Showing 1 - 6 of 6
La Vallée (1968), in the expected utility model, gives a sufficient condition for positivity of the bid-selling spread. In this article, we show that this sufficient condition, namely decreasing absolute risk aversion (DARA) is in fact necessary. Moreover, we prove that the expected utility...
Persistent link: https://www.econbiz.de/10005797748
Although it is endowed with many interesting properties, the theory of decision-making under risk by Loomes and Sugden [1986] has never been given an axiomatics. In this paper, we make up for this omission because their lottery-dependent functional is endowed with many interesting properties to...
Persistent link: https://www.econbiz.de/10010791260
If an investor does care for utilities –and not for monetary outcomes– stochastic dominances should be expressed in terms of utility units ("utils"). If so, any "rational" investor may be characterized by an elementary utility function –called canonical utility function– which is such...
Persistent link: https://www.econbiz.de/10010711836
If an investor does care for utilities –and not for monetary outcomes– stochastic dominances should be expressed in terms of utility units ("utils"). If so, any "rational" investor may be characterized by an elementary utility function –called canonical utility function– which is such...
Persistent link: https://www.econbiz.de/10010711874
If an investor does care for utilities –and not for monetary outcomes– stochastic dominances should be expressed in terms of utility units ("utils"). If so, any "rational" investor may be characterized by an elementary utility function –called canonical utility function– which is such...
Persistent link: https://www.econbiz.de/10010711877
In this paper, a fully choice-based theory of disappointment is developed. It encompasses, as particular cases, EU theory, Gul's theory of disappointment (1991) and the models of Loomes and Sugden (1986). According to the new theory, the risk premium of a random prospect is the sum of two...
Persistent link: https://www.econbiz.de/10008784457