A Mean-preserving increase in ambiguity and portfolio choices

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<dc:creator>Huang, Yi-Chieh</dc:creator>
<dc:date>2018-12-03</dc:date>
<dc:description xml:lang="es">Sumario: This 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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/166511.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Cartera de valores</dc:subject>
<dc:subject xml:lang="es">Inversiones</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Distribución de seguros</dc:subject>
<dc:subject xml:lang="es">Modelos predictivos</dc:subject>
<dc:subject xml:lang="es">Estadísticas</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Mean-preserving increase in ambiguity and portfolio choices</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/12/2018 Volumen 85 Número 4 - diciembre 2018 , p. 993-1012</dc:relation>
</rdf:Description>
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