Comparative Risk Aversion in the Presence of Ambiguity

Marie-Charlotte Guetlein

American Economic Journal: Microeconomics, 2016, vol. 8, issue 3, 51-63

Abstract: his 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.

JEL-codes: D81 (search for similar items in EconPapers)
Date: 2016
Note: DOI: 10.1257/mic.20150056
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Citations: View citations in EconPapers (7)

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