Propensity for hedging and ambiguity aversion

Zaier Aouani, Alain Chateauneuf and Caroline Ventura

Journal of Mathematical Economics, 2021, vol. 97, issue C

Abstract: 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).

Keywords: Ambiguity; Anticomonotonicity; Propensity for hedging; Pseudo-convex; Attraction for certainty; Proper hedges (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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Working Paper: Propensity for hedging and ambiguity aversion (2021)
Working Paper: Propensity for hedging and ambiguity aversion (2021)
Working Paper: Propensity for hedging and ambiguity aversion (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:97:y:2021:i:c:s0304406821001063

DOI: 10.1016/j.jmateco.2021.102543

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