Decreasing aversion under ambiguity

DOI10.1016/j.jet.2015.01.002zbMath1330.91172OpenAlexW2084851587MaRDI QIDQ894043

Christian Gollier, Frédéric Cherbonnier

Publication date: 23 November 2015

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/16899/1/cherbonnier_16899.pdf

zbMATH Keywords

portfolio choicemaxmin\(\alpha\)-MEUdecreasing concavitysmooth ambiguity aversion

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (9)

Objective rationality foundations for (dynamic) \(\alpha\)-MEU ⋮ Preferences with changing ambiguity aversion ⋮ Testing constant absolute and relative ambiguity aversion ⋮ The Myopic Property in Decision Models ⋮ Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility ⋮ Sequential auctions with ambiguity ⋮ Ambiguity aversion and wealth effects ⋮ Income inequality and risk taking: the impact of social comparison information ⋮ Portfolio choices: comparative statics under both expected return and volatility uncertainty

Cites Work

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• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• Risk Aversion in the Small and in the Large
• A Smooth Model of Decision Making under Ambiguity

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