کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7359745 1478746 2015 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Decreasing aversion under ambiguity
ترجمه فارسی عنوان
کاهش ناامیدی در زیر ابهام
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Under which condition does the set of desirable uncertain prospects expand when wealth increases? We show that the decreasing concavity (DC) of the utility function u is necessary and sufficient in the α-maxmin expected utility model. In the smooth ambiguity aversion model with the ambiguity valuation function ϕ, the DC of u and of ϕ∘u is necessary and sufficient. An alternative classical definition of decreasing aversion is based on the hypothesis that the investment in a risky asset is increasing in wealth. We show that this hypothesis does not hold in general under ambiguity aversion, and that one needs to constrain the structure of ambiguity to obtain unambiguous results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 157, May 2015, Pages 606-623
نویسندگان
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