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We study optimal portfolio choice and equilibrium asset prices induced by alpha-maxmin expected utility (alpha-MEU) models. In the standard Ellsberg framework we prove that alpha-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how ambiguity...
Persistent link: https://www.econbiz.de/10013035352
Persistent link: https://www.econbiz.de/10012040448
We study the market implications of ambiguity sensitive preferences using the alpha-maxmin expected utility (alpha-MEU) model. In the standard Ellsberg framework we prove that alpha-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how...
Persistent link: https://www.econbiz.de/10012909702