More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model

By Alain Chateauneuf, M. Cohen, Isaac Meilijson. 2005

89 citations recorded by the source corpus.

Subfields: General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/883a12fa8cf603e935bbdfa2e80fdd829d6a2c7b

Citations in the corpus

• Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model (2004, unknown): “The authors study in [7] a departure from concavity of u , and characterize the pairs ( u, f ) of RDEU agents averse to monotone increase in risk: as long as f displays strong enough pessimism in some sense, u can even be convex.”
• APPLICATIONS OF BEHAVIOURAL ECONOMICS TO TAX EVASION (2012, unknown): “…ω ⎛ ⎝ i−1∑ j=1 p j ⎞ ⎠ [U (xi ) − U (xi−1)] (22) which, in the two-outcome case, can be written as V = U (x2) − ω (p1) [U (x2) − U (x1)] = ω (p1) U (x1) + [1 − ω (p1)] U (x2) (23) Chateauneuf et al. (2005) provide the necessary and sufficient condition in the Rank-Dependent Expected Utility…”