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A belief-based definition of ambiguity aversion

Abstract : This paper proposes a notion of ambiguity aversion and characterizes it in the context of biseparable preferences, which include many popular ambiguity models in the literature. The defined properties suggest that ambiguity aversion is characterized by the properties of its capacity. This formalizes a sharp distinction between ambiguity and risk aversion, where risk aversion is characterized by the properties of its utility index and its probability weighting function.
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https://hal.archives-ouvertes.fr/hal-01437539
Contributor : Xiangyu QU Connect in order to contact the contributor
Submitted on : Tuesday, January 17, 2017 - 12:23:38 PM
Last modification on : Friday, April 29, 2022 - 10:12:42 AM

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Xiangyu Qu. A belief-based definition of ambiguity aversion. Theory and Decision, Springer Verlag, 2015, 79 (1), pp.15-30. ⟨10.1007/s11238-014-9452-1⟩. ⟨hal-01437539⟩

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