The Dual Theory of Choice under Risk

By M. Yaari. 1987

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Citations in the corpus

Implicit Quantile Networks for Distributional Reinforcement Learning (2018, background): “Indeed, Yaari (1987) further showed that these two functions are inverses of each other.”
Decentralized Likelihood Quantile Networks for Improving Performance in Deep Multi-Agent Reinforcement Learning (2018, background): “IQN has shown to be able to easily produce risk-averse and risk-seeking policies by integrating different risk distortion measures ω : [0 , 1] → [0 , 1] (Yaari, 1987; Dabney et al., 2018).”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “Rank-dependent expected utility, due to Quiggin (1982) and Yaari (1987), modifies the Expected Utility framework to allow for probability weighting: the individual does not use objective probabilities, but rather transformed probabilities obtained from a weighting function g(·).”
A Unified Approach to Generate Risk Measures (2003, background): “Yaari (1987) introduced the dual theory of choice under risk.”
Extending the Bounds of Rationality: Evidence and Theories of Preferential Choice (2006, background): “The utility function assigns a real-valued utility to each option (e.g., u(A) is the utility assigned to option A), and the order implied by the utilities is used to predict the empirical preference ordering, that is, u(A) ≥ u(B) if, and only if A ≥p B. Standard utility theories include the expected”
Prospect Theory: Much Ado About Nothing? (2002, background): “…a cornerstone for the decision-making process, hence suggested in their 1992 paper the cumulative version of prospect theory such that if F dominates G with the objective probabilities, the dominance will not be violated even after the probability distortion (see also Quiggin 1982 and Yaari 1987).”
The value of a Statistical Life under Ambiguity Aversion (2010, background): “) is continuous and strictly increasing with g(0) 1⁄4 0 and g(1) 1⁄4 1; it is usually coined the decision weight function [44,68].”
Risk Aversion in the Small and in the Large under Rank-Dependent Utility (2015, background): “For instance, in the dual theory (Yaari [17]) or under rank-dependent utility (Quiggin [11]), Yaari [16], Chew, Karni and Safra [4], Roëll [12], Chateauneuf, Cohen and Meilijson [3], and Ryan [13] have proposed ∗Corresponding author.”
Paradoxes and mechanisms for choice under risk (2014, unknown): “Similarly, it can be easily verified that a dual expected utility agent (Yaari 1987) whose”
Optimal risk sharing under distorted probabilities (2008, background): “For more background on such risk measures Hg , see Yaari [33] who discusses evaluating random variables in a theory of risk that is dual to expected utility.”
Three Cheers—Psychological, Theoretical, Empirical—for Loss Aversion (2005, background): “Yaari (1987) forcefully notes the duality of the concavity of money utility and the nonlinearity of probability weighting as equally plausible explanations of risk aversion.”
$L$-functions, processes, and statistics in measuring economic inequality and actuarial risks (2009, background): “At this moment we only note that L-statistic (3) accommodates numerous indices of economic inequality as well as risk measures of actuarial science, especially those that are related to the distorted expectation theory or, in other words, Yaari’s [93] dual theory of choice under risk (see, e.”
Exotic Preferences for Macroeconomists (2004, background): “[Adapted from Epstein and Zin (1990) and Yaari (1987).]”
PORTFOLIO CHOICE VIA QUANTILES (2010, background): “As Yaari (1987) argues, risk preference is explicitly present and reflected by the probability distortion w in his dual criterion.”
Preferences over location-scale family (2008, background): “…can be further extended to a more general class of Gateaux differentiable non-expected utility functions examined by Machina (1982) and Ma (1993), and the rankdependent utility functions of Quiggin (1982) and Yaari (1984, 1987) to be narrated within the general non-expected utility framework.”
Risk Measures and Comonotonicity: A Review (2006, background): “Wang, S.; Young, V.R. Ordering risks: expected utility theory versus Yaari’s dual theory of risk.”