Risk aversion in RDEU

DOI10.1016/J.JMATECO.2006.04.003zbMATH Open1142.91596OpenAlexW1982069077MaRDI QIDQ855365FDOQ855365

Matthew J. Ryan

Publication date: 7 December 2006

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2006.04.003

Recommendations

• Separating marginal utility and probabilistic risk aversion
• Characterization of left-monotone risk aversion in the RDEU model
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Rank dependent expected utility: Stochastic dominance, risk preference, and certainty equivalence
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model

zbMATH Keywords

risk aversionlocation independent riskrank-dependent expected utility

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Utility theory (91B16) Renewal theory (60K05)

Cites Work

• The Dual Theory of Choice under Risk
• Non-additive measure and integral
• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• Title not available (Why is that?)
• Title not available (Why is that?)
• Choice under uncertainty with the best and worst in mind: Neo-additive capacities
• Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
• The Generating Process and an Extension of Jewitt's Location Independent Risk Concept
• Risk seeking with diminishing marginal utility in a non-expected utility model
• A Schur concave characterization of risk aversion for non-expected utility preferences
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Separating marginal utility and probabilistic risk aversion
• Title not available (Why is that?)

Cited In (16)

• Risk attitudes in axiomatic decision theory: a conceptual perspective
• Dual Moments and Risk Attitudes
• Delayed probabilistic risk attitude: a parametric approach
• Characterization of left-monotone risk aversion in the RDEU model
• Risk-induced discounting
• A Schur concave characterization of risk aversion for non-expected utility preferences
• Characterizations of risk aversion in cumulative prospect theory
• Cost-efficient payoffs under model ambiguity
• Stochastic dominance representation of optimistic belief: theory and applications
• Observing different orders of risk aversion
• Risk behavior for gain, loss, and mixed prospects
• Rationalizing investors' choices
• Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
• Editorial to the special issue on behavioral insurance: mathematics and economics
• Rank-Dependent Utility and Risk Taking in Complete Markets
• Characterization of symmetrical monotone risk aversion in the RDEU model.

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