A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2013; you can also visit the original URL.
The file type is application/pdf
.
Filters
Distortion Risk Measures, Ambiguity Aversion and Optimal Effort
2014
ASTIN Bulletin: The Journal of the International Actuarial Association
We consider the class of concave distortion risk measures to study how choice is influenced by the decision-maker's attitude to risk and provide comparative statics results. ...
We also assume ambiguity about the probability distribution of the risk and consider a framework à la Klibanoff, Marinacci and Mukerji (2005; A smooth model of decision making under ambiguity. ...
For a large number of parametric families of distributions, it is possible to order the distribution by using a distortion risk measure. ...
doi:10.1017/asb.2014.3
fatcat:stxkrmgvufhhhfaomvwksnxqky
Value-at-risk under ambiguity aversion
2018
Financial Innovation
Additionally, some sufficient conditions are provided for the preservation of this effect under various forms of risk aggregation. ...
This study explored the effects of ambiguity on the calculation of Value-at-Risk (VaR) using a mathematical model based on the theory of Choquet-Brownian processes. ...
a parametric method for the relevant risk measures. ...
doi:10.1186/s40854-018-0095-z
fatcat:sbo7r63tkbdpbdyq2w365sdzhe
Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt
2021
IMF Working Papers
In our parametrization, the decrease in the default probability (the amount of risk) roughly compensates the increase in the spreads because of ambiguity (the price of risk). ...
With 𝛿 = 0.05, noncontingent bonds have an average maturity of 5 years under both parametrizations of the benchmark model. ...
doi:10.5089/9781513572635.001
fatcat:3ulldrdru5aqtiqy4tvwlbqqay
The Effect of Ambiguity Aversion on Insurance and Self-protection
2013
Economic Journal
We also characterize the optimal insurance design under ambiguity aversion, and exhibit a case in which the straight deductible contract is optimal as in the expected utility model. * We thank the editor ...
In this paper, we derive a set of simple conditions such that ambiguity aversion always raises the demand for self-insurance and the insurance coverage, but decreases the demand for self-protection. ...
The marginal utility benefit is measured by the expected utility difference when = and when 6 = , whereas the utility cost of self-protection is measured by the ambiguity-distorted expected (11 ...
doi:10.1111/ecoj.12035
fatcat:6kdzp3rxl5ba7mchq722zlm7yu
Aggregating imprecise or conflicting beliefs: An experimental investigation using modern ambiguity theories
2012
Journal of Risk and Uncertainty
effect related to ambiguity aversion). ...
We can also investigate new phenomena related to ambiguity. ...
This analysis shows that, overall, CEs under Iambiguity are lower than those under risk (p<0.01), which indicates ambiguity aversion under I-ambiguity. ...
doi:10.1007/s11166-012-9140-x
fatcat:jp3fntm2zvgwlcvluxon6uvxvi
Nobel Lecture: Uncertainty Outside and Inside Economic Models
2014
Journal of Political Economy
Under the structural interpretation provided by the model, the implied risk aversion is very large in bad economic times and modest in good times as measured by the history of consumption growth. ...
The chosen decision rule under ambiguity aversion is also the optimal decision rule if this worst-case prior were instead the single prior of the decision maker. ...
doi:10.1086/678456
fatcat:zgqqj3lxbzfxjb6dv5prfidyfe
The Rich Domain of Ambiguity Explored
2018
Management science
Ellsberg and others suggested that decision under ambiguity is a rich empirical domain with many phenomena to be investigated beyond the Ellsberg urns. ...
We find that two-parameter families, capturing not only aversion but also insensitivity, are desirable for ambiguity even more than for risk. The Goldstein-Einhorn family performs best for ambiguity. ...
The parametric families that we use have commonly been used for probability weighting functions for decision under risk, capturing risk attitudes. ...
doi:10.1287/mnsc.2017.2777
fatcat:g622abuom5aivlpz3tc34ykyrm
Distortion risk measures, ROC curves, and distortion divergence
2018
Statistics & Risk Modeling
Distortion functions are employed to define measures of risk. ...
This leads to a new interpretation of some well-known classes of distortion risk measures, and to a new notion of divergence between probability measures. ...
