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On ambiguity-averse market equilibrium
Optimization Letters, 2022 AbstractWe develop a Nash equilibrium problem representing a perfectly competitive market wherein all players are subject to the same source of uncertainty with an unknown probability distribution. Each player—depending on her individual access to and confidence over empirical data—builds an ambiguity set containing a family of potential probability ...
Niklas Vespermann +2 more
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The Fundamental Equity Premium and Ambiguity Aversion in an International Context
Risks, 2018 Stocks are riskier than bonds. This causes a risk premium for stocks. That the size of this premium, however, seems to be larger than risk aversion alone can explain the so-called “equity premium puzzle”.
Minh Hai Ngo +2 more
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Better the devil you know than the devil you don't: Neural processing of risk and ambiguity
NeuroImage, 2021 Risk and ambiguity are inherent in virtually all human decision-making. Risk refers to a situation in which we know the precise probability of potential outcomes of each option, whereas ambiguity refers to a situation in which outcome probabilities are ...
Shuyi Wu +4 more
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Value-at-risk under ambiguity aversion
Financial Innovation, 2018 This study explored the effects of ambiguity on the calculation of Value-at-Risk (VaR) using a mathematical model based on the theory of Choquet-Brownian processes. It was found that while a moderate degree of ambiguity aversion yields a higher value for
Rossella Agliardi
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Good luck, bad luck, and ambiguity aversion [PDF]
Judgment and Decision Making, 2014 We report a series of experiments investigating the influence of feeling lucky or unlucky on people's choice of known-risk or ambiguous options using the traditional Ellsberg Urns decision-making task.
Briony D. Pulford, Poonam Gill
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An examination of ambiguity aversion: Are two heads better than one?
Judgment and Decision Making, 2007 Ambiguity aversion has been widely observed in individuals’ judgments. Using scenarios that are typical in decision analysis, we investigate ambiguity aversion for pairs of individuals.
L. Robin Keller +2 more
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Ambiguity Aversion and Variance Premium [PDF]
SSRN Electronic Journal, 2012 This paper oers an ambiguity-based interpretation of variance premium— the dier- ence between risk-neutral and objective expectations of market return variance— as a com- pounding eect of both belief distortion and variance dierential regarding the uncertain economic regimes.
Jianjun Miao, Bin Wei, Hao Zhou
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Measuring and Disentangling Ambiguity and Confidence in the Lab
Games, 2019 In this paper we present a novel experimental procedure aimed at better understanding the interaction between confidence and ambiguity attitudes in individual decision making.
Daniela Di Cagno, Daniela Grieco
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Updating Ambiguity Averse Preferences [PDF]
The B.E. Journal of Theoretical Economics, 2009 Dynamic consistency leads to Bayesian updating under expected utility. We ask what it implies for the updating of more general preferences. In this paper, we characterize dynamically consistent update rules for preference models satisfying ambiguity aversion. This characterization extends to regret-based models as well.
Eran Hanany, Peter Klibanoff
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The impact of uncertainty on farmers’ adoption of straw returning technology in Northwest China
Frontiers in Environmental Science, 2023 Straw returning technology has the potential to not only enhance the crop’s nitrogen yield but also protect the ecological environment and enhance crop yield.
Yan Ge, Haixia Wu
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