A Risk-neutral Characterization of Optimization and Pessimism and its Applications
AbstractThis note gives a simple, but useful characterization of optimism and pessimism represented by a convex and concave shift of probability weighting functions, and applies it to two comparative static analysis.
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Bibliographic InfoPaper provided by University of Queensland, School of Economics in its series Risk and Sustainable Management Group Working Papers with number 151180.
Date of creation: 2007
Date of revision:
Optimism; pessimism; rank dependent expected utility; risk–neutral decision weight; Research Methods/ Statistical Methods; Risk and Uncertainty; D81;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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