Subjective expected utility with nonincreasing risk aversion
نویسندگان
چکیده
منابع مشابه
Expected Utility and Risk Aversion
This reading describes how people’s aversion to risk affects the decisions they make about investment. Basically, the concepts used to do this analysis emerge naturally when people have expected utility preferences, but not otherwise. So, it illustrates one important way that expected utility is applied. This analysis also makes it possible to illustrate how to do comparative statics. Comparati...
متن کاملClassical subjective expected utility.
We consider decision makers who know that payoff-relevant observations are generated by a process that belongs to a given class M, as postulated in Wald [Wald A (1950) Statistical Decision Functions (Wiley, New York)]. We incorporate this Waldean piece of objective information within an otherwise subjective setting à la Savage [Savage LJ (1954) The Foundations of Statistics (Wiley, New York)] a...
متن کاملRisk Aversion and Expected-Utility Theory: A Calibration Theorem
Within the expected-utility framework, the only explanation for risk aversion is that the utility function for wealth is concave: A person has lower marginal utility for additional wealth when she is wealthy than when she is poor. This paper provides a theorem showing that expected-utility theory is an utterly implausible explanation for appreciable risk aversion over modest stakes: Within expe...
متن کاملTuned Risk Aversion as Interpretation of Non-Expected Utility Preferences∗
We introduce the notion of Tuned Risk Aversion as a possible interpretation of non-expected utility preferences. It refers to tuning patterns of risk (and ambiguity) aversion to the composition of a lottery (or act) at hand, assuming only an overall ‘budget’ for accumulated risk aversion over its sub-lotteries. This makes the risk aversion level applied to a part intrinsically depending on the ...
متن کاملWhen can expected utility handle first-order risk aversion?
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either rst-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent risk aversion. We show that rst-order conditional dependent risk aversion is consistent with the framewo...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 1989
ISSN: 0254-5330,1572-9338
DOI: 10.1007/bf02283522