Decreasing aversion under ambiguity

DOI10.1016/J.JET.2015.01.002MaRDI QIDQ894043zbMATHOpenAlexFDO

Authors Frédéric Cherbonnier, Christian Gollier

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)

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Cites work

• scientific article; zbMATH DE number 3087284 (Why is no real title available?)
• A Smooth Model of Decision Making under Ambiguity
• Alpha as ambiguity: robust mean-variance portfolio analysis
• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• Differentiating ambiguity and ambiguity attitude
• Maxmin expected utility with non-unique prior
• Ordering ambiguous acts
• Portfolio choices and asset prices: the comparative statics of ambiguity aversion
• Risk Aversion in the Small and in the Large
• Risk, ambiguity and the Savage axioms
• The comparative statics of changes in risk revisited
• The economics of risk and time

Cited in

(12)

• The myopic property in decision models
• Preferences with changing ambiguity aversion
• Income inequality and risk taking: the impact of social comparison information
• Ambiguity aversion and wealth effects
• Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
• Portfolio choices: comparative statics under both expected return and volatility uncertainty
• Sequential auctions with ambiguity
• Comparative statics with linear objectives: normality, complementarity, and ranking multi-prior beliefs
• Objective rationality foundations for (dynamic) \(\alpha\)-MEU
• Comparative ambiguity aversion and downside ambiguity aversion
• Updating Ambiguity Averse Preferences
• Testing constant absolute and relative ambiguity aversion

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