Constant risk aversion

DOI10.1006/JETH.1997.2457zbMath0913.90068OpenAlexW2060030710WikidataQ57918123 ScholiaQ57918123MaRDI QIDQ1272651

Uzi Segal, Zvi Safra

Publication date: 3 January 1999

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8cdb79db11cac6c558b39b9ce7087a3940be218d

zbMATH Keywords

reference pointconstant risk aversionGini indexaxiomatization

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

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Related Items (28)

Invariant risk attitudes ⋮ A simple model of cumulative prospect theory ⋮ Probability weighting and L-moments ⋮ Social welfare functions with a reference income ⋮ Linear-risk-tolerant, invariant risk preferences ⋮ The two faces of independence: betweenness and homotheticity ⋮ Transitive regret over statistically independent lotteries ⋮ Mean-variance utility ⋮ Source and rank-dependent utility ⋮ Calibration without reduction for non-expected utility ⋮ Mixture independence foundations for expected utility ⋮ A nonsmooth approach to nonexpected utility theory under risk ⋮ Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method ⋮ Learning to set the reserve price optimally in laboratory first price auctions ⋮ Mean-dispersion preferences and constant absolute uncertainty aversion ⋮ European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions ⋮ On cross-risk vulnerability ⋮ Existence and uniqueness of ordinal Nash outcomes ⋮ On measuring welfare `behind a veil of ignorance' ⋮ The reflection effect for constant risk averse agents ⋮ Rank-dependent preferences without ranking axioms ⋮ Time varying risk aversion and its connectedness: evidence from cryptocurrencies ⋮ Expected utility, independence, and continuity ⋮ Parametric weighting functions ⋮ Risk aversion in the small and in the large: Calibration results for betweenness functionals ⋮ Behavioral premium principles ⋮ Incomplete preferences, willingness to pay, and willingness to accept ⋮ min, max, and sum

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