Raiffa (1961) criticizes ambiguity-averse preferences by claiming that hedging is possible with randomization of choices. We argue that the timing of randomization is crucial for hedging: If the decision maker thinks that the randomization is ex ante (i.e., before a realization of a state) then it provides no hedging; if it is ex post (i.e., after a realization of a state) then it provides hedg...

We present a novel formulation of nonstationary autoregressive (AR) models in terms of time-frequency (TF) shifts. The parameters of the proposed TFAR model are determined by “TF Yule-Walker equations” that involve the expected ambiguity function and can be solved efficiently due to their block-Toeplitz structure. For moderate model orders, we also propose approximate TF Yule-Walker equations t...

This paper considers the impact of ambiguity in strategic situations. It extends the existing literature on games with ambiguity-averse players by allowing for optimistic responses to ambiguity. We use the CEU model of ambiguity with a class of capacities introduced by Jaffray and Philippe (1997), which allows us to distinguish ambiguity from ambiguity-attitude, and propose a new solution conce...

At any given point in time, the collection of assets that exist in the economy is observable. Each asset is a function of a set of contingencies. The union taken over all assets of these contingencies is what we call the set of publicly known states. An innovation is a set of states that are not publicly known along with an asset (in a broad sense) that pays contingent on those states. The crea...

The time-frequency (TF) version of the wavelet transform and the “affine” quadraticlbilinear TF representations can be used for a TF analysis with constant-Q characteristic. This paper considers a new approach to constant-Q TF analysis. A specific TF warping transform is applied to Cohen’s class of quadratic TF representations, which results in a new class of quadratic TF representations with c...

2. QUADRATIC TIME-FREQUENCY DISTRIBUTIONS AND AMBIGUITY FUNCTION In this paper, the properties Of the recently Proposed B-distribution are investigated. We show that this distribution satisfies most of the desirable properties sought for a time-frequency distribution. Quadratic (also known as Cohen’s) class of time-frequency distributions is defined by the following expression [31: That is, we ...

A new kind of ambiguity function (AF) associated with the linearcanonical transform (LCT) is proposed in this article, this new AF is defined based on the LCT and the classical AF. Firstly, the main properties and physical meanings of the newly defined AF are investigated, the results show that this kind of AF can be seen as one generalization of the classical AF. Then, the newly defined AF is ...

In this paper, I show that persistent pricing anomalies are consistent with a market that includes ambiguity averse investors. In particular, I show that ambiguity averse investors may prefer to trade based on aggregate signals that reduce ambiguity at the cost of a loss in information. Because the aggregate signals preferred by ambiguity averse investors are not sufficient statistics for the c...

This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor’s behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedgin...

The high-order ambiguity function (HAF) was introduced for the estimation of polynomial-phase signals (PPS) embedded in noise. Since the HAF is a nonlinear operator, it suffers from noise-masking effects and from the appearance of undesired crossterms whenmulticomponents PPS are analyzed. In order to improve the performances of the HAF, the multi-lag HAF concept was proposed. Based on this appr...