Risk Weighted Utility Theory as a Solution to the Equity Premium Puzzle.

In this paper, we formulate a restatement of the theory of choice under uncertainty. As an alternative to the rank-dependent expected utility model, we develop a probability-altering theory in which the transformation of probabilities is weighted by the centered outcome of the lottery which may be viewed as "pure" risk.

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Year of publication:	1999
Authors:	Chauveau, T. ; Nalpas, N.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	RISK \| GENERATIONS \| FINANCIAL MARKET

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	43 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005630721