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William Neilson
''Calibration results for rank-dependent expected utility''
( 2001, Vol. 4 No.10 )
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: D8 - Information, Knowledge, and Uncertainty: General
Manuscript Received : Sep 07 2001 Manuscript Accepted : Sep 12 2001

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