Decreasing aversion under ambiguity

• 成果类型: Article
• 署名作者: Cherbonnier, Frederic; Gollier, Christian
• 署名单位: Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Institut d'Etudes Politiques Toulouse (SciencePo Toulouse); Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.01.002
• 发表日期: 2015
• 页码: 606-623
• 关键词: Decreasing concavity; portfolio choice; alpha-MEU; Smooth ambiguity aversion; maxmin

摘要

Under which condition does the set of desirable uncertain prospects expand when wealth increases? We show that the decreasing concavity (DC) of the utility function u is necessary and sufficient in the alpha-maxmin expected utility model. in the smooth ambiguity aversion model with the ambiguity valuation function phi, the DC of u and of phi o u is is necessary and sufficient. An alternative classical definition of decreasing aversion is based on the hypothesis that the investment in a risky asset is increasing in wealth. We show that this hypothesis does not hold in general under ambiguity aversion, and that one needs to constrain the structure of ambiguity to obtain unambiguous results. (C) 2015 Elsevier Inc. All rights reserved.