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A dual approach to ambiguity aversion

Bommier, Antoine - 2014 - Dec. 2014

In this paper, the assumption of monotonicity of Anscombe and Aumann (1963) is replaced by an assumption of monotonicity with respect to first-order stochastic dominance. I derive a representation result where ambiguous distributions of objective beliefs are first aggregated into “equivalent...

Persistent link: https://www.econbiz.de/10011280266