coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The … following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …

problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity … conclusions in both markets: first, price diffusion and jump ambiguity mainly determine detection-error probability; second …, optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity, and trivially affected by …

Tournament incentives’ schemes have been criticized for inducing excessive risk-taking among financial market …

Many theories of updating under ambiguity assume either dynamic consistency or consequentialism to underpin … consequentialism than with dynamic consistency and that this result is even stronger among ambiguity averse subjects. …

notions of second- order risk. This finding is robust even when there is only partial ambiguity, and is applicable to all … (KMM) interpret ambiguity aversion as aversion against second-order risks associated with ambiguous acts. We design an … utility all predict unequivocally that risk-averse decision makers (DMs) will avoid the 50 - 50 urn that exhibits the highest …

confidence and ambiguity attitudes in individual decision making. Different ambiguity settings not only can be determined by the … multistage experiment where subjects face different sources of ambiguity and where we are able to control for self …' ambiguity aversion. Our regressions show that the two measures are significantly correlated at the subject level, that the …

confidence and ambiguity attitudes in individual decision making. Different ambiguity settings not only can be determined by the … multistage experiment where subjects face different sources of ambiguity and where we are able to control for self …” ambiguity aversion. Our regressions show that the two measures are significantly correlated at the subject level, that the …