Ambiguity sensitive preferences in Ellsberg frameworks

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Autoren

  • Claudia Ravanelli
  • G. Svindland

Externe Organisationen

  • Universität Zürich (UZH)
  • Ludwig-Maximilians-Universität München (LMU)
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Details

OriginalspracheEnglisch
Seiten (von - bis)53-89
Seitenumfang37
FachzeitschriftEconomic theory
Jahrgang67
Ausgabenummer1
Frühes Online-Datum5 Jan. 2018
PublikationsstatusVeröffentlicht - 8 Feb. 2019
Extern publiziertJa

Abstract

We study the market implications of ambiguity sensitive preferences using the α-maxmin expected utility (α-MEU) model. In the standard Ellsberg framework, we prove that α-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how ambiguity aversion impacts equilibrium asset prices, and revisit the laboratory experimental findings in Bossaerts et al. (Rev Financ Stud 23:1325–1359, 2010). Only when there are three or more ambiguous states, α-MEU, maxmin, maxmax and SEU models induce different portfolio choices. We suggest criteria to discriminate among these models in laboratory experiments and show that ambiguity seeking agents may prevent the existence of market equilibrium. Our results indicate that ambiguity matters for portfolio choice and does not wash out in equilibrium.

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Ambiguity sensitive preferences in Ellsberg frameworks. / Ravanelli, Claudia; Svindland, G.
in: Economic theory, Jahrgang 67, Nr. 1, 08.02.2019, S. 53-89.

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Ravanelli C, Svindland G. Ambiguity sensitive preferences in Ellsberg frameworks. Economic theory. 2019 Feb 8;67(1):53-89. Epub 2018 Jan 5. doi: 10.1007/s00199-017-1095-3
Ravanelli, Claudia ; Svindland, G. / Ambiguity sensitive preferences in Ellsberg frameworks. in: Economic theory. 2019 ; Jahrgang 67, Nr. 1. S. 53-89.
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