The dual theory of the smooth ambiguity model

DOI10.1007/s00199-013-0779-6zbMath1307.91060OpenAlexW1977459696MaRDI QIDQ2249574

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 aversioncomparative staticssmooth ambiguity model

Mathematics Subject Classification ID

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

Related Items

Restricted increases in risk aversion and their application ⋮ Portfolio choice in the model of expected utility with a safety-first component ⋮ Continuous-time smooth ambiguity preferences ⋮ AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL ⋮ Optimal insurance design of ambiguous risks ⋮ 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

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