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Risk aversion in the small and in the large: Calibration results for betweenness functionals

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  • Zvi Safra

    ()

  • Uzi Segal

    ()

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File URL: http://hdl.handle.net/10.1007/s11166-008-9057-6
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Bibliographic Info

Article provided by Springer in its journal Journal of Risk and Uncertainty.

Volume (Year): 38 (2009)
Issue (Month): 1 (February)
Pages: 27-37

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Handle: RePEc:kap:jrisku:v:38:y:2009:i:1:p:27-37

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Web page: http://www.springerlink.com/link.asp?id=100299

Related research

Keywords: Risk aversion; Calibration results; Betweenness functionals;

References

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  1. Guiso, Luigi & Jappelli, Tullio & Terlizzese, Daniele, 1996. "Income Risk, Borrowing Constraints, and Portfolio Choice," American Economic Review, American Economic Association, vol. 86(1), pages 158-72, March.
  2. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
  3. Chew, Soo Hong, 1983. "A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox," Econometrica, Econometric Society, vol. 51(4), pages 1065-92, July.
  4. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
  5. Smorodinsky, Rann, 2000. "The reflection effect for constant risk averse agents," Mathematical Social Sciences, Elsevier, vol. 40(3), pages 265-276, November.
  6. Ariel Rubinstein, 2004. "Dilemmas of An Economic Theorist," Econometric Society 2004 Australasian Meetings 354, Econometric Society.
  7. Cox, James C. & Sadiraj, Vjollca, 2006. "Small- and large-stakes risk aversion: Implications of concavity calibration for decision theory," Games and Economic Behavior, Elsevier, vol. 56(1), pages 45-60, July.
  8. Hochgürtel, S., 1997. "Precautionary Motives and Portfolio Decisions," Discussion Paper 1997-55, Tilburg University, Center for Economic Research.
  9. Fishburn, Peter C., 1983. "Transitive measurable utility," Journal of Economic Theory, Elsevier, vol. 31(2), pages 293-317, December.
  10. Dekel, Eddie, 1986. "An axiomatic characterization of preferences under uncertainty: Weakening the independence axiom," Journal of Economic Theory, Elsevier, vol. 40(2), pages 304-318, December.
  11. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
  12. Monica Paiella & Luigi Guiso, 2004. "Risk Aversion, Wealth and Background Risk," 2004 Meeting Papers 525, Society for Economic Dynamics.
  13. Dean P. Foster & Sergiu Hart, 2007. "An Operational Measure of Riskiness," Discussion Paper Series dp454, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  14. Safra, Zvi & Segal, Uzi, 1998. "Constant Risk Aversion," Journal of Economic Theory, Elsevier, vol. 83(1), pages 19-42, November.
  15. Zvi Safra & Uzi Segal, 2008. "Calibration Results for Non-Expected Utility Theories," Boston College Working Papers in Economics 682, Boston College Department of Economics.
  16. Chew, S H & Epstein, Larry G & Segal, U, 1991. "Mixture Symmetry and Quadratic Utility," Econometrica, Econometric Society, vol. 59(1), pages 139-63, January.
  17. Gul, Faruk, 1991. "A Theory of Disappointment Aversion," Econometrica, Econometric Society, vol. 59(3), pages 667-86, May.
  18. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
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Cited by:
  1. James Cox & Vjollca Sadiraj & Bodo Vogt & Utteeyo Dasgupta, 2013. "Is there a plausible theory for decision under risk? A dual calibration critique," Economic Theory, Springer, vol. 54(2), pages 305-333, October.

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