Ambiguity aversion, higher-order risk attitude and optimal effort

研究成果: 雜誌貢獻期刊論文同行評審

11 引文 斯高帕斯(Scopus)

摘要

In this paper, we examine whether a more ambiguity-averse individual will invest in more effort to shift her initial starting wealth distribution toward a better target distribution. We assume that the individual has ambiguous beliefs regarding two target (starting) distributions and that one distribution is preferred to the other. We find that an increase in ambiguity aversion will decrease (increase) the optimal effort when the cost of effort is non-monetary. When the cost of effort is monetary, the effect depends on whether the individual would make more effort when the target (starting) distribution is the preferred distribution than the target (starting) distributions, the inferior one. We further characterize the individual's higher-order risk preferences to examine the sufficient conditions.

原文???core.languages.en_GB???
頁(從 - 到)338-345
頁數8
期刊Insurance: Mathematics and Economics
50
發行號3
DOIs
出版狀態已出版 - 5月 2012

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