Cherbonnier, Frédéric; Gollier, Christian - In: Journal of Economic Theory 157 (2015) C, pp. 606-623
smooth ambiguity aversion model with the ambiguity valuation function ϕ, the DC of u and of ϕ∘u is necessary and sufficient …. An alternative classical definition of decreasing aversion is based on the hypothesis that the investment in a risky … asset is increasing in wealth. We show that this hypothesis does not hold in general under ambiguity aversion, and that one …