Gollier, Christian - Institut d'Économie Industrielle (IDEI), Toulouse … - 2009
We investigate the comparative statics of "more ambiguity aversion" as defined by Klibanoff, Marinacci and Mukerji (2005) in the context of the static two-asset portfolio problem. It is not true in general that more ambiguity aversion reduces the demand for the uncertain asset. We exhibit some...