Probabilistic risk aversion with an arbitrary outcome set
This paper analyzes risk aversion when outcomes/consequences may not be measurable in monetary terms and people have fuzzy preferences over lotteries, i.e.Â they choose in a probabilistic manner. The paper shows that comparative risk aversion is well defined in a constant error/tremble model but not in a strong utility model.
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- Wilcox, Nathaniel, 2007. "Stochastically more risk averse: A contextual theory of stochastic discrete choice under risk," MPRA Paper 11851, University Library of Munich, Germany.
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- Pavlo R. Blavatskyy, 2008. "Risk Aversion," IEW - Working Papers 370, Institute for Empirical Research in Economics - University of Zurich.
- Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
- Mark J Machina, 1982. ""Expected Utility" Analysis without the Independence Axiom," Levine's Working Paper Archive 7650, David K. Levine.
- Blavatskyy, Pavlo R., 2008. "Stochastic utility theorem," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1049-1056, December.
- Camerer, Colin F, 1989. "An Experimental Test of Several Generalized Utility Theories," Journal of Risk and Uncertainty, Springer, vol. 2(1), pages 61-104, April. Full references (including those not matched with items on IDEAS)