Efficient sets with and without the expected utility hypothesis
Consider a feasible set, X, of c.d.f.'s. Assume that the set of decision makers, who must choose from X, includes non-expected utility decision makers who are risk averse in some weaker notions. We show that in this case the efficient set of X expands relative to the expected utility case. We characterize the efficient sets for each notion of risk aversion including the expected utility case. It is also shown that the limited- coverage insurance policies, which are not efficient under the expected utility hypothesis, belong to the efficient set when weakly risk-averse non-expected utility functionals are assumed to exist.
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