We propose that ambiguity aversion, as introduced in the literature on decision-making under uncertainty, drives a preference for established brands in multi-attribute choices among branded alternatives. Established brands are those for which belief in quality is held with greater confidence, even if specific attributes might be inferior to those of competing, less-established brands. In five e...

In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...

This article discusses the determination of risk capital based on “aversion” functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion operators and risk margin loadings. The approach of this paper builds on, unifies,and extends existi...

In a preceding paper (Montesano, 1999b) a systematic set of definitions on risk and uncertainty aversion was introduced with regard to unidimensional lotteries and acts. Taking into account only the preference preordering over the set of all possible lotteries and acts represented by the certainty equivalent function, many propositions were introduced and demostrated on global and local risk an...

T paper finds preference reversals in measurements of ambiguity aversion, even if psychological and informational circumstances are kept constant. The reversals are of a fundamentally different nature than the reversals found before because they cannot be explained by context-dependent weightings of attributes. We offer an explanation based on Sugden’s random-reference theory, with different el...

This paper defines local aversion to a risk index. I show that the local aversion to the Aumann and Serrano [2008] index of riskiness coincides with absolute risk aversion, and that the same applies for the Foster and Hart [2009] measure of riskiness. Using this “local consistency” I offer a new approach for axiomatizing the Aumann and Serrano index of riskiness and present other applications o...

W propose that ambiguity aversion, as introduced in the literature on decision making under uncertainty, drives a preference for established brands in multiattribute choices among branded alternatives. Established brands are those for which belief in quality is held with greater confidence, even if specific attributes might be inferior to those of competing, less-established brands. In five exp...

Recent research has identified specific disorders that appear to be better characterized by the experience of aversion, rather than anxiety, which evolve from disgust-related affect. Three mathematically distinct taxometric procedures--MAXEIG, MAMBAC, and L-Mode--were applied to data from a large undiagnosed sample (N=909) to determine whether aversion forms a distinct psychopathological catego...

This paper discusses the sensitivity of the value of information to the risk aversion in two-action decision problems when the initial wealth is uncertain. We demonstrate that there is no general monotonicity between information value and the Arrow–Pratt risk aversion in this setting. We then show that monotonicity exists in the sense of Rubinstein’s measure of risk aversion when the lottery is...