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Cambridge Finance Workshop - Chiaki Hara

Cambridge Finance Workshop Series are usually held on Thursdays during term time. The workshops are an opportunity for those working in finance to present their latest results or papers.
When Oct 15, 2020
from 01:00 PM to 02:00 PM
Where Online
Contact Name
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Chiaki Hara (Kyoto University)

Title: Comparative Ambiguity Aversion for Smooth Utility Functions

Abstract] When a twice differentiable utility function represents an 
ambiguity-averse preference relation over the set of acts on monetary 
consequences, we define a measure of ambiguity aversion.  The measure is 
determined by the Hessian of the utility function and the subjective 
probability derived from it, and allows us to compare two decision 
makers' measure of ambiguity aversion even when they have different risk 
attitudes and utility functions of forms that have been characterized by 
different axioms in the literature.  Implications on the numerical 
analysis on portfolio

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