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We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be...
Persistent link: https://www.econbiz.de/10010997044
We prove the existence of Pareto optimal allocations within sets of acceptable allocations when decision makers have probabilistic sophisticated variational preferences dened on random endowments in L1.
Persistent link: https://www.econbiz.de/10010550276
We study optimal portfolio choice and equilibrium asset prices induced by alpha-maxmin expected utility (alpha-MEU) models. In the standard Ellsberg framework we prove that alpha-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how ambiguity...
Persistent link: https://www.econbiz.de/10013035352
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We prove the existence of Pareto optimal allocations within sets of acceptable allocations when decision makers have probabilistic sophisticated variational preferences defined on random endowments in L1. Pareto optimal allocations, variational preferences, probabilistic sophistication,...
Persistent link: https://www.econbiz.de/10009295752
Persistent link: https://www.econbiz.de/10012040448
We study the market implications of ambiguity sensitive preferences using the alpha-maxmin expected utility (alpha-MEU) model. In the standard Ellsberg framework we prove that alpha-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how...
Persistent link: https://www.econbiz.de/10012909702
Persistent link: https://www.econbiz.de/10010365590
Persistent link: https://www.econbiz.de/10003978412
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non-financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire...
Persistent link: https://www.econbiz.de/10005858248