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Journal of Applied Economics, 2022 The risk attitude plays an important role in analyzing decision making under uncertainty. It is essential to confirm whether the risk aversion parameter in a certain situation, called “domain,” can be applied to other situations.
Yoichiro Fujii, Noriko Inakura
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Uncertainty Aversion, Robust Control and Asset Holdings [PDF]
Quantitative Finance, 2004 Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. The robust portfolio rule indicates that the total holdings of risky assets as a proportion of the investor’s wealth ...
Anastasios Xepapadeas, Giannis Vardas
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Handling Uncertainty in Cost-Effectiveness Analysis: Budget Impact and Risk Aversion
Healthcare, 2021 Methods to handle uncertainty in economic evaluation have gained much attention in the literature, and the cost-effectiveness acceptability curve (CEAC) is the most widely used method to summarise and present uncertainty associated with program costs and
P. Sendi +2 more
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Journal of the Operational Research Society, 2021 Meeting ambitious sustainability targets motivated by climate change concerns requires the structural transformation of many industries and the careful alignment of firm- and Government-level policymaking.
Maria Tsiodra, M. Chronopoulos
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Covid-19 outbreak, ambiguity aversion, and macroeconomic expectations
China Economic Quarterly International, 2023 How will the outbreak of Covid-19 affect people's expectations on the macroeconomy? We conduct an online experiment in China to investigate the relationship between ambiguity aversion, risk aversion, and expectations about the macroeconomy after the ...
King King Li, Bo Huang
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Risk-Averse Planning Under Uncertainty [PDF]
2020 American Control Conference (ACC), 2020 We consider the problem of designing policies for partially observable Markov decision processes (POMDPs) with dynamic coherent risk objectives. Synthesizing risk-averse optimal policies for POMDPs requires infinite memory and thus undecidable. To overcome this difficulty, we propose a method based on bounded policy iteration for designing stochastic ...
Ahmadi, Mohamadreza +4 more
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Indifference pricing with uncertainty averse preferences [PDF]
Journal of Mathematical Economics, 2011 We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker's attitudes toward uncertainty. We obtain a characterization of comparative uncertainty aversion and various characterizations of increasing ...
Giammarino, Flavia, Barrieu, Pauline
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Welfare Cost of Model Uncertainty in a Small Open Economy
Entropy, 2020 This paper extends the canonical small open-economy real-business-cycle model, when considering model uncertainty. Domestic households have multiplier preferences, which leads them to take robust decisions in response to possible model misspecification ...
Jocelyn Tapia Stefanoni
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