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