Ambiguity aversion and wealth effects

• 成果类型: Article
• 署名作者: Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, Massimo
• 署名单位: Bocconi University; Bocconi University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.05.003
• 发表日期: 2022
• 关键词: Ambiguity; wealth effects; Absolute and relative attitudes

摘要

We study how changes in wealth affect ambiguity attitudes. We define a decision maker as decreasing (resp., increasing) absolute ambiguity averse if he becomes less (resp., more) ambiguity averse as he becomes richer. Our definition is behavioral. We provide different characterizations of these attitudes for a large class of preferences: monotone and continuous preferences which satisfy risk independence. We then specialize our results for different subclasses of preferences. Inter alia, our characterizations provide alternative ways to test experimentally the validity of some of the models of choice under uncertainty. (C) 2019 Published by Elsevier Inc.