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IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION
International Journal of Theoretical and Applied Finance, 2017Real option valuation has traditionally been concerned with investment under project value uncertainty while assuming that the agent has perfect confidence in a specific model. However, agents do not generally have perfect confidence in their model and this ambiguity may affect their decisions.
Cartea, Á, Jaimungal, S
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Is Ambiguity Aversion a Preference? Ambiguity Aversion Without Asymmetric Information
SSRN Electronic Journal, 2019Ambiguity aversion is the interpretation of the experimental finding (Ellsberg paradox) that most subjects prefer betting on events whose probabilities are known (objective) to betting on events whose probabilities are unknown (subjective). However in typical experiments these unknown probabilities are known by others.
Daniel L. Chen, Martin Schonger
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More ambiguity aversion or more risk aversion?
Economic Theory Bulletin, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Ambiguity Aversion in Engineers
Engineering Management Journal, 2019AbstractThis article explores whether engineers exhibit the cognitive bias Ambiguity Aversion. Ambiguity Aversion, in which individuals prefer an unambiguous option to an objectively equal or superior ambiguous option, has been previously demonstrated to exist in the general population in decision research.
Christopher L. Brown, Dawn R. Utley
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Preference for Randomization - Ambiguity Aversion and Inequality Aversion [PDF]
, 2010 In Anscombe and Aumann's (1963) domain, there are two types of mixtures. One is an ex-ante mixture, or a lottery on acts. The other is an ex-post mixture, or a state-wise mixture of acts. These two mixtures have been assumed to be indifferent under the Reversal of Order axiom.
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An Ambiguity Aversion Model for Decision Making under Ambiguity
Proceedings of the AAAI Conference on Artificial Intelligence, 2017In real life, decisions are often made under ambiguity, where it is difficult to estimate accurately the probability of each single possible consequence of a choice. However, this problem has not been solved well in existing work for the following two reasons.
Wenjun Ma, Xudong Luo, Yuncheng Jiang
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Robust trading for ambiguity-averse insiders
Journal of Banking & Finance, 2016Abstract In an asset market with explicit trading rules we characterize the trading activity of an ambiguity-averse insider who faces Knightian uncertain over other market participants’ beliefs and implements a robust trading strategy. Such insider employs a max-min choice mechanism, so that in any round of trading she selects as her market order ...
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A Rational Ambiguity Averse Person Will Never Display Her Ambiguity Aversion
SSRN Electronic Journal, 2013Suppose a decision maker (DM), in the language of Anscombe and Aumann (1963), has preferences over acts (horse-race lotteries) that satisfy the von Neumann and Morgenstern (1944) axioms for objective lotteries (constant acts) and Anscombe and Aumann's (1963) Axioms of Reversal of Order and Dominance.
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Ambiguity, ambiguity aversion and foreign bias: New evidence from international panel data
Journal of Banking and Finance, 2022Mei Wang
exaly
A Hierarchy of Ambiguity Aversion
SSRN Electronic Journal, 2021Hartmann, Lorenz, T Florian Kauffeldt
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