Comparative Risk Aversion in the Presence of Ambiguity

• 成果类型: Article
• 署名作者: Guetlein, Marie-Charlotte
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20150056
• 发表日期: 2016
• 页码: 51-63
• 关键词: uncertainty; substitution; definition

摘要

This paper suggests a characterization of increases in risk aversion within the smooth ambiguity model by Klibanoff, Marinacci, and Mukerji (2005). I show that an increase in risk aversion is qualitatively different from that under expected utility, due to the incomplete separation between risk and ambiguity attitude. The analysis clarifies how ambiguity perception and attitude depend on risk aversion.