Propensity for hedging and ambiguity aversion
Résumé
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).
| Origine | Fichiers produits par l'(les) auteur(s) |
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