A Theory of the Gambling Effect
AbstractThis paper presents a model for the "gambling effect," i.e., the effect that risky gambles are evaluated differently than riskless outcomes due to an intrinsic utility (or disutility) of gambling.The model turns out to violate stochastic dominance and therefore its primary applications will be descriptive. It sheds new light on empirical observations of risk attitudes and provides new insights into the distinction between risky and riskless utility.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2000-75.
Date of creation: 2000
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rank dependence; comonotonicity; Choquet integral; pessimism; uncertainty; aversion; prospect theory;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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- Marc Le Menestrel, 2001.
"A process approach to the utility for gambling,"
Economics Working Papers
570, Department of Economics and Business, Universitat Pompeu Fabra.
- Ulrich Schmidt, 2001. "Lottery Dependent Utility: a Reexamination," Theory and Decision, Springer, vol. 50(1), pages 35-58, February.
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