Observational equivalence and nonequivalence of subjective and robust mean–variance preferences |
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Authors: | Katsutoshi Wakai |
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Institution: | Graduate School of Economics, Kyoto University, Yoshida-honmachi, Sakyo-ku, Kyoto 606-8501, Japan |
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Abstract: | We identify the conditions where robust mean–variance preferences, which capture ambiguity aversion, are observationally nonequivalent to subjective mean–variance preferences. Conversely, we also provide an example showing that observational equivalence holds regardless of the degree of ambiguity aversion. |
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Keywords: | D81 G11 |
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