Search Results - subject:"Rank-dependent expected utility"

Rank-dependent probability weighting and the macroeconomy : insights from a model with incomplete markets and aggregate shocks

Cozzi, Marco - 2024

Persistent link: https://www.econbiz.de/10014566025

Optimal allocations with α-MaxMin utilities, Choquet expected utilities, and Prospect Theory

Beißner, Patrick; Werner, Jan - In: Theoretical Economics 18 (2023) 3, pp. 993-1022

The analysis of optimal risk sharing has been thus far largely restricted to non-expected utility models with concave utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the analysis to α-maxmin expected utility, Choquet expected...

Persistent link: https://www.econbiz.de/10014537001

Optimal allocations with α-maxmin utilities, Choquet expected utilities, and prospect theory

Beißner, Patrick; Werner, Jan - In: Theoretical economics : TE ; an open access journal in … 18 (2023) 3, pp. 993-1022

The analysis of optimal risk sharing has been thus far largely restricted to nonexpected utility models with concave utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the analysis to α-maxmin expected utility, Choquet expected...

Persistent link: https://www.econbiz.de/10014325255

Risk sharing with lambda value at risk

Liu, Peng - In: Mathematics of operations research 50 (2025) 1, pp. 313-333

Persistent link: https://www.econbiz.de/10015211691

Random rank-dependent expected utility

Kashaev, Nail; Aguiar, Victor H. - In: Games 13 (2022) 1, pp. 1-10

We present a novel characterization of random rank-dependent expected utility for finite datasets and finite prizes. As …, while random rank-dependent expected utility can explain the dataset. …

Persistent link: https://www.econbiz.de/10013200170

Coherent diversification measures in portfolio theory : an axiomatic foundation

Koumou, Gilles Boevi; Dionne, Georges - In: Risks : open access journal 10 (2022) 11, pp. 1-19

these axioms coherent correlation diversification measures. We study the compatibility of our axioms with rank-dependent … expected utility theory. We also test them against the two most frequently used methods for measuring correlation …

Persistent link: https://www.econbiz.de/10014225949

Random rank-dependent expected utility

Kashaev, Nail; Aguiar, Victor H. - In: Games 13 (2022) 1, pp. 1-10

We present a novel characterization of random rank-dependent expected utility for finite datasets and finite prizes. As …, while random rank-dependent expected utility can explain the dataset. …

Persistent link: https://www.econbiz.de/10013172016

Composition rules in original and cumulative prospect theory

Gonzalez, Richard J.; Wu, George - In: Theory and decision : an international journal for … 92 (2022) 3/4, pp. 647-675

Persistent link: https://www.econbiz.de/10013192426

Regulation strategy for behavioral integrity of live streamers : from the perspective of the platform based on evolutionary game in China

Fan, Jun; Peng, Lijuan; Chen, Tinggui; Cong, Guodong - In: Electronic markets : EM ; the international journal of … 34 (2024) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10015191298

Loss Aversion, Risk Aversion, and the Shape of the Probability Weighting Function

Rablen, Matthew D. - 2023

Loss aversion, risk aversion, and the probability weighting function (PWF) are three central concepts in explaining decisionmaking under risk. I examine interlinkages between these concepts in a model of decisionmaking that allows for loss averse/tolerant stochastic reference dependence and...

Persistent link: https://www.econbiz.de/10014377465

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