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