On the economic meaning of Machina's Fréchet differentiability assumption

DOI10.1006/JETH.2002.2926MaRDI QIDQ697962zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Zvi Safra, Uzi Segal

Publication date 18 September 2002

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

Full work available at URL http://fmwww.bc.edu/EC-P/wp511.pdf

zbMATH Keywords

preferencessecond order risk aversionFréchet differentiability

Mathematics Subject Classification ID

Individual preferences (91B08)

Recommendations

• Differentiable von Neumann-Morgenstern utility
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• scientific article; zbMATH DE number 4079112

Cites work

• scientific article; zbMATH DE number 3933858 (Why is no real title available?)
• "Expected Utility" Analysis without the Independence Axiom
• A Theory of Disappointment Aversion
• First order versus second order risk aversion
• First-order risk aversion and non-differentiability
• Observing different orders of risk aversion
• Payoff kinks in preferences over lotteries
• Risk aversion in the theory of expected utility with rank dependent probabilities
• The Dual Theory of Choice under Risk
• \(L_ p\)-Fréchet differentiable preference and ``local utility analysis

Cited in

(2)

• Introduction to the discussion of Maurice Fréchet's article
• Calibration without reduction for non-expected utility

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