520. The Structure of Variational Preferences
by S. Cerreia-Vioglio, F. Maccheroni, M. Marinacci, and A. Rustichini
Maccheroni, Marinacci, and Rustichini , in an Anscombe-Aumann framework, axiomatically characterize preferences that are represented by the variational utility functional
where u is a utility function on outcomes and c is an index of uncertainty aversion. In this paper, for a given variational preference, we study the class of functions c that represent V. Inter alia, we show that this set is fully characterized by a minimal and a maximal element, c* and d*. The function c*, also identi
ed by Maccheroni, Marinacci, and Rustichini , fully characterizes the decision maker's attitude toward uncertainty, while the novel function d* characterizes the uncertainty perceived by the decision maker.