Propensity for hedging and ambiguity aversion

Zaier Aouani, Alain Chateauneuf and Caroline Ventura ()
Additional contact information
Zaier Aouani: Independent Researcher
Caroline Ventura: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

PSE-Ecole d'économie de Paris (Postprint) from HAL

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: 2021-12
Note: View the original document on HAL open archive server: https://hal.science/hal-03330739v1
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Citations: View citations in EconPapers (3)

Published in Journal of Mathematical Economics, 2021, 97, ⟨10.1016/j.jmateco.2021.102543⟩

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Related works:
Journal Article: 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:hal:pseptp:hal-03330739

DOI: 10.1016/j.jmateco.2021.102543

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