Propensity for hedging and ambiguity aversion

Zaier Aouani (1) , Alain Chateauneuf (2, 3, 4) , Caroline Ventura (2)

1 Independent Researcher
2 CES - Centre d'économie de la Sorbonne
3 PSE - Paris School of Economics
4 IPAG Business School

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).

Mots clés: Ambiguity; Anticomonotonicity; Propensity for hedging; Pseudo-convex; Attraction for certainty; Proper hedges

Domaines: Economies et finances

Zaier Aouani, Alain Chateauneuf, Caroline Ventura. Propensity for hedging and ambiguity aversion. Journal of Mathematical Economics, 2021, 97, pp.102543. ⟨10.1016/j.jmateco.2021.102543⟩. ⟨hal-03330739⟩