Risk aversion, ambiguity aversion and the incentive problem with interim participation constraints

2018 ◽  
Vol 15 (4) ◽  
pp. 327-340 ◽  
Author(s):  
Hongxia Wang ◽  
Jianli Wang ◽  
Xinping Xia
Keyword(s):  
Risk Aversion ◽  
Ambiguity Aversion ◽  
Incentive Problem

scholarly journals Gender Differences in Risk Aversion and Ambiguity Aversion

2009 ◽  
Author(s):  
Lex Borghans ◽  
Bart H.H. Golsteyn ◽  
James Heckman ◽  
Huub Meijers
Keyword(s):  
Gender Differences ◽  
Risk Aversion ◽  
Ambiguity Aversion

scholarly journals Gender Differences in Risk Aversion and Ambiguity Aversion

2009 ◽  
Author(s):  
Lex Borghans ◽  
Bart Golsteyn ◽  
James J. Heckman ◽  
Huub Meijers
Keyword(s):  
Gender Differences ◽  
Risk Aversion ◽  
Ambiguity Aversion

scholarly journals Ambiguity Aversion and the Variance Premium

2019 ◽  
Vol 09 (02) ◽  
pp. 1950003 ◽  
Author(s):  
Jianjun Miao ◽  
Bin Wei ◽  
Hao Zhou
Keyword(s):  
Risk Aversion ◽  
Ambiguity Aversion ◽  
Equity Premium ◽  
Return Variance ◽  
Quantitative Performance ◽  
The Mean ◽  
The Difference ◽  
Risk Free Rate ◽  
Mean Variance ◽  
Free Rate

This paper offers an ambiguity-based interpretation of the variance premium — the difference between risk-neutral and objective expectations of market return variance — as a compounding effect of both belief distortion and variance differential regarding the uncertain economic regimes. Our calibrated model can match the variance premium, the equity premium, and the risk-free rate in the data. We find that about 97% of the mean–variance premium can be attributed to ambiguity aversion. A three-way separation among ambiguity aversion, risk aversion, and intertemporal substitution, permitted by the smooth ambiguity preferences, plays a key role in our model’s quantitative performance.

Ambiguity Aversion and Portfolio Choice in Small-Scale Peruvian Farming

2011 ◽  
Vol 11 (1) ◽  
Author(s):  
James C. Engle Warnick ◽  
Javier Escobal ◽  
Sonia C. Laszlo
Keyword(s):  
Decision Making ◽  
Risk Aversion ◽  
Portfolio Choice ◽  
New Technologies ◽  
Ambiguity Aversion ◽  
Small Scale ◽  
Main Crop ◽  
On Farm ◽  
New Evidence

Abstract While the effect of risk aversion on farmers' decision-making has long been documented, far less is known about the effect of ambiguity aversion. We argue that ambiguity aversion is just as relevant to their decision-making process because they are uncertain about the yield distributions generated by new technologies. By experimentally measuring risk and ambiguity aversion in rural Peru, we provide new evidence on the role of ambiguity aversion on farm decisions in developing countries: ambiguity aversion, not risk aversion, reduces the likelihood that farmers plant more than one variety of their main crop.

scholarly journals Risk, Ambiguity, and the Value of Diversification

2021 ◽  
Author(s):  
Loïc Berger ◽  
Louis Eeckhoudt
Keyword(s):  
Risk Aversion ◽  
Decision Analysis ◽  
Ambiguity Aversion ◽  
Sufficient Conditions ◽  
Economic Principle ◽  
Risk Ambiguity

Diversification is a basic economic principle that helps to hedge against uncertainty. It is, therefore, intuitive that both risk aversion and ambiguity aversion should positively affect the value of diversification. In this paper, we show that this intuition (1) is true for risk aversion but (2) is not necessarily true for ambiguity aversion. We derive sufficient conditions, showing that, contrary to the economic intuition, ambiguity and ambiguity aversion may actually reduce the diversification value. This paper was accepted by Manel Baucells, decision analysis.

scholarly journals Gender Differences in Risk Aversion and Ambiguity Aversion

2009 ◽  
Vol 7 (2-3) ◽  
pp. 649-658 ◽  
Author(s):  
Lex Borghans ◽  
Bart H. H. Golsteyn ◽  
James J. Heckman ◽  
Huub Meijers
Keyword(s):  
Gender Differences ◽  
Risk Aversion ◽  
Ambiguity Aversion

scholarly journals The Impact of an Epidemic: Experimental Evidence on Preference Stability from Wuhan

2021 ◽  
Vol 111 ◽  
pp. 302-306
Author(s):  
Jason Shachat ◽  
Matthew J. Walker ◽  
Lijia Wei
Keyword(s):  
Risk Aversion ◽  
Ambiguity Aversion ◽  
Strategic Decision ◽  
Risk And Uncertainty ◽  
Wuhan City ◽  
Preference Stability ◽  
Media Platform ◽  
Baseline Levels ◽  
The Impact ◽  
Pro Social Behavior

We examine how the outbreak of the COVID-19 virus in the Hubei province of China impacted pro-social behavior and attitudes toward risk and uncertainty. The study repeatedly applies a panel of financially incentivized individual and strategic decision tasks via the WeChat social media platform to a population of preregistered Wuhan University students. We find that the initial outbreak coupled with the lock-down of Wuhan City led to an uptick in altruism, trust, and ambiguity aversion and a downtick in risk aversion. Over the remaining samples, we observed that all measurements return to baseline levels except for risk aversion.

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