Smooth Ambiguity Aversion in the Small and in the Large

Loïc Berger

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: In this paper I use the smooth ambiguity model developed by Klibanoff, Marinacci, and Mukerji (2005) to define the concepts of ambiguity and uncertainty premia in a way analogous to what Pratt (1964) did in the risk theory literature. I show that those concepts may be useful to quantify the effect ambiguity has on the welfare of economic agents. I also provide local approximations of these premia and show the link that exists between them when comparing different degrees of ambiguity aversion not only in the small, but also in the large.

Keywords: ambiguity aversion; non-expected utility; uncertainty (search for similar items in EconPapers)
JEL-codes: D81 D91 (search for similar items in EconPapers)
Pages: 35 p.
Date: 2011-08
New Economics Papers: this item is included in nep-hpe, nep-mic and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/95831/4/2011-020-BERGER_smooth.pdf 2011-020-BERGER_smooth (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/95831

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... ulb.ac.be:2013/95831

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().