Calibration results for rank-dependent expected utility

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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Year of publication:	2001
Authors:	Neilson, William
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 4.2001, 10, p. 1-5
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	D8 - Information and Uncertainty
Source:	RePEc - Research Papers in Economics

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