Crisp Fair Gambles

Eric André

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Decision-Making and Behavioral Economics Economic theories and models Risk and Portfolio Optimization

Abstract

Axiomatic models of decision under ambiguity with a non-unique prior allow for the existence of Crisp Fair Gambles: acts whose expected utility is nul whichever of the priors is used. But, in these models, the DM has to be indifferent to the addition of such acts. Their existence is then at odds with a preference taking into account the variance of the prospects. In this paper we study some geometrical and topological properties of the set of priors that would rule out the existence of Crisp Fair Gambles, properties which have consequences on what can be an unambiguous financial asset.

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References

1989Maxmin expected utility with non-unique prior 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences 2004Differentiating ambiguity and ambiguity attitude 1979Mathematical methods of game and economic theory 2009Theory of Decision under Uncertainty 2009PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES 2011Axiomatic Foundations of Multiplier Preferences 2011Uncertainty averse preferences

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