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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.

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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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Publisher 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
Web page: http://cermsem.univ-paris1.fr/
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Related research
Keywords: RISK ; UTILITY FUNCTION ; MODELS;

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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 and Programming - - - General

References listed on IDEAS
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  1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jürgen Eichberger & David Kelsey, 2007. "Ambiguity," Working Papers 0448, University of Heidelberg, Department of Economics, revised Jul 2007. [Downloadable!]
    Other versions:
  2. Jordi Caballe & Joan Ma. Esteban, 2002. "Stochastic Dominance and Absolute Risk Aversion," UFAE and IAE Working Papers 506.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    Other versions:
  3. Grant, S. & Quiggin, J., 2001. "A model-free definition of increasing uncertainty," Discussion Paper 84, Tilburg University, Center for Economic Research. [Downloadable!]
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