Showing 1 - 10 of 180
Are foundations of models of ambiguity-sensitive preferences too flawed to be usefully applied to economic models?  Al …-Najjar and Weinstein do not apply to quite a few of the ambiguity preference models of more recent vintage, and therefore to that … extent do not undermine the foundational aspects or applicability of ambiguity models in general.  Second, we argue the focus …
Persistent link: https://www.econbiz.de/10004999235
This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We … ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a … structural VAR to achieve identification in the data. We proxy for ambiguity using a measure of macroeconomic uncertainty and …
Persistent link: https://www.econbiz.de/10011520565
ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …
Persistent link: https://www.econbiz.de/10011927995
ambiguity model of decision making under uncertainty developed by Klibanoff, Marinacci and Mukerji (2005).  We revisit these … thought exeperiments and find, to the contrary, that they either point to strengths of the smooth ambiguity model compared to … experiment, raise criticisms that apply equally to a broad range of current ambiguity models. …
Persistent link: https://www.econbiz.de/10004984412
We propose and axiomatize a new model of preferences that achieves a separation between ambiguity, identified as a … characteristic of the decision maker's subjective information, and ambiguity attitude, a characteristic of the decision maker …
Persistent link: https://www.econbiz.de/10005135384
This paper axiomatizes an intertemporal version of the Smooth Ambiguity decision model developed in Klibanoff …, Marinacci, and Mukerji (2005). A key feature of the model is that it achieves a separation between ambiguity, identified as a … characteristic of the decision maker's subjective beliefs, and ambiguity attitude, a characteristic of the decision maker's tastes …
Persistent link: https://www.econbiz.de/10005181140
ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …
Persistent link: https://www.econbiz.de/10009143652
ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …
Persistent link: https://www.econbiz.de/10011694759
This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We … ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a … structural VAR to achieve identification in the data. We proxy for ambiguity using a measure of macroeconomic uncertainty and …
Persistent link: https://www.econbiz.de/10011518808
We introduce and analyze expected balanced uncertain utility (EBUU) theory. A prior and a balanced outcome-set utility characterize an EBUU decision maker. Conditional on a reference or "balancing value," the latter assigns a utility to each outcome-set. The decision maker associates with each...
Persistent link: https://www.econbiz.de/10015419649