Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
From MaRDI portal
Publication:4006264
DOI10.2307/2951685zbMath0756.90002OpenAlexW2069107031MaRDI QIDQ4006264
Sérgio Ribeiro da Costa Werlang, James P. jun. Dow
Publication date: 26 September 1992
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2951685
Related Items
Implied trees in illiquid markets: A Choquet pricing approach ⋮ Liquidity and credit risk ⋮ Credibilistic risk aversion ⋮ Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity ⋮ Optimality in an OLG model with nonsmooth preferences ⋮ Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach ⋮ Doubts about the model and optimal policy ⋮ Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity ⋮ A test of (weak) certainty independence ⋮ Using Fuzzy Set Theory to Analyse Investments and Select Portfolios of Tangible Investments in Uncertain Environments ⋮ UNCERTAINTY AVERSION AND PORTFOLIO INERTIA ⋮ OPTIMISM AND PESSIMISM IN GAMES ⋮ Uncertainty aversion, robust control and asset holdings ⋮ Equilibria Under Knightian Price Uncertainty ⋮ Robust utility maximization of terminal wealth with drift and volatility uncertainty ⋮ Portfolio choices: comparative statics under both expected return and volatility uncertainty ⋮ Flexible contracts ⋮ Gender differences in ambiguity aversion under different outcome correlation structures ⋮ Optimal consumption and portfolio choice with ambiguous interest rates and volatility ⋮ Introspection and equilibrium selection in \(2\times 2\) matrix games ⋮ Reference dependent ambiguity ⋮ Ambiguity aversion in first-price sealed-bid auctions ⋮ Signaling probabilities in ambiguity: who reacts to vague news? ⋮ Participation in risk sharing under ambiguity ⋮ Modeling attitudes towards uncertainty and risk through the use of Choquet integral ⋮ Additive representations of non-additive measures and the Choquet integral ⋮ Mean-risk analysis with enhanced behavioral content ⋮ Pension Plan Funding, Technology Choice, and the Equity Risk Premium ⋮ Fuzzy measures and asset prices: accounting for information ambiguity ⋮ Updating Choquet beliefs ⋮ On indepedence for non-additive measures, with a Fubini theorem ⋮ A numerical method for hedging Bermudan options under model uncertainty ⋮ Choquet expected utility with affine capacities ⋮ Portfolio concentration, portfolio inertia, and ambiguous correlation ⋮ Portfolio inertia under ambiguity ⋮ Willingness-to-pay and willingness-to-accept for risky and ambiguous lotteries ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ A dual approach to ambiguity aversion ⋮ Ambiguity, optimism, and pessimism in adverse selection models ⋮ A theoretical foundation of ambiguity measurement ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ Rationality of belief or: why Savage's axioms are neither necessary nor sufficient for rationality ⋮ The pricing effects of ambiguous private information ⋮ Products of non-additive measures: a Fubini-like theorem ⋮ Some comments on Boltzmann-Gibbs statistical mechanics ⋮ Exchangeable capacities, parameters and incomplete theories ⋮ UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET ⋮ Ambiguity in asset pricing and portfolio choice: a review of the literature ⋮ Horizon-unbiased investment with ambiguity ⋮ Ellsberg's two-color experiment, portfolio inertia and ambiguity. ⋮ Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ Using Choquet integral in economics ⋮ An axiomatic characterization of Bayesian updating ⋮ Nest-monotonic two-stage acts and exponential probability capacities ⋮ On the observational implications of Knightian uncertainty ⋮ Ambiguity and the Bayesian Paradigm ⋮ Informational efficiency with ambiguous information ⋮ Decision making and trade without probabilities ⋮ Ambiguity aversion and trade ⋮ Dynamic consistency for non-expected utility preferences ⋮ Liquidity and asset prices in rational expectations equilibrium with ambiguous information ⋮ Sharing risk and ambiguity ⋮ Iterated Choquet expectations: a possibility result ⋮ Core of convex distortions of a probability. ⋮ The cores for fuzzy games represented by the concave integral ⋮ Investment behavior under Knightian uncertainty -- an evolutionary approach ⋮ The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices ⋮ Uncertainty aversion vs. competence: An experimental market study ⋮ Uncertain equilibria and incomplete preferences ⋮ Non-additive beliefs and strategic equilibria ⋮ Epistemic conditions for agreement and stochastic independence of \(\epsilon\)-contaminated beliefs ⋮ Are generalized call-spreads efficient? ⋮ Recursive non-expected utility: connecting ambiguity attitudes to risk preferences and the level of ambiguity ⋮ The role of intuition and reasoning in driving aversion to risk and ambiguity ⋮ Effects of uncertainty aversion on the call option market ⋮ Detection of rare events with uncertain outcomes ⋮ Recent developments in modeling preferences: Uncertainty and ambiguity ⋮ Asset allocation with distorted beliefs and transaction costs ⋮ A behavioral definition of unforeseen contingencies ⋮ Dynamic market participation and endogenous information aggregation ⋮ AMBIGUITY AND PORTFOLIO INERTIA ⋮ Diversification preferences in the theory of choice ⋮ Efficient implementation with interdependent valuations and maxmin agents ⋮ Decision making in phantom spaces ⋮ General equilibrium, wariness and efficient bubbles ⋮ Portfolio inertia and epsilon-contaminations ⋮ The no-trade interval of Dow and Werlang: some clarifications ⋮ Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation ⋮ Dynamic variational preferences ⋮ When does aggregation reduce risk aversion? ⋮ Optimal investment under ambiguous technology shocks ⋮ Eliciting decision weights by adapting de Finetti's betting-odds method to prospect theory ⋮ Smoothing preference kinks with information ⋮ Interim efficient allocations under uncertainty ⋮ SHACKLE AND MODERN DECISION THEORY ⋮ On booms that never bust: ambiguity in experimental asset markets with bubbles ⋮ A new integral for capacities ⋮ Learning under ambiguity: an experiment in gradual information processing ⋮ Eliciting beliefs ⋮ Welfare implications of mitigating investment uncertainty ⋮ Belief hedges: Measuring ambiguity for all events and all models ⋮ Speculative trade under ambiguity ⋮ Ambiguity sensitive preferences in Ellsberg frameworks ⋮ Generalized entropy and model uncertainty ⋮ Endogenous discounting, wariness, and efficient capital taxation ⋮ Is ambiguity aversion bad for innovation? ⋮ Ambiguous games ⋮ The participation puzzle with reference-dependent expected utility preferences ⋮ Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion ⋮ Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion ⋮ Optimal risk-sharing rules and equilibria with Choquet-expected-utility. ⋮ CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS ⋮ A survey of some applications of the idea of ambiguity aversion in economics ⋮ Strategic complements, substitutes, and Ambiguity: the implications for public goods. ⋮ Monetary equilibria and Knightian uncertainty ⋮ Ambiguity, asset prices, and excess volatility in a pure-exchange economy
This page was built for publication: Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
