Propensity for hedging and ambiguity aversion

C-Tier
Journal: Journal of Mathematical Economics
Year: 2021
Volume: 97
Issue: C

Authors (3)

Aouani, Zaier (not in RePEc) Chateauneuf, Alain (Institut de Préparation à l'Ad...) Ventura, Caroline (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

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

Abstract

We study ambiguity aversion by introducing some new notions of propensity for hedging that are less general than convexity of preferences. We therefore characterize the corresponding properties of the capacity and Choquet functional, and link them with actual observed behaviors under uncertainty (Fox et al., 1996; Tversky and Wakker, 1995).

Technical Details

RePEc Handle
repec:eee:mateco:v:97:y:2021:i:c:s0304406821001063
Journal Field
Theory
Author Count
3
Added to Database
2026-01-25