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dc.contributor.authorGerasimou, Georgios
dc.date.accessioned2016-01-08T15:40:06Z
dc.date.available2016-01-08T15:40:06Z
dc.date.issued2015-12-09
dc.identifier.citationGerasimou , 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 .en
dc.identifier.issn0962-4031
dc.identifier.otherPURE: 236740333
dc.identifier.otherPURE UUID: d53515ae-669f-41d0-9378-4a6e877e7605
dc.identifier.urihttps://ideas.repec.org/p/san/wpecon/1511.htmlen
dc.identifier.urihttp://hdl.handle.net/10023/7992
dc.description.abstractThis 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.en
dc.format.extent7en
dc.language.isoeng
dc.publisherUniversity of St Andrews
dc.relation.ispartofen
dc.relation.ispartofseriesSchool of Economics & Finance Discussion Paperen
dc.rights(c) The author 2015en
dc.subjectMaxim expected valueen
dc.subjectambiguity aversionen
dc.subjectrisk neutralityen
dc.subjectmultiple priorsen
dc.subjectde Finettien
dc.subjectHB Economic Theoryen
dc.subject.lccHBen
dc.titleA characterization of risk-neutral and ambiguity-averse behavioren
dc.typeWorking or discussion paperen
dc.description.versionPublisher PDFen
dc.contributor.institutionUniversity of St Andrews. School of Economics and Financeen


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