I am indebted to my advisor, Eddie Dekel, for his continuous guidance, support, and encouragement. I am grateful to Peter Klibanoff and Marciano Siniscalchi for many discussions which resulted in significant improvements of the paper. I would also like to thank Jeff Ely, Todd Sarver, and seminar audiences at Berkeley, Bocconi, CEMFI, Chicago, Collegio Carlo Alberto, Columbia, Duke (Fuqua), Harvard, Hebrew University, LSE, NYU (Econ and Stern), Northwestern, Penn, Princeton, Stanford (Econ and GSB), UCL, University of Iowa, University of Minnesota, Warwick, Washington University (Econ and Olin), Yale, and the Hansen–Sargent conference for graduate students. This project started after a very stimulating conversation with Tom Sargent and was further shaped by conversations with Lars Hansen. I am very grateful to the co-editor and three anonymous referees for their insightful and helpful comments. All errors are my own.
Axiomatic Foundations of Multiplier Preferences
Article first published online: 14 JAN 2011
© 2011 The Econometric Society
Volume 79, Issue 1, pages 47–73, January 2011
How to Cite
Strzalecki, T. (2011), Axiomatic Foundations of Multiplier Preferences. Econometrica, 79: 47–73. doi: 10.3982/ECTA8155
- Issue published online: 14 JAN 2011
- Article first published online: 14 JAN 2011
- Manuscript received September, 2008; final revision received August, 2010.
- Ambiguity aversion;
- model uncertainty;
This paper axiomatizes the robust control criterion of multiplier preferences introduced by Hansen and Sargent (2001). The axiomatization relates multiplier preferences to other classes of preferences studied in decision theory, in particular, the variational preferences recently introduced by Maccheroni, Marinacci, and Rustichini (2006a). This paper also establishes a link between the parameters of the multiplier criterion and the observable behavior of the agent. This link enables measurement of the parameters on the basis of observable choice data and provides a useful tool for applications.