Ambiguity aversion, higher-order risk attitude and optimal effort

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104736

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104736

Title:	Ambiguity aversion, higher-order risk attitude and optimal effort
Authors:	黃瑞卿;Huang, Rachel J.
Contributors:	管理學院財務金融學系
Keywords:	Ambiguity;Attitudes;Decision theory;Distribution;Economics;Effort;Insurance;Investment policy;Portfolio management;Preferences;Prevention;Resource allocation;Risk;Risk aversion;Risk preferences;Self-protection;Studies;Wealth;Wealth distribution
Date:	2012-05-01
Issue Date:	2026-04-23 11:56:50 (UTC+8)
Publisher:	Elsevier;Amsterdam: Elsevier B.V
Abstract:	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. ► We introduce ambiguity into target and starting wealth distributions. ► Ambiguity aversion decreases the optimal effort when the target is ambiguity. ► Ambiguity aversion increases the optimal effort when the starting is ambiguity. ► Higher-order risk preferences are characterized for the sufficient conditions. 出版者： Amsterdam: Elsevier B.V 出版日期： 2012-05-01 出處： Insurance, mathematics & economics, 2012-05, Vol.50 (3), p.338-345 資源來源： ScienceDirect - Freedom Collection 版權： 2012 Elsevier B.V. 版權： Copyright Elsevier Sequoia S.A. May 2012 識別號： ISSN: 0167-6687 識別號： EISSN: 1873-5959 識別號： DOI: 10.1016/j.insmatheco.2012.01.002 識別號： CODEN: IMECDX
Appears in Collections:	[Department of Finance] journal & Dissertation

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