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Preference Reversals for Ambiguity Aversion
Management Science, 2011This paper finds preference reversals in measurements of ambiguity aversion, even if psychological and informational circumstances are kept constant. The reversals are of a fundamentally different nature than the reversals found before because they cannot be explained by context-dependent weightings of attributes.
Stefan T. Trautmann +2 more
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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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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, risk aversion, and the weight of evidence
Theory and Decision, 2023zbMATH 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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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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Ambiguity Aversion, Risk Aversion, and Asset Pricing
SSRN Electronic Journal, 2009I study the effects of aversion to risk and ambiguity (uncertainty in the sense of Knight (1921)) on the value of the market portfolio when investors receive information that they find difficult to link to fundamentals and hence treat as ambiguous.
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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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