KLSX91] ensure the existence of the expected utility maximizer for investors with constant relative risk aversion coefficients less than one. In this note, we explain a simple trick that allows us to use this result to provide the existence of utility maximizers for arbitrary coefficients of relative risk aversion. The simplicity of our approach is to be contrasted with the general existence re...

The Pratt-Arrow measure of local risk aversion is generalized for the n-dimensional state-preference model of choice under uncertainty in which the decision maker may have inseparable probabilities and subjective utilities, unobservable stochastic prior wealth, and/or smooth non-expected-utility preferences. Local risk aversion is measured by the matrix of derivatives of the decision maker’s ri...

AESTRACT In this paper we extend the continuous-time dynamic programming approach for Asset/Liability Management from Boulier et al. (1995). It is an extension in the sense that we consider objective functions for pension fund management that are different from the standard quadratic loss functions. In particular, we calculate optimal policies for a loss Rmction with Constant Relative Risk Aver...

Identification and analysis of farmers’ vulnerability associated with their risk aversion degree is one of the necessary requirements for planning and reducing impacts of drought in Iran. So, this study was investigated three risk vulnerability parameters (economic, social and technical) among wheat farmers categorized in accordance with their risk aversion degree in the Mashhad County (Iran) b...

We study feasible sets of the bargaining problem under two different assumptions: the players are subjective expected utility maximizers or the players are Choquet expected utility maximizers. For the latter case, we consider the effects on bargaining solutions when players become more risk averse and when they become more uncertainty averse. JEL Classification: C78, D81

I this paper we roughly quantify the degree of risk aversion induced by three rationales for corporate risk management: the cost of financial distress, costly external finance, and the principal-agent relationship between shareholders and management. In so doing, we provide a foundation for the use of corporate utility functions. However, we are unable to fully support the degree of risk aversi...

We provide a model of decision making under uncertainty in which the decision maker reacts to imprecision of the available data. Data is represented by a set of probability distributions. We axiomatize a decision criterion of the maxmin expected utility type, in which the set of priors explicitly depends on the available data. The central axiom is one of aversion towards imprecision of the info...

Core-selecting combinatorial auctions have been introduced as an alternative to the Vickrey-Clarke-Groves (VCG) mechanism because VCG results in payments that are not in the core with respect to bids, leading to unfair payments, unacceptably low revenues, and unstable outcomes. This raises an auction selection problem for an auctioneer deciding whether to employ a core-selecting auction or VCG ...

Dual-channel not only provides reasonable products but also a large quantity of opportunities, where the members’ attitude towards risk has a major impact on channel optimization. In this paper, risks are classified as general risk and interruption risk. As for general risk, combined with risk-aversion attitude, mean-variance method is used to build optimal pricing model and expected utility mo...

The theoretical literature on risk aversion and Expected Utility Theory is extensive; however, the analysis of this behaviour with natural experiments could be more comprehensive. In paper, we use data from 120 episodes Portuguese version TV game show Price Right, namely Wheel game, to explore as well impact gender in decision-making. has straightforward rules huge expected payoffs. All contest...