A characterization of risk-neutral and ambiguity-averse behavior
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This paper studies a decision maker who chooses monetary bets/investment portfolios under pure uncertainty. Necessary and sufficient conditions on his preferences over these objects are provided for his choice behavior to be guided by the maxmin expected value rule, and therefore to exhibit both "risk neutrality" and ambiguity aversion. This result is obtained as an extension of a simple re-characterization of de Finetti's theorem on maximization of subjective expected value.
Gerasimou , G 2015 ' A characterization of risk-neutral and ambiguity-averse behavior ' School of Economics & Finance Discussion Paper , no. 1511 , University of St Andrews , St Andrews , pp. 1-7 .
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(c) The author 2015
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