Propensity for hedging and ambiguity aversion
| Autor: | Zaier Aouani, Alain Chateauneuf, Caroline Ventura |
|---|---|
| Přispěvatelé: | Independent Researcher, Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), IPAG Business School, ANR-17-EURE-0001,PGSE,Ecole d'Economie de Paris(2017) |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
Ambiguity Attraction for certainty Applied Mathematics media_common.quotation_subject 010102 general mathematics 05 social sciences Anticomonotonicity Ambiguity aversion Propensity for hedging 16. Peace & justice [SHS.ECO]Humanities and Social Sciences/Economics and Finance 01 natural sciences Convexity Proper hedges Pseudo-convex 0502 economics and business Econometrics Economics 0101 mathematics 050205 econometrics media_common |
| Zdroj: | Journal of Mathematical Economics Journal of Mathematical Economics, Elsevier, In press, pp.102543. ⟨10.1016/j.jmateco.2021.102543⟩ |
| ISSN: | 0304-4068 |
| DOI: | 10.1016/j.jmateco.2021.102543⟩ |
| Popis: | International audience; We study ambiguity aversion by introducing some new notions of propensity for hedging that are less general than convexity of preferences. We therefore characterize the corresponding properties of the capacity and Choquet functional, and link them with actual observed behaviors under uncertainty (Fox et al., 1996; Tversky and Wakker, 1995). |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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