Reexamining Utility Functions for Normative Risk Analysis: Cara Utility and Gain Aversion
نویسنده
چکیده
منابع مشابه
Risk premiums and certainty equivalents of loss-averse newsvendors of bounded utility
Loss-averse behavior makes the newsvendors avoid the losses more than seeking the probable gains as the losses have more psychological impact on the newsvendor than the gains. In economics and decision theory, the classical newsvendor models treat losses and gains equally likely, by disregarding the expected utility when the newsvendor is loss-averse. Moreover, the use of unbounded utility to m...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملExplaining Heterogeneity in Risk Preferences Using a Finite Mixture Model
This paper studies the effect of the space (distance) between lotteries' outcomes on risk-taking behavior and the shape of estimated utility and probability weighting functions. Previously investigated experimental data shows a significant space effect in the gain domain. As compared to low spaced lotteries, high spaced lotteries are associated with higher risk aversion for high probabilities o...
متن کاملInvestigating the Role of real Money Balances in Households' Preferences function in the Framework of the Assets Pricing Models (M-CCAPM): Case study of Iran
In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are...
متن کاملRisk Premiums and Benefit Measures for Generalized-expected-utility Theories
Over the past fteen years, the theory of choice under uncertainty has undergone radical change. The pivotal contribution was Machinaas (1982) demonstration that a large class of preferences could be locally approximated by expected-utility func-tionals and that global preferences inherited properties, such as risk aversion, of the local utility functions. Less progress has been made, however, i...
متن کامل