A belief-based definition of ambiguity aversion

Xiangyu Qu

Theory and Decision, 2015, vol. 79, issue 1, 15-30

Abstract: This paper proposes a notion of ambiguity aversion and characterizes it in the context of biseparable preferences, which include many popular ambiguity models in the literature. The defined properties suggest that ambiguity aversion is characterized by the properties of its capacity. This formalizes a sharp distinction between ambiguity and risk aversion, where risk aversion is characterized by the properties of its utility index and its probability weighting function. Copyright Springer Science+Business Media New York 2015

Keywords: Ambiguity aversion; Biseparable preference; Maxmin expected utility; Choquet expected utility; D80; D81 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11238-014-9452-1 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A belief-based definition of ambiguity aversion (2015)
Working Paper: A belief-based definition of ambiguity aversion (2015)
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:kap:theord:v:79:y:2015:i:1:p:15-30

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/11238/PS2

DOI: 10.1007/s11238-014-9452-1

Access Statistics for this article

Theory and Decision is currently edited by Mohammed Abdellaoui

More articles in Theory and Decision from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().