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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 is not universal
European Economic Review, 2018Assuming universal ambiguity aversion, an extensive theoretical literature studies how ambiguity can account for market anomalies from the perspective of expected utility-based theories. We provide a systematic experimental assessment of ambiguity attitudes in different likelihood ranges, and in the gain domain, the loss domain and with mixed outcomes.
Martin G Kocher, Stefan T Trautmann
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Ambiguity Aversion and Comparative Ignorance
The Quarterly Journal of Economics, 1995Summary: Decisions under uncertainty depend not only on the degree of uncertainty but also on its source, as illustrated by Ellsberg's observation of ambiguity aversion. In this article we propose the comparative ignorance hypothesis, according to which ambiguity aversion is produced by a comparison with less ambiguous events or with more knowledgeable
Fox, Craig R., Tversky, Amos
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A class of incomplete and ambiguity averse preferences [PDF]
Journal of Economic Theory, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Leandro Nascimento, Gil Riella
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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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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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More ambiguity aversion or more risk aversion?
Economic Theory Bulletin, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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