Calibration Results for Non-Expected Utility Theories
Rabin proved that a low level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabin’s arguments strongly depend on expected utility theory, but we show that similar arguments apply to general non-expected utility theories.
|Date of creation:||18 May 2008|
|Date of revision:|
|Publication status:||published, Econometrica, 76:5, 1143-1166, 2008.|
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