کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
966479 | 930977 | 2006 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk aversion in RDEU
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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چکیده انگلیسی
Various notions of risk aversion can be distinguished for the class of rank-dependent expected utility (RDEU) preferences. We discuss the relationships amongst five of these, and describe simple (testable) characterizations in terms of elementary probability transformations for all but the weakest notion. The paper also provides the first complete characterization of the RDEU orderings that are risk-averse in the sense of Jewitt [Jewitt, I., 1989. Choosing between risky prospects: the characterization of comparative static results and location independent risk. Management Science 35, 60-70]. We also extend Chew et al.'s [Chew, S.H., Karni, E., Safra, Z., 1987. Risk aversion in the theory of utility with rank-dependent probabilities. Journal of Economic Theory 42, 370-381] important characterization of strong risk aversion [Rothschild, M., Stiglitz, J.E., 1970. Increasing risk: I. A definition. Journal of Economic Theory 2, 225-243] by relaxing strict monotonicity and differentiability assumptions, and allowing for discontinuities in the probability transformation function. The important special case of maximin choice falls within this relaxed RDEU class. It is shown that any strongly risk-averse RDEU order is a convex combination of maximin and another RDEU order with concave utility and continuous, concave probability transformation. Our proof of the result on strong risk aversion is also simpler (as well as more general) than that of Chew et al. [Chew, S.H., Karni, E., Safra, Z., 1987. Risk aversion in the theory of utility with rank-dependent probabilities. Journal of Economic Theory 42, 370-381].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 42, Issue 6, September 2006, Pages 675-697
Journal: Journal of Mathematical Economics - Volume 42, Issue 6, September 2006, Pages 675-697
نویسندگان
Matthew J. Ryan,