dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

. In this article, we show that this sufficient condition, namely decreasing absolute risk aversion (DARA) is in fact …

This paper focuses on the study of decision making under risk. We first recall some model-free definitions of risl … aversion and increase in risk. We propose a new form of behavior under risk that we call anti-monotone risk aversion … (2008). Note that many research has already been done in this field e.g. through the theory of comonotonicity. We give …

This paper belongs to the study of decision making under risk. We will be interested in modeling the behavior of … of decision making problem under risk and the different models of choice under risk that are well recognized in the … literature. Then, we review different concepts of some increase in risk and risk aversion that are valid independently of any …

.g., increasing during recessions. We calibrate ambiguity aversion to match only the first moment of the risk-free rate in data and …

calibrate the level of ambiguity aversion to match only the first moment of the risk-free rate in data, and ambiguity to match … the uncertainty conditional on the historical growth path, and evaluate the model using moderate levels of risk aversion …

This article reconsiders the theory of existence of efficient allocations and equilibria when consumption sets are … unbounded below under the assumption that agents have incomplete preferences. It is motivated by an example in the theory of … assets with short-selling where there is risk and ambiguity. Agents have Bewley's incomplete preferences. As an inertia …

We investigate the empirical relation between ambiguity aversion, risk aversion and portfolio choices. We match … administrative panel data on portfolio choices with survey data on preferences over ambiguity and risk. We report three main findings … portfolio in a contrarian direction relative to the market. Accordingly, their exposure to risk is more stable over time. Third …