Ambiguity aversion, robustness, and the variational representation of preferences

Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini

Research output: Contribution to journalArticlepeer-review

507 Scopus citations


We characterize, in the Anscombe-Aumann framework, the preferences for which there are a utility function u on outcomes and an ambiguity index c on the set of probabilities on the states of the world such that, for all acts f and g, f ≳ g ⇔ minp(∫ u(f)dp + c(p) ≥ min p(∫ u(g)dp + c(p)). 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.

Original languageEnglish (US)
Pages (from-to)1447-1498
Number of pages52
Issue number6
StatePublished - Nov 2006


  • Ambiguity aversion
  • Model uncertainty
  • Robustness


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