Grant, Simon; Polak, Ben - In: Journal of Economic Theory 148 (2013) 4, pp. 1361-1398
deviations from the mean, and ρ(d) is a measure of (aversion to) dispersion that corresponds to an uncertainty premium. The key … feature of these mean-dispersion preferences is that they exhibit constant absolute uncertainty aversion. This class includes … ρ(⋅) correspond to known models, to probabilistic sophistication, and to some new notions of uncertainty aversion. …