The dual theory of the smooth ambiguity model

Hideki Iwaki, Yusuke Osaki

研究成果: Article

13 引用 (Scopus)

抜粋

This paper studies the "dual" theory of the smooth ambiguity model introduced by Klibanoff et al. (Econometrica 73:1849-1892, 2005). Unlike the original model, we characterize attitudes toward ambiguity captured by second-order probabilities. First, we give a set of axioms to derive a dual representation of the smooth ambiguity model. Second, we present a characterization of ambiguity aversion. Last, as an application of our dual model to a portfolio problem, we conduct comparative static predictions which give sufficient conditions to guarantee that an increase in smooth ambiguity aversion decreases the optimal portfolio.

元の言語English
ページ(範囲)275-289
ページ数15
ジャーナルEconomic Theory
56
発行部数2
DOI
出版物ステータスPublished - 2014 6
外部発表Yes

ASJC Scopus subject areas

  • Economics and Econometrics

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