As a specific example, suppose that risk is measured by a distortion function from Wang's family, with parameter value η = 1 (parametrization as in Table 1 ). ...
doi:10.1515/strm-2017-0012
fatcat:4iaog6762zgq7mtgpawl6inowq
Distortion Risk Measures, ROC Curves, and Distortion Divergence
2017
Social Science Research Network
Distortion functions are employed to define measures of risk. ...
This leads to a new interpretation of some well known classes of distortion risk measures, and to a new notion of divergence between probability measures. ...
As a specific example, suppose that risk is measured by a distortion function from Wang's family, with parameter value η = 1 (parametrization as in Table 1 ). ...
doi:10.2139/ssrn.2956334
fatcat:ifyqypnmc5d4xlg6tb2geozxpa
Uncertainty aversion, robust control and asset holdings
2012
Quantitative finance (Print)
risk aversion case. ...
Furthermore, in the optimal robust portfolio the investor may increase the holdings of the asset for which there is or less ambiguity, and reduce the holdings of the asset for which there is more ambiguity ...
However in order to reduce the complexity of the model, we initially assume symmetric distorted measures Q i , and examine the case with the same distortion terms h i . ...
doi:10.1080/14697688.2011.637077
fatcat:wjgx4jimtjcxhjnsjmluc6rosu
Uncertainty Aversion, Robust Control and Asset Holdings
2004
Social Science Research Network
risk aversion case. ...
Furthermore, in the optimal robust portfolio the investor may increase the holdings of the asset for which there is or less ambiguity, and reduce the holdings of the asset for which there is more ambiguity ...
However in order to reduce the complexity of the model, we initially assume symmetric distorted measures Q i , and examine the case with the same distortion terms h i . ...
doi:10.2139/ssrn.545923
fatcat:o5f4fux4bzcdtkwzydcxjtfrrm
Safety First, Learning Under Ambiguity, and the Cross-Section of Stock Returns
2014
Review of Asset Pricing Studies
We examine the empirical implications of learning under ambiguity for the cross-section of stock returns. ...
We introduce a theoretically-motivated ambiguity measure and find that ambiguity is priced in the cross-section of average stock returns. ...
The Learning Under Ambiguity model includes MKT, DIV, TERM, DEF, and KUNC as risk factors. ...
doi:10.1093/rapstu/rat017
fatcat:4ecmzyiqxrhylfjtfiwzihr2pa
Mean-Covariance Robust Risk Measurement
[article]
2023
arXiv
pre-print
We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. ...
We find that, for a large class of risk measures, mean-covariance robust portfolio optimization boils down to the Markowitz model, subject to a regularization term given in closed form. ...
This research was supported by the Swiss National Science Foundation under the NCCR Automation (grant agreement 51NF40 180545) and under an Early Postdoc.Mobility Fellowship awarded to the second author ...
arXiv:2112.09959v2
fatcat:wx3rlfcr3vdonga6mbjeaipdvm
Measuring Ambiguity Aversion
2014
Social Science Research Network
Second, we investigate the contribution of ambiguity aversion in explaining variations in equity premium and consumption growth. ...
First, we estimate the size of ambiguity aversion implied by financial data for the representative agent in a consumption-based equilibrium asset pricing model. ...
Do a symmetrical computation and simulate {∆c t } T t=1 under the distorted DGP. Compute the fraction of simulations for which ln L r T L d T > 0 and denote it as p d . ...
doi:10.2139/ssrn.2507306
fatcat:7nhodl5sp5e2zaddamj4ifggsi
Measuring Ambiguity Aversion
2015
Finance and Economics Discussion Series
Second, we investigate the contribution of ambiguity aversion in explaining variations in equity premium and consumption growth. ...
First, we estimate the size of ambiguity aversion implied by financial data for the representative agent in a consumption-based equilibrium asset pricing model. ...
Do a symmetrical computation and simulate {∆c t } T t=1 under the distorted DGP. Compute the fraction of simulations for which ln L r T L d T > 0 and denote it as p d . ...
doi:10.17016/feds.2015.105
fatcat:c6hhz6qdlnckfel6wix7fmmznq
« Previous
Showing results 1 — 15 out of 9,435 results