Asymmetric Choquet random walks are defined, in the form of dynamically consistent random walks allowing for asymmetric conditional capacities. By revisiting Kast & Lapied (2010b) and Kast et al. (2014) we show that some findings regarding the effects of ambiguity aversion are preserved in the more general framework, which is of interest in several applications to policy making, risk management, corporate decisions, real option valuation of investment/ disinvestment projects, etc . The effect of ambiguity on the higher moments is investigated as well, as they have an interpretation in terms of the psychological attitude of a decision maker towards ambiguity. Finally,some financial applications are provided as an illustration.

Asymmetric Choquet random walks and ambiguity aversion or seeking

Rossella Agliardi
2017

Abstract

Asymmetric Choquet random walks are defined, in the form of dynamically consistent random walks allowing for asymmetric conditional capacities. By revisiting Kast & Lapied (2010b) and Kast et al. (2014) we show that some findings regarding the effects of ambiguity aversion are preserved in the more general framework, which is of interest in several applications to policy making, risk management, corporate decisions, real option valuation of investment/ disinvestment projects, etc . The effect of ambiguity on the higher moments is investigated as well, as they have an interpretation in terms of the psychological attitude of a decision maker towards ambiguity. Finally,some financial applications are provided as an illustration.
2017
Agliardi, Rossella
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/613211
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