抄録
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.
本文言語 | English |
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ページ(範囲) | 275-289 |
ページ数 | 15 |
ジャーナル | Economic Theory |
巻 | 56 |
号 | 2 |
DOI | |
出版ステータス | Published - 2014 6月 |
外部発表 | はい |
ASJC Scopus subject areas
- 経済学、計量経済学