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Risk aversion in the small and in the large : calibration results for betweenness functionals
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Safra, Zvi and Segal, U. (Uzi) (2009) Risk aversion in the small and in the large : calibration results for betweenness functionals. Journal of Risk and Uncertainty, 38 (1). pp. 27-37. doi:10.1007/s11166-008-9057-6 ISSN 0895-5646.
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Official URL: http://dx.doi.org/10.1007/s11166-008-9057-6
Abstract
A reasonable level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. This was demonstrated by Rabin (Econometrica 68:1281–1292, 2000) for expected utility theory. Later, Safra and Segal (Econometrica, 2008) extended this result by showing that similar arguments apply to many non-expected utility theories, provided they are Gâteaux differentiable. In this paper we drop the differentiability assumption and by restricting attention to betweenness theories we show that much weaker conditions are sufficient for the derivation of similar calibration results.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Journal of Risk and Uncertainty | ||||
Publisher: | Springer New York LLC | ||||
ISSN: | 0895-5646 | ||||
Official Date: | February 2009 | ||||
Dates: |
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Volume: | 38 | ||||
Number: | 1 | ||||
Page Range: | pp. 27-37 | ||||
DOI: | 10.1007/s11166-008-9057-6 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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