More Pessimism than Greediness: A Characterization of Monotone Risk Aversion in the Rank-Dependant Expected Utility Model
AbstractWe 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 (), 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 InfoPaper provided by UniversitÃ© PanthÃ©on-Sorbonne (Paris 1) in its series Papiers d'Economie MathÃ©matique et Applications with number 97.53.
Length: 15 pages
Date of creation: 1997
Date of revision:
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RISK ; UTILITY FUNCTION ; MODELS;
Other versions of this item:
- Alain Chateauneuf & Michéle Cohen & Isaac Meilijson, 2005. "More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model," Economic Theory, Springer, vol. 25(3), pages 649-667, 04.
- Alain Chateauneuf & Michèle Cohen & Isaac Meilijson, 2005. "More pessimism than greediness: a characterization of monotone risk aversion in the Rank-Dependent Expected Utility model," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00211906, HAL.
- 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
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.:
- Alain Chateauneuf & Michèle Cohen & Isaac Meilijson, 2004.
"Four notions of mean preserving increase in risk, risk attitudes and applications to the Rank-Dependent Expected Utility model,"
UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers)
- 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.
- Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
- Quiggin, J. & Wakker, P., 1992.
"The Axiomatic Basis of Anticipated Utility: A Clarification,"
9203, Tilburg - Center for Economic Research.
- Quiggin John & Wakker Peter, 1994. "The Axiomatic Basis of Anticipated Utility: A Clarification," Journal of Economic Theory, Elsevier, vol. 64(2), pages 486-499, December.
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- 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.
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