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Risk aversion in the theory of expected utility with rank dependent probabilities

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Hong, Chew Soo, Karni, Edi and Safra, Zvi (1987) Risk aversion in the theory of expected utility with rank dependent probabilities. Journal of Economic Theory, 42 (2). pp. 370-381. doi:10.1016/0022-0531(87)90093-7

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Official URL: http://dx.doi.org/10.1016/0022-0531(87)90093-7

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Abstract

Expected utility with rank dependent probability theory is a model of decision-making under risk where the preference relations on the set of probability distributions is represented by the mathematical expectation of a utility function with respect to a transformation of the probability distributions on the set of outcomes. This paper defines, based on Gâteaux differentiability, measures of risk aversion for such preferences which characterize the relation “more risk averse” and applies these measures to the analysis of unconditional and conditional portfolio choice problems.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of Economic Theory
Publisher: Instituto Valenciano de Investigaciones Econimicas
ISSN: 0022-0531
Official Date: 1987
Dates:
DateEvent
1987UNSPECIFIED
Volume: 42
Number: 2
Page Range: pp. 370-381
DOI: 10.1016/0022-0531(87)90093-7
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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