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<p>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.</p>

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Convexity under ambiguity

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年10月14日

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  • Xueqi Dong,
  • Shuo Li Liu

摘要

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.