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Life-cycle asset allocation with ambiguity aversion and learning

Peijnenburg, Kim - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 1962-1994

Persistent link: https://www.econbiz.de/10011959061

Separated decisions

Brown, Alexander L.; Healy, Paul J. - In: European economic review : EER 101 (2018), pp. 20-34

Persistent link: https://www.econbiz.de/10011975351

An experimental test of the Anscombe-Aumann Monotonicity axiom

Schneider, Florian; Schonger, Martin - 2017 - Revised version

Most models of ambiguity aversion satisfy Anscombe-Aumann's Monotonicity axiom. Monotonicity imposes separability of preferences across events that occur with unknown probability. We construct a test of Monotonicity by modifying the Allais paradox to a setting with both subjective and objective...

Persistent link: https://www.econbiz.de/10011657339

The value of information under ambiguity : a theoretical and experimental study on pest management in agriculture

Couture, Stéphane; Lemarié, Stéphane; Teyssier, Sabrina - In: Theory and decision : an international journal for … 96 (2024) 1, pp. 19-47

Persistent link: https://www.econbiz.de/10014547306

Personality, Information Acquisition and Choice under Uncertainty : An Experimental Study

Fréchette, Guillaume R.; Schotter, Andrew; Trevino, Isabel - 2014

This paper presents the results of an experiment that demonstrates that personality may have a significant impact on economic decision making under uncertainty. This impact is indirect since differences in personality characteristics lead decision makers to seek different types of information...

Persistent link: https://www.econbiz.de/10014177100

Cooperation and punishment mechanisms in uncertain and dynamic social networks

Gallo, Edoardo; Riyanto, Yohanes Eko; Roy, Nilanjana; … - In: Games and economic behavior 134 (2022), pp. 75-103

Persistent link: https://www.econbiz.de/10013341270

The Effect of Interpretable Artificial Intelligence on Repeated Managerial Decision-Making Under Uncertainty

Altintas, Onur; Seidmann, Abraham; Gu, Bin - 2023

Many business decisions, such as managing investment instruments, selecting medical care, and managing various supply chains, are being made repetitively in uncertain environments. At times, decisions under uncertainty could be perceived as wrong ex-post even though they are really ex-ante...

Persistent link: https://www.econbiz.de/10014261842

Risk, ambiguity, and the value of diversification

Berger, Loïc; Eeckhoudt, Louis R. - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1639-1647

Persistent link: https://www.econbiz.de/10012506017

A Portfolio Diversification Index Analysis of the Home Bias

Diyarbakirlioglu, Erkin - 2020

This paper implements a parsimonious and practical methodology to examine the diversification potential of … international equity portfolios. The analysis shows that the Portfolio Diversification Index (Rudin, A.M., and Morgan, J.S., Journal … of Portfolio Management [2006]) efficiently replicates a number of stylized facts associated to home bias and local …

Persistent link: https://www.econbiz.de/10012857495

Sample Selection Bias, Return Moments, and the Performance of Optimal versus Naive Diversification

Li, Bowei - 2016

I examine the sample selection bias in portfolio horse race. Numerous studies propose mean-variance portfolio rules to … moments and the performance of optimal versus naive diversification. These relations not only imply strong performance …

Persistent link: https://www.econbiz.de/10012984969