Payoff Kinks in Preferences over Lotteries
AbstractThis paper identifies two distinct types of payoff kinks that can be exhibited by preference functions over monetary lotteries--"locally separable" vs. "locally nonseparable"--and illustrates their relationship to the payoff and probability derivatives of such functions. Expected utility and Frechet differentiable preference functions are found to be incapable of exhibiting locally nonseparable payoff kinks; rank-dependent preference functions are incapable of avoiding them. Copyright 2001 by Kluwer Academic Publishers
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Journal of Risk and Uncertainty.
Volume (Year): 23 (2001)
Issue (Month): 3 (November)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=100299
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Fabio Maccheroni & Massimo Marinacci & Doriana Ruffino, 2011.
"Does Uncertainty Vanish in the Small? The Smooth Ambiguity Case,"
391, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimo Marinacci & Doriana Ruffino & Fabio Maccheroni, 2011. "Does Uncertainty Vanish in the Small? The Smooth Ambiguity Case," 2011 Meeting Papers 619, Society for Economic Dynamics.
- Robert G. Chambers & John Quiggin, 2006.
"Dual Approaches to the Analysis of Risk Aversion,"
Risk & Uncertainty Working Papers
WPR06_1, Risk and Sustainable Management Group, University of Queensland.
- Chambers, Robert G & Quiggin, John, 2006. "Dual approaches to the analysis of risk aversion," Risk and Sustainable Management Group Working Papers 151175, University of Queensland, School of Economics.
- Chambers, Robert G. & Quiggin, John C., 2002. "Dual Approaches To The Analysis Of Risk Aversion," Working Papers 28606, University of Maryland, Department of Agricultural and Resource Economics.
- Kam Yu, 2008.
"Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory,"
NBER Working Papers
14020, National Bureau of Economic Research, Inc.
- Kam Yu, 2009. "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory," NBER Chapters, in: Price Index Concepts and Measurement, pages 405-425 National Bureau of Economic Research, Inc.
- Edi Karni & Zvi Safra, 2008. "Moral sentiments and social choice," Social Choice and Welfare, Springer, vol. 30(3), pages 427-446, April.
- Sujoy Mukerji & Jean-Marc Tallon, 2002. "Ellsberg`s 2-Color Experiment, Bid-Ask Behavior and Ambiguity," Economics Series Working Papers 114, University of Oxford, Department of Economics.
- Sagi, Jacob S., 2006. "Anchored preference relations," Journal of Economic Theory, Elsevier, vol. 130(1), pages 283-295, September.
- Safra, Zvi & Segal, Uzi, 2002.
"On the Economic Meaning of Machina's Frechet Differentiability Assumption,"
Journal of Economic Theory,
Elsevier, vol. 104(2), pages 450-461, June.
- Zvi Safra & Uzi Segal, 2001. "On the Economic Meaning of Machina's Frâ„chet Differentiability Assumption," Boston College Working Papers in Economics 511, Boston College Department of Economics.
- Edi Karni & Zvi Safra, 2003. "Moral Sentiments and Social Choice: Fairness Considerations in University Admissions," Economics Working Paper Archive 492, The Johns Hopkins University,Department of Economics.
- Frank Milne & Edwin Neave, 2003. "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Working Papers 1082, Queen's University, Department of Economics.
- Liang Zou, 2006. "An Alternative to Prospect Theory," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 1-28, May.
- Shaw, W. Douglass & Woodward, Richard T., 2008. "Why environmental and resource economists should care about non-expected utility models," Resource and Energy Economics, Elsevier, vol. 30(1), pages 66-89, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.