Robustifying the Classical Model of Risk Preferences and Beliefs

UCSD Economics Discussion Paper No. 2002-06

Posted: 10 Sep 2002

See all articles by Mark J. Machina

Mark J. Machina

University of California at San Diego

Date Written: March 2002

Abstract

Robustify - To identify the analytical aspects of a model that continue to hold under more general conditions. This usually requires expressing the model and its results in a particular manner, as statements that may be logically equivalent under the assumptions of a given model can differ widely in their robustness to dropping these assumptions. E.g.: "By expressing the classical expected utility/subjective probability model in event-theoretic terms, its basic concepts, tools and results can be locally and globally robustified to general 'event-smooth' preferences over subjectively uncertain acts that do not necessarily exhibit either expected utility risk preferences or probabilistic beliefs."

Keywords: Uncertainty, Risk, Subjective Probability

JEL Classification: D81

Suggested Citation

Machina, Mark J., Robustifying the Classical Model of Risk Preferences and Beliefs (March 2002). UCSD Economics Discussion Paper No. 2002-06. Available at SSRN: https://ssrn.com/abstract=313835

Mark J. Machina (Contact Author)

University of California at San Diego ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-2391 (Phone)
858-534-7040 (Fax)

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