A Characterization of Risk-Neutral and Ambiguity-Averse Behavior

Georgios Gerasimou

MPRA Paper from University Library of Munich, Germany

Abstract: This paper studies a decision maker who chooses monetary bets/investment portfolios under pure uncertainty. Necessary and sufficient conditions on his preferences over these objects are provided for his choice behavior to be guided by the *maxmin expected value* rule, and therefore to exhibit both ``risk neutrality'' and ambiguity aversion. This result is obtained as an extension of a simple re-characterization of de Finetti's theorem on maximization of subjective expected value.

Keywords: Maxmin expected value; ambiguity aversion; risk neutrality; multiple priors; de Finetti. (search for similar items in EconPapers)
JEL-codes: D01 D03 D11 (search for similar items in EconPapers)
Date: 2015-12-01
New Economics Papers: this item is included in nep-mic and nep-upt
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https://mpra.ub.uni-muenchen.de/68326/8/MPRA_paper_68326.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68159

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