Ambiguity-Aversion in a Single Auction Market
نویسندگان
چکیده
منابع مشابه
Ambiguity Aversion and Auction Theory
This paper considers when the utility function of the bidders is ambiguity averse, how does the bidding strategy differ in four classical auction mechanisms. In particular, if there is no information affiliation, i.e., when first order sealed auction is equivalent to English auction in terms of bidding, bidders may bid higher or lower relative to ambiguity neutral case. From the seller’s point ...
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Consider the following choice problem, known as “Ellsberg’s three-color urn example”, or simply the “Ellsberg Paradox” (Ellsberg [7]). An urn contains 30 red balls, and 60 green and blue balls, in unspecified proportions; subjects are asked to compare (i) a bet on a red draw vs. a bet on a green draw, and (ii) a bet on a red or blue draw vs. a bet on a green or blue draw. If the subject wins a ...
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Stock market participation is very low, with approximately two thirds of all U.S. households not owning any public equity. This is a puzzle in the context of the basic Expected Utility model. One explanation put forward in the literature is that stock market participation is low because, in addition to risk, stocks also entail ambiguity and investors are ambiguity averse. We empirically test th...
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Under which condition does the set of desirable uncertain prospects expand when wealth increases? We show that the decreasing concavity (DC) of the utility function is necessary and sufficient in the −maxmin expected utility model. In the smooth ambiguity aversion model with the ambiguity valuation function , the DC of and of ◦ is necessary and sufficient. An alternative definition of d...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2895378