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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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Dong et al. (2025) studied this question.
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