Characterization of left-monotone risk aversion in the RDEU model (Q414609): Difference between revisions
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Several notions of risk aversion can be distinguished for the class of rank-dependent expected utility (RDEU) preferences. In this paper the authors extend the characterization of the left-monotone risk aversion developed by \textit{M. J. Ryan} [J. Math. Econ. 42, No. 6, 675--697 (2006; Zbl 1142.91596)] to the case of unbounded random variables. The characterization of the right-monotone risk aversion for unbounded random variables is also mentioned. A gap in the proof of the main result of Ryan [loc. cit.] is removed. | |||
Property / review text: Several notions of risk aversion can be distinguished for the class of rank-dependent expected utility (RDEU) preferences. In this paper the authors extend the characterization of the left-monotone risk aversion developed by \textit{M. J. Ryan} [J. Math. Econ. 42, No. 6, 675--697 (2006; Zbl 1142.91596)] to the case of unbounded random variables. The characterization of the right-monotone risk aversion for unbounded random variables is also mentioned. A gap in the proof of the main result of Ryan [loc. cit.] is removed. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60E15 / rank | |||
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Property / Mathematics Subject Classification ID: 91B08 / rank | |||
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Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6033261 / rank | |||
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Property / zbMATH Keywords | |||
dispersive order | |||
Property / zbMATH Keywords: dispersive order / rank | |||
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location independent risk order | |||
Property / zbMATH Keywords: location independent risk order / rank | |||
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excess wealth order | |||
Property / zbMATH Keywords: excess wealth order / rank | |||
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left stretch | |||
Property / zbMATH Keywords: left stretch / rank | |||
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risk aversion | |||
Property / zbMATH Keywords: risk aversion / rank | |||
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utility function | |||
Property / zbMATH Keywords: utility function / rank | |||
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probability-perception function | |||
Property / zbMATH Keywords: probability-perception function / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Shaked, Moshe / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.003 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2078483470 / rank | |||
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Latest revision as of 05:09, 5 July 2024
scientific article
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English | Characterization of left-monotone risk aversion in the RDEU model |
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Characterization of left-monotone risk aversion in the RDEU model (English)
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11 May 2012
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Several notions of risk aversion can be distinguished for the class of rank-dependent expected utility (RDEU) preferences. In this paper the authors extend the characterization of the left-monotone risk aversion developed by \textit{M. J. Ryan} [J. Math. Econ. 42, No. 6, 675--697 (2006; Zbl 1142.91596)] to the case of unbounded random variables. The characterization of the right-monotone risk aversion for unbounded random variables is also mentioned. A gap in the proof of the main result of Ryan [loc. cit.] is removed.
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dispersive order
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location independent risk order
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excess wealth order
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left stretch
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risk aversion
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utility function
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probability-perception function
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