CMMU full time faculty to present new papaer in MAF2014

Assoc. Prof. Dr. Roy Kouwenberg, CFA will present his paper entitled "Ambiguity attitudes in a large representative sample" in the 6th International conference on Mathematical and statistical methods for Actuarial Sciences and Finance (MAF) between 22-24 April 2014 in Vietri sul Mare, Italy. This paper is developed a theorem showing that ambiguity attitudes an easily be captured by matching probabilities of ambiguous events. Using this result, the authors introduce a tractable method for measuring ambiguity attitudes, and apply it in a large representative sample. Ambiguity aversion is weakly related to stock market participation, but is significant only for subjects who perceive stocks returns as highly ambiguous. This paper is co-authored with Stephen G. Dimmock (Nanyang Business School, Singapore) and Peter P. Wakker (Erasmus School of Economics, the Netherlands.)

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