https://scholars.lib.ntu.edu.tw/handle/123456789/414410
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Huang Y.-C. | en_US |
dc.contributor.author | Tzeng L.Y. | en_US |
dc.creator | Tzeng L.Y.;Huang Y.-C. | - |
dc.date.accessioned | 2019-07-22T07:00:29Z | - |
dc.date.available | 2019-07-22T07:00:29Z | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 00224367 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414410 | - |
dc.description.abstract | This article investigates under what conditions an increase in ambiguity reduces demand for an uncertain asset (or raises demand for coinsurance). We find that the comparative statics of ambiguity and of risks have structural similarities under the smooth ambiguity aversion model (Klibanoff, Marinacci, and Mukerji, (2005)). The determinant condition on ambiguity preferences is analogous to that on risk preferences. However, the comparative statics have fundamental differences under the £\-maxmin model (Ghirardato, Maccheroni, and Marinacci, 2004). When relative risk aversion is less than 1, only an increase in ambiguity, which broadens support for an investor's belief in the probability of the return distribution in the manner of a strong increase in risk, can reduce demand for an uncertain asset. ? 2017 The Journal of Risk and Insurance | - |
dc.language | English | - |
dc.relation.ispartof | Journal of Risk and Insurance | - |
dc.title | A Mean-Preserving Increase in Ambiguity and Portfolio Choices | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1111/jori.12188 | - |
dc.identifier.scopus | 2-s2.0-85056593319 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056593319&doi=10.1111%2fjori.12188&partnerID=40&md5=1e21da1cb77c54d697b32d32b1b6677b | - |
dc.relation.pages | 993-1012 | - |
dc.relation.journalvolume | 85 | - |
dc.relation.journalissue | 4 | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | none | - |
item.fulltext | no fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | Center for Research in Econometric Theory and Applications (CRETA) | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | Others: University-Level Research Centers | - |
顯示於: | 財務金融學系 |
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