A Mean-preserving increase in ambiguity and portfolio choices
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20180035173 | ||
| 003 | MAP | ||
| 005 | 20190103114850.0 | ||
| 008 | 181228e20181203esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20150012913$aHuang, Yi-Chieh | ||
| 245 | 1 | 2 | $aA Mean-preserving increase in ambiguity and portfolio choices$cYi-Chieh Huang, |
| 520 | $aThis article investigates under what conditions an increase in ambiguity reduces demand for an uncertain asset (or raises demand for coinsurance). We find that the comparative statics of ambiguity and of risks ha ve structural similarities under the smooth ambiguity aversion model (Klibanoff, Marinacci, and Mukerji, 2005). The determinant condition on ambiguity preferences is analogous to that on risk preferences. However, the comparative statics have fundamental differences under the alpha-maxmin model (Ghirardato, Maccheroni, and Marinacci, 2004). When relative risk aversion is less than 1, only an increase in ambiguity, which broadens support for an investor's belief in the probability of the return distribution in the manner of a strong increase in risk, can reduce demand for an uncertain asset | ||
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080583989$aCartera de valores | |
| 650 | 4 | $0MAPA20080558970$aInversiones | |
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20080610326$aDistribución de seguros | |
| 650 | 4 | $0MAPA20080592059$aModelos predictivos | |
| 650 | 4 | $0MAPA20080562342$aEstadísticas | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g03/12/2018 Volumen 85 Número 4 - diciembre 2018 , p. 993-1012 |