The dual theory of the smooth ambiguity model

DOI10.1007/S00199-013-0779-6MaRDI QIDQ2249574zbMATH OpenOpenAlexFDO

Authors Yusuke Osaki, Hideki Iwaki

Publication date 2 July 2014

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-013-0779-6

zbMATH Keywords

ambiguityambiguity aversionsmooth ambiguity modelcomparative statics

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3784589 (Why is no real title available?)
• scientific article; zbMATH DE number 3348831 (Why is no real title available?)
• A Smooth Model of Decision Making under Ambiguity
• Ambiguity and Second-Order Belief
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• Monotone Comparative Statics under Uncertainty
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Portfolio choices and asset prices: the comparative statics of ambiguity aversion
• Prospect theory. For risk and ambiguity.
• Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results
• Risk, ambiguity and the Savage axioms
• Second-order ambiguous beliefs
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach
• The economics of risk and time

Cited in

(14)

• A dual approach to ambiguity aversion
• Restricted increases in risk aversion and their application
• Second-order uncertainty and naive diversification
• Continuous-time smooth ambiguity preferences
• Optimal investment in ambiguous financial markets with learning
• Optimal insurance design of ambiguous risks
• A paradox for the ``smooth ambiguity model of preference
• Definitions of ambiguous events and the smooth ambiguity model
• On ambiguity apportionment
• An economic premium principle under the dual theory of the smooth ambiguity model
• Decision making in phantom spaces
• Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
• Comparative ambiguity aversion and downside ambiguity aversion
• Portfolio choice in the model of expected utility with a safety-first component

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