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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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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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Intertemporal substitution, risk aversion and ambiguity aversion
Economic Theory, 2005This paper axiomatizes a form of recursive utility on consumption processes that permits a role for ambiguity as well as risk. The model has two prominent special cases: (i) the recursive model of risk preference due to Kreps and Porteus [18]; and (ii) an intertemporal version of multiple-priors utility due to Epstein and Schneider [8].
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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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COPING RATIONALLY WITH AMBIGUITY: ROBUSTNESS VERSUS AMBIGUITY-AVERSION
Economics and Philosophy, 2009Al-Najjar and Weinstein (2009) argue that the extant literature on ambiguity aversion is not successful in accounting for Ellsberg choices as rational responses to ambiguity. We concur, and propose that rational choice under ambiguity aims at robustness rather than avoidance of ambiguity.
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