Simone Cerreia-Vioglio - Universitá Bocconi

Absolute and Relative Ambiguity Aversion: A Preferential Approach (joint w/F. Maccheroni & M. Marinacci)

Abstract:  We study from a preferential viewpoint absolute and relative attitudes toward ambiguity determined by wealth effects. We provide different characterizations of these attitudes for a large class of preferences: monotone and continuous preferences which satisfy risk independence. We specify our results for different subclasses of preferences. Our results and characterizations provide alternative ways to experimentally test the validity of some of the models of choice under uncertainty.