Activity: Talks or Presentations › Other Invited Talks or Presentations
Description
We investigate an axiomatically founded robust smooth ambiguity model by integrating an exogenously given unambiguous background risk into the KMM model. Our result provides a unified framework for individuals who simultaneously face ambiguous foreground risk and unambiguous background risk. Moreover, we address the question of whether uninsurable background risk leads individual to behave in a less (or more) uncertainty-averse way and discuss specific economic and financial problems as applications.
Period
16 Dec 2022
Held at
Nanjing University of Aeronautics and Astronautics, China