Calibration results for rank-dependent expected utility

William Neilson

Economics Bulletin, 2001, vol. 4, issue 10, 1-5

Abstract: If its utility function is everywhere increasing and concave, rank-dependent expected utility shares a troubling property with expected utility aversion to the same moderate-stakes risk at every wealth level implies an extreme aversion to large-stakes risks. In fact, the problem may be even worse for rank-dependent expected utility, since the moderate-stakes risk need not be actuarially fair.

JEL-codes: D8 (search for similar items in EconPapers)
Date: 2001-09-12
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Citations: View citations in EconPapers (11)

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