Gerasimou, Georgios (2015): A Characterization of RiskNeutral and AmbiguityAverse Behavior.
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Abstract
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 recharacterization of de Finetti's theorem on maximization of subjective expected value.
Item Type:  MPRA Paper 

Original Title:  A Characterization of RiskNeutral and AmbiguityAverse Behavior 
Language:  English 
Keywords:  Maxmin expected value; ambiguity aversion; risk neutrality; multiple priors; de Finetti. 
Subjects:  D  Microeconomics > D0  General > D01  Microeconomic Behavior: Underlying Principles D  Microeconomics > D0  General > D03  Behavioral Microeconomics: Underlying Principles D  Microeconomics > D1  Household Behavior and Family Economics > D11  Consumer Economics: Theory 
Item ID:  68326 
Depositing User:  Georgios Gerasimou 
Date Deposited:  12 Dec 2015 01:42 
Last Modified:  12 Oct 2019 16:46 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/68326 
Available Versions of this Item

A Characterization of RiskNeutral and AmbiguityAverse Behavior. (deposited 02 Dec 2015 11:15)
 A Characterization of RiskNeutral and AmbiguityAverse Behavior. (deposited 12 Dec 2015 01:42) [Currently Displayed]