utility under a nonlinear expectation, and show monotonicity and continuity of utility. Risk aversion is characterized, and …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

creating a link. However, the interplay of such uncertainty and risk attitudes has been neglected in the network formation …, incomplete information, and risk aversion. The model predicts that an agent's risk aversion is correlated with her network …