Showing 1 - 6 of 6
Rabin 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...
Persistent link: https://www.econbiz.de/10005074095
Persistent link: https://www.econbiz.de/10005053264
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 for expected utility theory. Later, Safra and Segal extended this result by showing that similar arguments apply to...
Persistent link: https://www.econbiz.de/10005053280
Rabin 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 general non-expected utility...
Persistent link: https://www.econbiz.de/10005027831
Rabin 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...
Persistent link: https://www.econbiz.de/10005027832
This note shows that Machina's (1982) assumption that preferences over lotteries are smooth has some economic implications. We show that Frâ„chet differentiability implies that preferences represent second order risk aversion (as well as conditional second order risk aversion). This implies,...
Persistent link: https://www.econbiz.de/10005027872