A Risk–Neutral Characterization of Optimism and Pessimism, and its Applications

Yusuke Osaki and John Quiggin
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Yusuke Osaki: Risk & Sustainable Management Group, School of Economics, University of Queensland

No WP3R07, Risk & Uncertainty Working Papers from Risk and Sustainable Management Group, University of Queensland

Abstract: This note gives a simple, but useful characterization of optimism and pessimism represented by a convex and concave shift of probability weighting functions, and applies it to two comparative static analysis.

Keywords: Optimism; pessimism; rank dependent expected utility; risk–neutral decision weight. (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2007-03
New Economics Papers: this item is included in nep-upt
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