Beißner, Patrick; Werner, Jan - In: Theoretical Economics 18 (2023) 3, pp. 993-1022
The analysis of optimal risk sharing has been thus far largely restricted to non-expected utility models with concave … utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the … analysis to α-maxmin expected utility, Choquet expected utility, and Cumulative Prospect Theory, which accommodate ambiguity …