Sujoy Mukerji

Profile

Sujoy Mukerji did his undergraduate studies in Presidency College, Calcutta, before going on to do an MA (Economics) at the Delhi School of Economics and a PhD at Yale University. He came to Queen Mary from Oxford University (University College).

His research has primarily been on decision making under ambiguity, its foundations and its relevance in economic contexts. His broader research interests lie in the intersection of bounded rationality and economic theory.

Ambiguity, or lack of good knowledge of probabilities affecting contingent outcomes of a chosen action, is pervasive in economic decision making. It is not particular to the ill- informed and less sophisticated, since it is often hard to distinguish (on the basis of historical data) between different models providing distinct (stochastic) forecasts of relevant financial variables. Hence, it can be prudent to choose actions that are robust to the uncertainty about the “correct” model.

Work co-authored with Peter Klibanoff and Massimo Marinacci formulated a new model of decision making under ambiguity, dubbed the "Smooth Ambiguity Model" which is more comprehensive than the "first-generation" models and allows the modeller to address a far greater range of important comparative static questions, e.g., effect of changes in ambiguity aversion.

More recent work, with Ian Jewitt, has proposed and characterized notions of more ambiguous (akin to more risky) which adds another dimension of available comparative static possibilities.

The smooth ambiguity framework has been extended to accommodate models involving dynamic decision making and applied to the analyses of financial decision making, re-exploring among other things the famous equity premium puzzle.

His current projects include work on incorporating ambiguity into a general framework of dynamic games with incomplete information and applying the framework in economic contexts. Some other projects involve analysis of portfolio holdings and trade in financial markets when market participants have heterogeneous attitudes to ambiguity. He has also recently worked on experimental investigation of decision theoretic models of ambiguity.

Editorial services:

Associate Editor, Oxford Economic Papers, 2006 (Sept) - 2015 (Sept)

Associate Editor, Theory and Decision, 2008 (January)

Associate Editor, Econometrica, 2010 (July) - 

Co-editor, Mathematics and Financial Economics, 2019 - 

Research

Publications

Several of these publications may be downloaded from my Google Scholar page. 

To request working paper versions of the published papers please email: s.mukerji@qmul.ac.uk

