Propensity for hedging and ambiguity aversion
Journal article: 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).
Author(s)
Zaier Aouani, Alain Chateauneuf, Caroline Ventura
Journal
- Journal of Mathematical Economics
Date of publication
- 2021
Keywords
- Ambiguity
- Anticomonotonicity
- Propensity for hedging
- Pseudo-convex
- Attraction for certainty
- Proper hedges
URL of the HAL notice
Version
- 1
Volume
- 97