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Calibration results for non-expected utility theories
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Safra, Zvi and Segal, U. (Uzi) (2008) Calibration results for non-expected utility theories. Econometrica, 76 (5). pp. 1143-1166. doi:10.3982/ECTA6175 ISSN 0012-9682.
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Official URL: http://dx.doi.org/10.3982/ECTA6175
Abstract
Rabin (2000) 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.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Econometrica | ||||
Publisher: | Blackwell Publishing | ||||
ISSN: | 0012-9682 | ||||
Official Date: | September 2008 | ||||
Dates: |
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Volume: | 76 | ||||
Number: | 5 | ||||
Page Range: | pp. 1143-1166 | ||||
DOI: | 10.3982/ECTA6175 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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