The dual theory of the smooth ambiguity model
The dual theory of the smooth ambiguity model
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DOI：
10.1007/s00199-013-0779-6
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发表时间：
2013-11
期刊：
影响因子：
1.3
通讯作者：
Hideki Iwaki;Y. Osaki
中科院分区：
文献类型：
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作者：
Hideki Iwaki;Y. Osaki
本文研究了Klibanoff等人（Econometrica 73：1849-1892，2005）提出的平滑模糊度模型的“对偶”理论。与原始模型不同，我们描述了二阶概率捕获的对模糊性的态度。首先，我们给出了一组公理来推导光滑模糊度模型的对偶表示。其次，我们提出了一个模糊厌恶的特征。最后，作为我们的对偶模型的投资组合问题的应用程序，我们进行比较静态预测，给出了充分的条件，以保证增加平滑模糊厌恶减少最优投资组合。
This paper studies the “dual” theory of the smooth ambiguity model introduced by Klibanoff et al. (Econometrica 73:1849–1892, 2005). Unlike the original model, we characterize attitudes toward ambiguity captured by second-order probabilities. First, we give a set of axioms to derive a dual representation of the smooth ambiguity model. Second, we present a characterization of ambiguity aversion. Last, as an application of our dual model to a portfolio problem, we conduct comparative static predictions which give sufficient conditions to guarantee that an increase in smooth ambiguity aversion decreases the optimal portfolio.