Comparative Risk Aversion in the Presence of Ambiguity

被引：2
|
作者：
Guetlein, Marie-Charlotte [1 ]
机构：
[1] ETH, Chair Integrat Risk Management & Econ, Zurichbergstr 18, CH-8092 Zurich, Switzerland
来源：
AMERICAN ECONOMIC JOURNAL-MICROECONOMICS | 2016年 / 8卷 / 03期
关键词：
UNCERTAINTY; SUBSTITUTION; DEFINITION;
D O I：
10.1257/mic.20150056
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper suggests a characterization of increases in risk aversion within the smooth ambiguity model by Klibanoff, Marinacci, and Mukerji (2005). I show that an increase in risk aversion is qualitatively different from that under expected utility, due to the incomplete separation between risk and ambiguity attitude. The analysis clarifies how ambiguity perception and attitude depend on risk aversion.
引用
收藏
页码：51 / 63
页数：13
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