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 …) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about …

recursive utility models postulated by Epstein and Zin (1989). The conditions center on a single test value with a natural …

separable utility. Applications of weighted utility can be found in choice under risk (expected utility) and uncertainty … (subjective expected utility), intertemporal choice (discounted utility) and welfare economics (utilitarian social welfare … function). This paper presents an improved behavioral characterization (preference axiomatization) of weighted utility. It is …

effect through the actions taken. I present a model that incorporates beliefs into an agent's utility function. The paper … provides axiomatic foundations for a special class of non-additive utility indices defined over infinite streams of beliefs and … satisfying these assumptions admit a generalized discounted utility representation in which all terms depend on both actions and …

a utility gradient inequality for continuous-time recursive utility in the Epstein-Zin parametrization with relative …

on a consumption amount rather than on utility. Second, the agent is allowed to trade his lottery outcome to optimize his …

This note proposes the Burr utility function. Burr utility is a flexible two-parameter family that behaves … avoids the extreme behavior of the power family near the origin. We show how to characterize Burr utility as a special case … in the general class of utility functions with non-increasing and convex absolute risk aversion, and non-decreasing and …

and convex function, while Morgenstern utility functions (applying to risk averse decision makers) are nondecreasing and … utility function. If we derive the generator itself in this way, dependence properties of an Archimedean copula that are often … taken to be desirable, match with generally sought after properties of the corresponding utility function. If, on the other …

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus … (1978), converges to stochastic di erential utility, as introduced by Du e and Epstein (1992), in the continuous-time limit …

Neumann-Morgenstern expected utility functions using cooperative game theory. The social network literature studies various … measures can be supported as von Neumann-Morgenstern expected utility functions, reflecting preferences over different network … cooperative TU-games to give a utility foundation of a class of TU-game solutions containing the Shapley value. …