Ambiguity aversion and wealth effects

Simone Cerreia-Vioglio, Fabio Maccheroni and Massimo Marinacci

Journal of Economic Theory, 2022, vol. 199, issue C

Abstract: We study how changes in wealth affect ambiguity attitudes. We define a decision maker as decreasing (resp., increasing) absolute ambiguity averse if he becomes less (resp., more) ambiguity averse as he becomes richer. Our definition is behavioral. We provide different characterizations of these attitudes for a large class of preferences: monotone and continuous preferences which satisfy risk independence. We then specialize our results for different subclasses of preferences. Inter alia, our characterizations provide alternative ways to test experimentally the validity of some of the models of choice under uncertainty.

Keywords: Ambiguity; Wealth effects; Absolute and relative attitudes (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:199:y:2022:i:c:s002205311930050x

DOI: 10.1016/j.jet.2019.05.003

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