Rôle de la transformation des probabilités dans la combinaison d'actifs risqués

Jean-Pascal Gayant

Annals of Economics and Statistics, 2004, issue 73, 141-155

Abstract: In this paper we study the combination of risky assets in a portfolio in the Rank Dependent Expected Utility model to exhibit the respective influences of probabilistic risk aversion and decreasing marginal utility. We show that the two properties act differently: probabilistic risk avesion leads the decision maker to minimize the risk brought upon whereas decreasing marginal utility incite her to obtain the best compromise between return and risk.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2004:i:73:p:141-155

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