Ambiguity aversion and wealth effects

A-Tier
Journal: Journal of Economic Theory
Year: 2022
Volume: 199
Issue: C

Authors (3)

Cerreia-Vioglio, Simone (not in RePEc) Maccheroni, Fabio (not in RePEc) Marinacci, Massimo (Università Commerciale Luigi B...)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We study how changes in wealth affect ambiguity attitudes. We define a decision maker as decreasing (resp., increasing) absolute ambiguity averse if he becomes less (resp., more) ambiguity averse as he becomes richer. Our definition is behavioral. We provide different characterizations of these attitudes for a large class of preferences: monotone and continuous preferences which satisfy risk independence. We then specialize our results for different subclasses of preferences. Inter alia, our characterizations provide alternative ways to test experimentally the validity of some of the models of choice under uncertainty.

Technical Details

RePEc Handle
repec:eee:jetheo:v:199:y:2022:i:c:s002205311930050x
Journal Field
Theory
Author Count
3
Added to Database
2026-01-25