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 …

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 …

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 …

toward multiple‐prior uncertainties in terms of ambiguity and its corresponding compound risk. Our findings point to a shared …

The existence of ambiguity presents a challenge to decision-makers as it eliminates the ability to apply standard …, ambiguity arises in most strategically important decisions in some form because of the genuine limits on the decision … problems as strategic decision-making under ambiguity where choices over resource investments must be made in competitive …

We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically …, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we … then test allowing for this heterogeneity. There is substantial, statistically significant heterogeneity in estimated risk …

random variables. For many continuous random variables, the risk measure is equal to the worst--case risk measure, i.e. the …