More Pessimism than Greediness: A Characterization of Monotone Risk Aversion in the Rank-Dependant Expected Utility Model

Alain Chateauneuf, Michèle Cohen and I. Meilijson

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: We study attitudes towards risk in the Rank Dependent Expected Utility (RDEU) model. This model replaces expected utility by another functional, which is characterised by two functions, a utility function on outcomes in conjunction with a probability-perception function. We use the notion of monotone risk aversion introduced by Quiggin ([18]), that is, aversion to monotone mean-presrving increase in risk, based on a notion of co-monotonicity of random variables that has been shown to play a decisive role in this field.

Keywords: RISK; UTILITY FUNCTION; MODELS (search for similar items in EconPapers)
JEL-codes: C60 D81 (search for similar items in EconPapers)
Pages: 15 pages
Date: 1997
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model (2005)
Working Paper: More pessimism than greediness: a characterization of monotone risk aversion in the Rank-Dependent Expected Utility model (2005)
Working Paper: More pessimism than greediness: a characterization of monotone risk aversion in the Rank-Dependent Expected Utility model (2005)
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