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More Pessimism than Greediness: A Characterization of Monotone Risk Aversion in the Rank-Dependant Expected Utility Model

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Author Info

  • Chateauneuf, A.
  • Cohen, M.
  • Meilijson, I.

Abstract

We study attitudes towards risk in the Rank Dependent Expected Utility (RDEU) model. This model replaces expected utility by another functional, which is characterised by two functions, a utility function on outcomes in conjunction with a probability-perception function. We use the notion of monotone risk aversion introduced by Quiggin ([18]), that is, aversion to monotone mean-presrving increase in risk, based on a notion of co-monotonicity of random variables that has been shown to play a decisive role in this field.

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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Papiers d'Economie Mathématique et Applications with number 97.53.

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Length: 15 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:pariem:97.53

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Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://cermsem.univ-paris1.fr/
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Keywords: RISK ; UTILITY FUNCTION ; MODELS;

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  1. Quiggin, J. & Wakker, P., 1992. "The Axiomatic Basis of Anticipated Utility: A Clarification," Papers 9203, Tilburg - Center for Economic Research.
  2. Chateauneuf, Alain & Cohen, Michele, 1994. "Risk Seeking with Diminishing Marginal Utility in a Non-expected Utility Model," Journal of Risk and Uncertainty, Springer, vol. 9(1), pages 77-91, July.
  3. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
  4. repec:hal:cesptp:halshs-00212281 is not listed on IDEAS
  5. Chateauneuf, Alain & Cohen, Michele & Meilijson, Isaac, 2004. "Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 547-571, August.
  6. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
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