Munich Personal RePEc Archive

A Characterization of Risk-Neutral and Ambiguity-Averse Behavior

Gerasimou, Georgios (2015): A Characterization of Risk-Neutral and Ambiguity-Averse Behavior.

This is the latest version of this item.


Download (245kB) | Preview


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.

Available Versions of this Item

MPRA is a RePEc service hosted by
the Munich University Library in Germany.