The structure of variational preferences

Maccheroni, Marinacci, and Rustichini (2006), in an Anscombe–Aumann framework, axiomatically characterize preferences that are represented by the variational utility functional V. In this paper, for a given variational preference, we study the class C of functions c that represent V. Inter alia, we show that this set is fully characterized by a minimal and a maximal element. The minimal element, also identified by Maccheroni, Marinacci, and Rustichini (2006), fully characterizes the decision maker’s attitude toward uncertainty, while the novel maximal element characterizes the uncertainty perceived by the decision maker.