Asymmetric Choquet random walks and ambiguity aversion or seeking

Rossella Agliardi ()
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Rossella Agliardi: University of Bologna

Theory and Decision, 2017, vol. 83, issue 4, No 8, 602 pages

Abstract: Abstract Asymmetric Choquet random walks are defined, in the form of dynamically consistent random walks allowing for asymmetric conditional capacities. By revisiting Kast and Lapied (Dynamically consistent Choquet random walk and real investments. Document de Travail n. 2010-33, GREQAM, HAL id: halhs-00533826, 2010b) and Kast et al. (Econ Model, 38:495–503, 2014) we show that some findings regarding the effects of ambiguity aversion are preserved in the more general framework, which is of interest in several applications to policy making, risk management, corporate decisions, real option valuation of investment/ disinvestment projects, etc. The effect of ambiguity on the higher moments is investigated, as well, as they have an interpretation in terms of the psychological attitude of a decision-maker towards ambiguity. Finally, some financial applications are provided as an illustration.

Keywords: Choquet integral; Conditional capacities; Random walks; Ambiguity (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11238-017-9632-x

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