IDEAS home Printed from https://ideas.repec.org/p/fth/pariem/97.53.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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.

Suggested Citation

  • Chateauneuf, A. & Cohen, M. & Meilijson, I., 1997. "More Pessimism than Greediness: A Characterization of Monotone Risk Aversion in the Rank-Dependant Expected Utility Model," Papiers d'Economie Mathématique et Applications 97.53, Université Panthéon-Sorbonne (Paris 1).
  • Handle: RePEc:fth:pariem:97.53
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. 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, pages 547-571.
    3. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    4. 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.
    5. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    6. 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.
    7. Allais Maurice, 1990. "Cardinal Utility," Journal des Economistes et des Etudes Humaines, De Gruyter, vol. 1(2), pages 1-38, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Asheim, Geir B. & Zuber, Stéphane, 2016. "Evaluating intergenerational risks," Journal of Mathematical Economics, Elsevier, pages 104-117.
    2. Mao, Tiantian & Hu, Taizhong, 2012. "Characterization of left-monotone risk aversion in the RDEU model," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 413-422.
    3. Michèle Cohen & Isaac Meilijson, 2011. "In search of a characterization of the preference for safety under the Choquet model," Documents de travail du Centre d'Economie de la Sorbonne 11031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. Gajdos, Thibault, 2004. "Single crossing Lorenz curves and inequality comparisons," Mathematical Social Sciences, Elsevier, vol. 47(1), pages 21-36, January.
    5. Grant, Simon & Quiggin, John, 2005. "Increasing uncertainty: a definition," Mathematical Social Sciences, Elsevier, pages 117-141.
    6. repec:kap:theord:v:84:y:2018:i:1:d:10.1007_s11238-017-9636-6 is not listed on IDEAS
    7. repec:hal:journl:halshs-00348822 is not listed on IDEAS
    8. Jordi Caballe & Joan Esteban, 2007. "Stochastic Dominance and Absolute Risk Aversion," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 28(1), pages 89-110, January.
    9. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
    10. John Quiggin & Robert Chambers, 2007. "Supermodularity and the Comparative Statics of Risk," Theory and Decision, Springer, vol. 62(2), pages 97-117, March.
    11. Zuber, Stéphane & Asheim, Geir B., 2012. "Justifying social discounting: The rank-discounted utilitarian approach," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1572-1601.
    12. Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Sonderforschungsbereich 504 Publications 07-50, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
      • Jürgen Eichberger & David Kelsey, 2007. "Ambiguity," Working Papers 0448, University of Heidelberg, Department of Economics, revised Jul 2007.
      • Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Papers 07-50, Sonderforschungsbreich 504.
    13. Grant, S. & Quiggin, J., 2001. "A Model-Free Definition of Increasing Uncertainty," Discussion Paper 2001-84, Tilburg University, Center for Economic Research.
    14. Ulrich Schmidt & Horst Zank, 2005. "What is Loss Aversion?," Journal of Risk and Uncertainty, Springer, vol. 30(2), pages 157-167, January.
    15. Michèle Cohen & Isaac Meilijson, 2014. "Preference for safety under the Choquet model: in search of a characterization," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(3), pages 619-642, April.
    16. Sordo, Miguel A., 2008. "Characterizations of classes of risk measures by dispersive orders," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1028-1034, June.
    17. Jean Baccelli, 2018. "Risk Attitudes in Axiomatic Decision Theory: a Conceptual Perspective," Post-Print hal-01620886, HAL.
    18. Xiangyu Qu, 2015. "A belief-based definition of ambiguity aversion," Theory and Decision, Springer, vol. 79(1), pages 15-30, July.
    19. Louis R. Eeckhoudt & Roger J. A. Laeven, 2016. "Dual Moments and Risk Attitudes," Papers 1612.03347, arXiv.org.
    20. repec:hal:journl:halshs-00594082 is not listed on IDEAS
    21. Minqiang Li, 2014. "On Aumann and Serrano’s economic index of risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(2), pages 415-437, February.
    22. 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, pages 547-571.
    23. Horst Zank, 2010. "Consistent probability attitudes," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 44(2), pages 167-185, August.
    24. Ryan, Matthew J., 2006. "Risk aversion in RDEU," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 675-697, September.
    25. repec:hal:journl:halshs-00348810 is not listed on IDEAS

    More about this item

    Keywords

    RISK ; UTILITY FUNCTION ; MODELS;

    JEL classification:

    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fth:pariem:97.53. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel). General contact details of provider: http://edirc.repec.org/data/cerp1fr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.