function of the group.s wealth level, or equivalently, that the representative agent has a state-dependent utility function. We … degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

(Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia …

utility function can be represented as a convex mixture between worst and best case, but now at the local, infinitesimal level …. We study the properties of the utility function and provide an Arrow- Pratt approximation of the static and dynamic …

objectively (resp. subjectively) expected value of a von Neumann-Morgenstern utility function. For choice under risk, this implies … weak preference ordering. For choice under risk (resp. uncertainty), preferences are assumed to be represented by the …