Although the link between risk aversion and diminishing marginal utility of wealth is academically well established, theoretical discussions concerning its empirical validity remain. The presented, review-type paper aims to briefly examine theoretical roots responsible for the different views on...

We establish a class of fully nonlinear conditional expectations. Similarly to the usage of linear expectations when a probabilistic description of uncertainty is present, we observe analogue quantitative and qualitative properties. The type of nonlinearity captures the agents sentiments of...

The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multidimensional. A weak concept, commodity specific greater risk aversion , is based on the comparison of risk premia paid in a specified commodity. A stronger concept, uniformly greater risk aversion...

We report a portfolio-choice experiment that enables us to estimate parametric models of ambiguity aversion at the level of the individual subject. The assets are Arrow securities that correspond to three states of nature, where one state is risky with known probability and two states are...

In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We study the extent to which a first-order approximated solution built by perturbation...

In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We study the extent to which a first-order approximated solution built by perturbation...

We consider the allotment problems of homogeneous indivisible objects among agents with single-peaked and risk-averse von Neumann-Morgenstern expected utility functions. We establish that the rule satisfies coalitional strategy-proofness, same-sideness, and strong symmetry if and only if it is...

In this paper we give an alternative characterization for time-consistent sets of measures in a discrete setting. For each measure \mathbb{P} in a time-consistent set \mathcal{P} we get a distinct set of predictable processes which in return decribe the \mathbb{P} uniquely. This implies we get a...

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...