TITLE

Asymmetric Choquet random walks and ambiguity aversion or seeking

AUTHOR(S)
Agliardi, Rossella
PUB. DATE
December 2017
SOURCE
Theory & Decision;Dec2017, Vol. 83 Issue 4, p591
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Asymmetric Choquet random walks are defined, in the form of dynamically consistent random walks allowing for asymmetric conditional capacities. By revisiting Kast and Lapied (Dynamically consistent Choquet random walk and real investments. Document de Travail n. 2010-33, GREQAM, HAL id: halhs-00533826, 2010b) and Kast et al. (Econ Model, 38:495-503, 2014) we show that some findings regarding the effects of ambiguity aversion are preserved in the more general framework, which is of interest in several applications to policy making, risk management, corporate decisions, real option valuation of investment/ disinvestment projects, etc. The effect of ambiguity on the higher moments is investigated, as well, as they have an interpretation in terms of the psychological attitude of a decision-maker towards ambiguity. Finally, some financial applications are provided as an illustration.
ACCESSION #
126260806

 

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