision maker evaluates acts according to the expectation (over a set of probability measures) of an increasing transformation of an act's expected utility. This expectation is calculated using a subjective probability over the set of probability measures that the decision maker thinks are relevant given her subjective information. A key feature of our model is that it achieves a separation between ambiguity, identified as a characteristic of the decision maker's subjective information, and ambiguity attitude, a characteristic of the decision maker's tastes. We show that attitudes towards risk are characterized by the shape of the von Neumann-Morgenstern utility function, as usual, while attitudes towards ambiguity are characterized by the shape of the increasing transformation applied to expected utilities. We show that the negative exponential form of this transformation is the special case of constant ambiguity aversion. Ambiguity itself is defined behaviorally and is shown to be characterized by properties of the subjective set of measures. This characterization of ambiguity is formally related to the definitions of subjective ambiguity advanced by Epstein-Zhang (2001) and Ghirardato-Marinacci (2002). One advantage of this model is that the well-developed machinery for dealing with risk attitudes can be applied as well to ambiguity attitudes. The model is also distinct from many in the literature on ambiguity in that it allows smooth, rather than kinked, indifference curves. This leads to different behavior and improved tractability, while still sharing the main features (e.g., Ellsberg's Paradox, etc.). The Maxmin EU model (e.g., Gilboa and Schmeidler (1989)) with a given set of measures may be seen as an extreme case of our model with infinite ambiguity aversion. Two illustrative applications to portfolio choice are offered.
1,475 citations
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TL;DR: In this article, a model of preferences over acts is proposed and axiomatize, such that the decision maker will preference act f to act g if and only if Eμφ (Eπu ◦ f) ≥ Eπu g, where E is the expectation operator, u is a vN-M utility function, φ is an increasing transformation, and μ is a subjective probability over the set Π of probability measures π that thedecision maker thinks are relevant given his subjective information.
Abstract: We propose and axiomatize a model of preferences over acts such that the decision maker
prefers act f to act g if and only if Eμφ (Eπu ◦ f) ≥ Eμφ (Eπu ◦ g), where E is the
expectation operator, u is a vN-M utility function, φ is an increasing transformation,
and μ is a subjective probability over the set Π of probability measures π that the
decision maker thinks are relevant given his subjective information. A key feature of our
model is that it achieves a separation between ambiguity, identified as a characteristic
of the decision maker’s subjective information, and ambiguity attitude, a characteristic
of the decision maker’s tastes. We show that attitudes towards risk are characterized
by the shape of u, as usual, while attitudes towards ambiguity are characterized by the
shape of φ. We also derive φ (x) = −1
α
e−αx as the special case of constant ambiguity
aversion. Ambiguity itself is defined behaviorally and is shown to be characterized by
properties of the subjective set of measures Π. This characterization of ambiguity is
formally related to the definitions of subjective ambiguity advanced by Epstein-Zhang
(2001) and Ghirardato-Marinacci (2002). One advantage of this model is that the welldeveloped
machinery for dealing with risk attitudes can be applied as well to ambiguity
attitudes. The model is also distinct from many in the literature on ambiguity in that
allows smooth, rather than kinked, indifference curves. This leads to different behavior
and improved tractability, while still sharing the main features (e.g., Ellsberg’s Paradox,
etc.). The Maxmin EU model (e.g., Gilboa and Schmeidler (1989)) with a given set of
measures may be seen as an extreme case of our model with infinite ambiguity aversion.
Two illustrative applications to portfolio choice are offered.
1,285 citations
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TL;DR: In this article, the authors characterize the preferences for which there are a utility functionu on outcomes and an ambiguity indexc on the set of probabilities on the states of the world such that, for all acts f and g,
Abstract: We characterize, in the Anscombe–Aumann framework, the preferences for which there are a utility functionu on outcomes and an ambiguity indexc on the set of probabilities on the states of the world such that, for all acts f and g,
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The function u represents the decision maker's risk attitudes, while the index c captures his ambiguity attitudes. These preferences include the multiple priors preferences of Gilboa and Schmeidler and the multiplier preferences of Hansen and Sargent. This provides a rigorous decision-theoretic foundation for the latter model, which has been widely used in macroeconomics and finance.
1,014 citations
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TL;DR: This paper introduces a relation derived from the DM's preferences, called “unambiguous preference”, and shows that it can be represented by a set of probabilities, and argues that it is a behavioral representation of the “ambiguity” that the DM may perceive.
864 citations
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TL;DR: The authors proposed a notion of absolute ambiguity aversion by building on the notion of comparative ambiguity aversion, and characterized it for a preference model which encompasses some of the most popular models in the literature.
483 citations
Cited by
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TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.
Abstract: Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.
5,689 citations
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TL;DR: In this paper, a documento: "Cambiamenti climatici 2007: impatti, adattamento e vulnerabilita" voteato ad aprile 2007 dal secondo gruppo di lavoro del Comitato Intergovernativo sui Cambiamentsi Climatici (Intergovernmental Panel on Climate Change).
Abstract: Impatti, adattamento e vulnerabilita Le cause e le responsabilita dei cambiamenti climatici sono state trattate sul numero di ottobre della rivista Cda. Approfondiamo l’argomento presentando il documento: “Cambiamenti climatici 2007: impatti, adattamento e vulnerabilita” votato ad aprile 2007 dal secondo gruppo di lavoro del Comitato Intergovernativo sui Cambiamenti Climatici (Intergovernmental Panel on Climate Change). Si tratta del secondo di tre documenti che compongono il quarto rapporto sui cambiamenti climatici.
3,979 citations
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2,415 citations
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TL;DR: The Arrow-Pratt theory of risk aversion was shown to be isomorphic to the theory of optimal choice under risk in this paper, making possible the application of a large body of knowledge about risk aversion to precautionary saving.
Abstract: The theory of precautionary saving is shown in this paper to be isomorphic to the Arrow-Pratt theory of risk aversion, making possible the application of a large body of knowledge about risk aversion to precautionary saving, and more generally, to the theory of optimal choice under risk In particular, a measure of the strength of precautionary saving motive analogous to the Arrow-Pratt measure of risk aversion is used to establish a number of new propositions about precautionary saving, and to give a new interpretation of the Oreze-Modigliani substitution effect
1,944 citations