Risk Attitudes in Axiomatic Decision Theory: a Conceptual Perspective
Jean Baccelli ()
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Jean Baccelli: Munich Center for Mathematical Philosophy, LMU - Ludwig Maximilian University [Munich], IHPST - Institut d'Histoire et de Philosophie des Sciences et des Techniques - UP1 - Université Paris 1 Panthéon-Sorbonne - DEC - Département d'Etudes Cognitives - ENS Paris - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique
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In this paper, I examine the decision-theoretic status of risk attitudes. I start by providing evidence showing that the risk attitude concepts do not play a major role in the axiomatic analysis of the classic models of decision-making under risk. This can be interpreted as reflecting the neutrality of these models between the possible risk attitudes. My central claim, however, is that such neutrality needs to be qualified and the axiomatic relevance of risk attitudes needs to be re-evaluated accordingly. Specifically, I highlight the importance of the conditional variation and the strengthening of risk attitudes, and I explain why they establish the axiomatic significance of the risk attitude concepts. I also present several questions for future research regarding the strengthening of risk attitudes.
Keywords: non-expected utility; cautious expected utility; rank-dependent utility; risk aversion; conditional certainty equivalent; Allais paradox (search for similar items in EconPapers)
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Published in Theory and Decision, Springer Verlag, 2018, 84 (1), pp.61-82. ⟨10.1007/s11238-017-9636-6⟩
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01620886
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