On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture
PREFERENCE TO DIVERSIFICATION: DIFFERENT BUT INTRICATE DIMENSIONS OF UNCERTAINTY AVERSION
Samuel Drapeau
ABSTRACT
We study the preferences of agents for diversification and better outcomes when they are facing both, in Frank Knight's formulation, measurable as well as unmeasurable uncertainty. Following Anscombe and Aumann, such a situation can be modeled by preferences expressed on stochastic kernels, that is scenario dependent lotteries. By means of automatic continuity methods based on Banach-Dieudonné's Theorem on Fréchet spaces, we provide a robust representation. This gives us some insight into the nature of uncertainty aversion these preferences are expressing. We further investigate under which conditions these two intricate dimensions of uncertainty can be disentangle into a distributional uncertainty, in the direction of von Neumann and Morgenstern's theory, and a probability model uncertainty, in the spirit of risk measures. These results allow in particular to address both Allais as well as Elsberg's paradox.
LOCATION: The seminar will be held on Wednesday, 15 January, at 18.00 at Aula di Rappresentanza, Department of Mathematics, Milano University, Via Saldini 50, Milano. A refreshment will be offered at 17.30.
Scientific Committee:
Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano)
******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 - 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano
Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1@unimib.it
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