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Convexity under ambiguity

Xueqi Dong & Shuo Li Liu

Economic Theory Bulletin2025https://doi.org/10.1007/s40505-025-00300-5article
ABDC B
Weight
0.50

Abstract

This paper formally defines the concept of preference convexity in a portfolio choice problem under ambiguity, where financial assets are modeled as standard Anscombe–Aumann acts. We provide a condition for its existence: preferences that are mean-preserving spread averse on the lottery space and satisfy the Uncertainty Aversion Axiom (Schmeidler 1989) on the act space. This result offers a foundation for diversification under ambiguity, without assuming concavity of utility functions.

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https://doi.org/https://doi.org/10.1007/s40505-025-00300-5

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@article{xueqi2025,
  title        = {{Convexity under ambiguity}},
  author       = {Xueqi Dong & Shuo Li Liu},
  journal      = {Economic Theory Bulletin},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s40505-025-00300-5},
}

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Convexity under ambiguity

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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