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

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.

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Year of publication:	2007-03
Authors:	Osaki, Yusuke ; Quiggin, John
Institutions:	Risk and Sustainable Management Group (RSMG), School of Economics
Subject:	Optimism \| pessimism \| rank dependent expected utility \| risk–neutral decision weight

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Extent:	application/pdf
Series:	Risk & Uncertainty Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number WP3R07
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008599209