University of Cambridge > Talks.cam > Cambridge Finance Workshop Series > Comparative Ambiguity Aversion for Smooth Utility Functions

Comparative Ambiguity Aversion for Smooth Utility Functions

Add to your list(s) Download to your calendar using vCal

  • UserChiaki Hara (Kyoto University)
  • ClockThursday 15 October 2020, 13:00-14:00
  • HouseOnline.

If you have a question about this talk, please contact CERF/CF Admin.

Abstract] When a twice differentiable utility function represents an ambiguity-averse preference relation over the set of acts on monetary consequences, we define a measure of ambiguity aversion. The measure is determined by the Hessian of the utility function and the subjective probability derived from it, and allows us to compare two decision makers’ measure of ambiguity aversion even when they have different risk attitudes and utility functions of forms that have been characterized by different axioms in the literature. Implications on the numerical analysis on portfolio

This talk is part of the Cambridge Finance Workshop Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

 

© 2006-2020 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity