Preprint C51/2006
On the Choices under Ambiguity
José Heleno Faro
Keywords: Choice Theory | Representation of preferences | Ambiguity | confidence functions | Incomplete Markets | Non arbitrage | Superhedging functions
This thesis proposes models of choices under ambiguity and presents some studies about the connections between ambiguity and incomplete markets. In ambiguity theory, this thesis presents two new axiomatizations: the first takes the notion of confidence functions, which generalizes the multiple priors models when there exists a worst consequence; in the second approach, the existence of referential consequence is supposed and the sign-dependence confidence functions generalizes cumulative prospect theory with ambiguity aversion on gains and losses. The last part presents some preliminaries results about cost function and incompleteness of financial markets. Some cases of incompletness entails interesting formulas for the cost functions using Choquet integral.