Propensity for hedging and ambiguity aversion

被引：1
|
作者：
Aouani, Zaier
Chateauneuf, Alain [1 ,2 ]
Ventura, Caroline [3 ]
机构：
[1] Univ Paris 01, IPAG Business Sch, Paris, France
[2] Univ Paris 01, Paris Sch Econ, Paris, France
[3] Univ Paris 01, Paris, France
来源：
JOURNAL OF MATHEMATICAL ECONOMICS | 2021年 / 97卷
关键词：
Ambiguity; Anticomonotonicity; Propensity for hedging; Pseudo-convex; Attraction for certainty; Proper hedges; EXPECTED UTILITY; RISK; PROBABILITY;
D O I：
10.1016/j.jmateco.2021.102543
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study ambiguity aversion by introducing some new notions of propensity for hedging that are less general than convexity of preferences. We therefore characterize the corresponding properties of the capacity and Choquet functional, and link them with actual observed behaviors under uncertainty (Fox et al., 1996; Tversky and Wakker, 1995). (C) 2021 Published by Elsevier B.V.
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页数：14
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