• Ambiguous Business Cycles: A Quantitative Assessment [PDF 598KB], with S Altug, F Collard, C Çakmaklı and Han Özsöylev, forthcoming in Review of Economic Dynamics.
• Incomplete Information Games with Ambiguity Averse Players [PDF 354KB], with E Hanany and P Klibanoff, American Economic Journal: Microeconomics, 12 (2): 135-87, 2020
• Discriminating between Models of Ambiguity Attitude: A Qualitative Test, with R. Cubitt and G. van de Kuilen, Journal of the European Economic Association, 18(2):708–749, 2020
• Market allocations under ambiguity: A survey, with A Billot and JM Tallon, Revue Economique, 71(2): 267-282, 2020
• The Strength of Sensitivity to Ambiguity, with R. Cubitt and G. van de Kuilen, Theory and Decision, 85(3–4), pp 275–302, 2018
• Ambiguity and the Historical Equity Premium, with F. Collard, K. Sheppard, J-M Tallon, Quantitative Economics, 9, pp. 945-993, 2018
• Symmetry axioms and perceived ambiguity, with P. Klibanoff and K. Seo, Mathematics and Financial Economics, 12, pp. 33–54, 2018
• Ordering ambiguous acts, with I. Jewitt, Journal of Economic Theory Volume 171, Pages 213-267, 2017
• Perceived Ambiguity and Relevant Measures, with P. Klibanoff and K. Seo, Econometrica, 82(5), pp. 1945–1978, 2014
• On the Smooth Ambiguity Model: A Reply, with P. Klibanoff and M. Marinacci, Econometrica, 80(3), pp. 1303–1321, 2012
• Definitions of Ambiguous Events and the Smooth Ambiguity Model, with P. Klibanoff and M. Marinacci, Economic Theory, 48(2), pp. 399–424, 2011
• Foundations of ambiguity and economic modeling, Economics and Philosophy, 25, pp. 297-302, 2009
• Recursive Smooth Ambiguity Preferences, with P. Klibanoff and M. Marinacci, Journal of Economic Theory, 144, pp. 930–976, 2009
• Comment on "Ellsberg 2-Color Experiment, Portfolio Inertia and Ambiguity," with Y. Higashi, N. Takeoka and J-M Tallon, International Journal of Economic Theory, 4(3), pp. 433-444, 2008
• A Smooth Model of Decision Making under Ambiguity, with P. Klibanoff and M. Marinacci, Econometrica 73, pp. 1849-1892, 2005
• Ambiguity Aversion and the absence of indexed debt, with J-M Tallon, Economic Theory, 24(3), pp. 665-685, 2004. Reprinted in a longer version in Essays in Dynamic General Equilibrium Theory: Festschrift for David Cass Series: Studies in Economic Theory, Vol. 20; eds.  A. Citanna, J. Donaldson, H. Polemarchakis, P. Siconolfi, S. Spear: Springer Verlag, 2005
• Ambiguity Aversion and the absence of Wage Indexation, with J-M Tallon, Journal of Monetary Economics, 51, pp. 653-670, 2004
• Ellsberg 2-Color Experiment, Portfolio Inertia and Ambiguity, with J-M Tallon, Journal of Mathematical Economics, 39, pp. 299-316, 2003
• Equilibrium Departures from Common Knowledge in Games with Non-Additive Expected Utility, with H. S. Shin, Advances in Theoretical Economics: Vol. 2: No. 1, Article 2, 2002. Reprinted in Special Collection in Behavioral Economics, B.E, Journal of Theoretical Economics, 2010, http://www.bepress.com/bejte/advances/vol2/iss1/art2
• Ambiguity Aversion and Incompleteness of Financial Markets, with J-M Tallon, Review of Economic Studies, 68, pp. 883-904, 2001. Reprinted in "Uncertainty in Economic Theory: A collection of essays in honor of David Schmeidler's 65th birthday," edited by Itzhak Gilboa. Routledge (2004)
• A Survey of Some Applications of the Idea of Ambiguity Aversion in Economics, International Journal of Approximate Reasoning, 24, pp 221-234, 2000
• Ambiguity Aversion and the Incompleteness of Contractual Form, American Economic Review, 88, pp. 1207-1232, 1998. Reprinted in "Uncertainty in Economic Theory: A collection of essays in honor of David Schmeidler's 65th birthday," edited by Itzhak Gilboa, Routledge, 2004. Reprinted in "Law and Economics of Uncertainty", edited by Joshua C. Teitelbaum, part of the series, Economic Approaches to Law, ed(s). Richard Posner and Francesco Parisi. Edward Elgar.
• Understanding the Non-additive Probability Decision Model, Economic Theory, 9, pp. 23-46, 1997

Other publications in academic journals/books:

• "Ambiguity and economic activity: Implications for the current crises in credit markets" in The Economic Crisis and the State of Economics, edited by Robert Skidelsky, Palgrave Macmillan, 2010
• "An Overview of Economic Applications of David Schmeidler’s Models Of Decision Making Under Uncertainty" in Uncertainty in Economic Theory: A collection of essays in honor of David Schmeidler's 65th birthday, edited by Itzhak Gilboa, Routledge, 2004, with J-M Tallon.
• "Review of Risk, Ambiguity and Decision by D. Ellsberg" in Economic Journal, 113, pp. F187-F188, 2003

Research mimeographs:

• Incomplete Information Games with Smooth Ambiguity Preferences [PDF 530KB], 2016, with E. Hanany and P. Klibanoff.
• Ambiguity Aversion and Cost-Plus Procurement Contracts, Discussion Paper Series, Dept. of Economics, Oxford University, 2006.
• A Theory of Play for Games in Strategic Form when Rationality is not Common Knowledge, mimeo, University of Southampton Department of Economics Discussion Paper, 1997.

Public Engagement

Editorial services:

Associate Editor, Oxford Economic Papers, 2006 (Sept) - 2015 (Sept)

Associate Editor, Theory and Decision, 2008 (January)

Associate Editor, Econometrica, 2010 (July) - 2019 (June)

Co-editor, Mathematics and Financial Economics, 2019 -