Calibration results for rank−dependent expected utility
نویسنده
چکیده
If its utility function is everywhere increasing and concave, rank−dependent expected utility shares a troubling property with expected utility −− aversion to the same moderate−stakes risk at every wealth level implies an extreme aversion to large−stakes risks. In fact, the problem may be even worse for rank−dependent expected utility, since the moderate−stakes risk need not be actuarially fair. I am grateful to Rajiv Sarin for helpful advice, and to the Private Enterprise Research Center and the Program in the Economics of Public Policy for financial support. Citation: Neilson, William, (2001) "Calibration results for rank−dependent expected utility." Economics Bulletin, Vol. 4, No. 10 pp. 1−5 Submitted: September 7, 2001. Accepted: September 12, 2001. URL: http://www.economicsbulletin.com/2001/volume4/EB−01D80002A.pdf
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