Propensity for hedging and ambiguity aversion
Article dans une revue: 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).
Auteur(s)
Zaier Aouani, Alain Chateauneuf, Caroline Ventura
Revue
- Journal of Mathematical Economics
Date de publication
- 2021
Mots-clés
- Ambiguity
- Anticomonotonicity
- Propensity for hedging
- Pseudo-convex
- Attraction for certainty
- Proper hedges
Pages
- 102543
URL de la notice HAL
Version
- 1
Volume
- 97