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Risk and Choice: A Research Saga
Gollier, Christian; Hammitt, James; Treich, Nicolas - Institut d'Économie Industrielle (IDEI), Toulouse … - 2013
As in any research field, risk theory has its important questions, results, and paradoxes, as well as its seminal … papers and key authors. Louis Eeckhoudt has been a key author in the field of risk theory. To celebrate his many … contributions to the literature, and provides some illustrations of the remarkable research saga in risk theory over the last 50 …
Persistent link: https://www.econbiz.de/10010968958
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Risk and Choice: A Research Saga
Gollier, Christian; Hammitt, James; Treich, Nicolas - Toulouse School of Economics (TSE) - 2013
As in any research field, risk theory has its important questions, results, and paradoxes, as well as its seminal … papers and key authors. Louis Eeckhoudt has been a key author in the field of risk theory. To celebrate his many … contributions to the literature, and provides some illustrations of the remarkable research saga in risk theory over the last 50 …
Persistent link: https://www.econbiz.de/10011004782
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Risk Aversion and Income Tax Enforcement
Chander, Parkash - Econometric Society - 2004
This paper characterizes optimal income tax and audit schemes in the presence of costly enforcement when the agent is risk averse and not necessarily risk neutral. It is shown that the results under risk-neutrality (Chander and Wilde (1998)) largely hold under risk aversion. We first show that...
Persistent link: https://www.econbiz.de/10005342345
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A New Example of a Closed Form Mean-Variance Representation
McLaren, Keith R. - Department of Econometrics and Business Statistics, … - 2009
of expected utility theory. In general, the two sufficient conditions to allow this are either quadratic preferences with …
Persistent link: https://www.econbiz.de/10005149060
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AN ECONOMIC INDEX OF RISKINESS
Serrano, Roberto; Aumann, Robert J. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2007
Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individual with constant ARA who is indifferent between taking and not taking that gamble. We characterize this index by axioms, chief among them a “duality” axiom which, roughly speaking, asserts...
Persistent link: https://www.econbiz.de/10005264553
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Once Upon a Time Preference - How Rationality and Risk Aversion Change the Rationale for Discounting
Traeger, Christian - CESifo - 2012
The paper develops an axiomatic framework for rational decision making. The von Neumann-Morgenstern axioms give rise to a richer risk attitude than that captured in the standard discounted expected utility model. I derive three models that permit a more comprehensive risk evaluation. These...
Persistent link: https://www.econbiz.de/10010544183
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One Theory For Two Risk Premia
GABILLON, Emmanuelle - Groupe de Recherche en Économie Théorique et … - 2011
Generally, in the standard presentation of the expected utility model, the risk premium represents how much a risk-averse decision maker is ready to pay to have a risk eliminated. Here, however, we introduce a different risk premium: how much should a risk (which could be the return on a...
Persistent link: https://www.econbiz.de/10009368904
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Risky Curves: From Unobservable Utility to Observable Opportunity Sets
Friedman, Daniel; Sunder, Shyam - Cowles Foundation for Research in Economics, Yale University - 2011
Most theories of risky choice postulate that a decision maker maximizes the expectation of a Bernoulli (or utility or similar) function. We tour 60 years of empirical search and conclude that no such functions have yet been found that are useful for out-of-sample prediction. Nor do we find...
Persistent link: https://www.econbiz.de/10009251218
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An economic index of riskiness
Aumann, Robert J.; Serrano, Roberto - Instituto de Ciencias Sociales, Instituto Madrileño de … - 2007
Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individual with constant ARA who is indifferent between taking and not taking that gamble. We characterize this index by axioms, chief among them a \"duality\" axiom which, roughly speaking, asserts that...
Persistent link: https://www.econbiz.de/10005823552
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Decision under risk : The classical Expected Utility model.
Chateauneuf, Alain; Cohen, Michèle; Tallon, Jean-Marc - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
This chapter of a collective book aims at presenting the basics of decision making under risk. We first define notions of risk and increasing risk and recall definitions and classifications (that are valid independently of any representation) of behavior under risk. We then review the classical...
Persistent link: https://www.econbiz.de/10004988947