Calibration Results for Non-Expected Utility Theories

Zvi Safra and Uzi Segal

Econometrica, 2008, vol. 76, issue 5, 1143-1166

Abstract: Rabin (2000) proved that a low level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabin's arguments strongly depend on expected utility theory, but we show that similar arguments apply to general non-expected utility theories. Copyright 2008 The Econometric Society.

Date: 2008
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Working Paper: Calibration Results for Non-Expected Utility Theories (2008)
Working Paper: Calibration Results for Non-Expected Utility Theories (2006)
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