Are Universal Preferences Possible? Calibration Results for Non-Expected Utility Theories∗
نویسندگان
چکیده
Rabin [37] proved that a low level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabin’s arguments strongly depend on expected utility theory, but we show that similar arguments apply to almost all non-expected utility theories and even to theories dealing with uncertainty. The set of restrictions needed in order to avoid such absurd behavior may suggest that the assumption of universality of preferences over final wealth is too strong.
منابع مشابه
Risk aversion in the small and in the large: Calibration results for betweenness functionals
A reasonable level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. This was demonstrated by Rabin (Econometrica 68:1281–1292, 2000) for expected utility theory. Later, Safra and Segal (Econometrica 76:1143–1166, 2008) extended this result by showing that similar arguments apply to many non-expected utility theorie...
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A reasonable level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. This was demonstrated by Rabin [15] for expected utility theory. Later, Safra and Segal [18] extended this result by showing that similar arguments apply to almost all non-expected utility theories, provided they are Gâteaux differentiable. In this...
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Rabin [23] proved that a low level of risk aversion with respect to small gambles leads to a high level of risk aversion with respect to large gambles. Rabin’s arguments strongly depend on expected utility theory, but we show in this paper that similar arguments apply to many non expected utility theories, and to a certain extent, to theories dealing with uncertainty as well.
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