Characterization of left-monotone risk aversion in the RDEU model (Q414609): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.003 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2078483470 / rank | |||
Normal rank | |||
Revision as of 23:29, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Characterization of left-monotone risk aversion in the RDEU model |
scientific article |
Statements
Characterization of left-monotone risk aversion in the RDEU model (English)
0 references
11 May 2012
0 references
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.
0 references
dispersive order
0 references
location independent risk order
0 references
excess wealth order
0 references
left stretch
0 references
risk aversion
0 references
utility function
0 references
probability-perception function
0 references
