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  4. August 2016
  5. Comparative Risk Aversion in the Presence of Ambiguity

American Economic Journal:
Microeconomics

ISSN 1945-7669 (Print) | ISSN 1945-7685 (Online)

Comparative Risk Aversion in the Presence of Ambiguity

  • Marie-Charlotte Guetlein
American Economic Journal: Microeconomics
vol. 8, no. 3, August 2016
(pp. 51–63)
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Abstract

his paper suggests a characterization of increases in risk aversion within the smooth ambiguity model by Klibanoff, Marinacci, and Mukerji (2005). I show that an increase in risk aversion is qualitatively different from that under expected utility, due to the incomplete separation between risk and ambiguity attitude. The analysis clarifies how ambiguity perception and attitude depend on risk aversion.

Citation

Guetlein, Marie-Charlotte. 2016. "Comparative Risk Aversion in the Presence of Ambiguity." American Economic Journal: Microeconomics, 8 (3): 51–63. DOI: 10.1257/mic.20150056

Additional Materials

JEL Classification

  • D81 Criteria for Decision-Making under Risk and Uncertainty
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