网络释义 1. 模糊厌恶 实验结论即艾尔斯伯格悖论,它表明人是模糊厌恶(Ambiguity averse)的,即,不喜欢他们对某一博弈的概率分布不清楚,也…zh.wikipedia.org|基于14个网页 必应词典应用 准确权威无广告去官网了解更多 下载手机版必应词典 iOS Windows Phone Android 体验P C 版必应词典Win32 版Microsoft 商店 ...
Ambiguity-averseOverconfidenceIn the decision-making of perishable product, newsvendors may be overconfident as they have a more precise estimate about future outcomes, and they may be ambiguity-averse as only partial knowledge of the demand distribution is available. This paper investigates the ...
We study the optimal portfolio choice problem for an ambiguity-averse investor having a utility function of the form of Klibanoff, Marinacci, and Mukerji (2005) and Maccheroni, Marinacci, and Ru no (2013) in an ambiguity-inclusive CARA- normal setup. We extend the mutual fund theorem to accom...
The ambiguity set of different players is not necessarily identical, yielding a market with potentially heterogeneous ambiguity aversion. Built upon recent developments in the field of Wasserstein distributionally robust chance-constrained optimization, each ambiguity-averse player maximizes her own expected ...
The ambiguity set of different players is not necessarily identical, yielding a market with potentially heterogeneous ambiguity aversion. Built upon recent developments in the field of Wasserstein distributionally robust chance-constrained optimization, each ambiguity-averse player maximizes her own expected ...
While this creates profit opportunities for ambiguity-neutral investors, ambiguity-averse investors perceive that the benefit of ambiguity reduction outweighs the cost of trading against investors who have superior information. The model can explain both underreaction, such as tha...
Ambiguity-aversionRisk-aversionIn an asset market with explicit trading rules we characterize the trading activity of an ambiguity-averse insider who faces Knightian uncertain over other market participants' beliefs and implements a robust trading strategy. Such insider employs a max-min choice mechanism...
This paper characterizes models of ambiguous beliefs in the absence of the completeness axiom. We axiomatize multiple-selves versions of some of the most important examples of complete and ambiguity averse preferences, and characterize when those incomplete preferences are ambiguity averse.关键词: incompl...
We propose a distributionally robust return-risk model for Markov decision processes (MDPs) under risk and reward ambiguity. The proposed model optimizes the weighted average of mean and percentile performances, and it covers the distributionally robust MDPs and the distributionally robust chance-constr...
More interestingly, overconfidence can reduce the conservation of ambiguity-averse optimization, since when the profit margin is changed in a certain range, the new order policy in Theorem 1 provides a positive quantity, whereas the result of Scarf's max-min rule is zero. The closed-form ...