Characterization of left-monotone risk aversion in the RDEU model (Q414609): Difference between revisions

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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zbMATH Keywords

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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full work available at URL

https://doi.org/10.1016/j.insmatheco.2012.02.003

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cites work

Q5618987

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Descriptive statistics for non-parametric models. III: Dispersion

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Q4836494

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Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model

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More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model

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

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A characterization of the dilation order and its applications

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Partial Orderings of Distributions Based on Right-Spread Functions

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Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk

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Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion

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The Generating Process and an Extension of Jewitt's Location Independent Risk Concept

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Comparing risks with unbounded distributions

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Risk Aversion in the Small and in the Large

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Q4026101

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Risk aversion in RDEU

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Two Variability Orders

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Stochastic orders

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The Dual Theory of Choice under Risk

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Identifiers

zbMATH Open document ID

1252.60022

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DOI

10.1016/j.insmatheco.2012.02.003

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:414609

@@ 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.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E15
@@ Property / Mathematics Subject Classification ID: 60E15 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B08
@@ Property / Mathematics Subject Classification ID: 91B08 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6033261
@@ Property / zbMATH DE Number: 6033261 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dispersive order
@@ Property / zbMATH Keywords: dispersive order / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+location independent risk order
@@ Property / zbMATH Keywords: location independent risk order / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+excess wealth order
@@ Property / zbMATH Keywords: excess wealth order / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+left stretch
@@ Property / zbMATH Keywords: left stretch / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk aversion
@@ Property / zbMATH Keywords: risk aversion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+utility function
@@ Property / zbMATH Keywords: utility function / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+probability-perception function
@@ Property / zbMATH Keywords: probability-perception function / rank @@
+Normal rank
@@ Property / reviewed by @@
+Shaked, Moshe
@@ Property / reviewed by: Shaked, Moshe / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2012.02.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2078483470
@@ Property / OpenAlex ID: W2078483470 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5618987
@@ Property / cites work: Q5618987 / rank @@
+Normal rank
@@ Property / cites work @@
+Descriptive statistics for non-parametric models. III: Dispersion
+Normal rank
@@ Property / cites work @@
+Q4836494
@@ Property / cites work: Q4836494 / rank @@
+Normal rank
@@ Property / cites work @@
+Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
+Normal rank
@@ Property / cites work @@
+More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
+Normal rank
@@ Property / cites work @@
+Risk aversion in the theory of expected utility with rank dependent probabilities
+Normal rank
@@ Property / cites work @@
+A characterization of the dilation order and its applications
+Normal rank
@@ Property / cites work @@
+Partial Orderings of Distributions Based on Right-Spread Functions
+Normal rank
@@ Property / cites work @@
+Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
+Normal rank
@@ Property / cites work @@
+Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
+Normal rank
@@ Property / cites work @@
+The Generating Process and an Extension of Jewitt's Location Independent Risk Concept
+Normal rank
@@ Property / cites work @@
+Comparing risks with unbounded distributions
@@ Property / cites work: Comparing risks with unbounded distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Aversion in the Small and in the Large
@@ Property / cites work: Risk Aversion in the Small and in the Large / rank @@
+Normal rank
@@ Property / cites work @@
+Q4026101
@@ Property / cites work: Q4026101 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk aversion in RDEU
@@ Property / cites work: Risk aversion in RDEU / rank @@
+Normal rank
@@ Property / cites work @@
+Two Variability Orders
@@ Property / cites work: Two Variability Orders / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic orders
@@ Property / cites work: Stochastic orders / rank @@
+Normal rank
@@ Property / cites work @@
+The Dual Theory of Choice under Risk
@@ Property / cites work: The Dual Theory of Choice under Risk / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:414609