expected utility (GEU) to the diversification of agents who maximize the conventional expected utility (EU). Specifically, we … derive the patterns of diversification for agents who maximize a rank-dependent' expected utility, attaching more weight to … bad' than to good' outcomes, in contrast to the probability weights used in a conventional expected utility maximization …

A number of authors have suggested that investors derive utility from realizing gains and losses on assets that they … own. We present a model of this quot;realization utility,quot; analyze its predictions, and show that it can shed light on …

Using implicit expected utility theory, a money metric of utility derived from playing a lottery game is developed …. Output of the lottery sector can be defined as the difference in utility with and without the game. Using a kinked parametric …

We present a theory of choice among lotteries in which the decision maker's attention is drawn to (precisely defined … payoffs, our model provides a novel and unified account of many empirical phenomena, including frequent risk-seeking behavior … distinguish it from Prospect Theory, which we test. We also use the model to modify the standard asset pricing framework, and use …

-driven equilibria under general utility functions within an OLG structure. Our paper further shows that the existence of sentiment …

constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by …This paper considers a representative agent model of asset prices based on a recursive utility specification. A … semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns …

Risk and time are intertwined. The present is known while the future is inherently risky. Discounted expected utility … robust violations of discounted expected utility, inconsistent with both prospect theory probability weighting and models …

that both our CEO and student subject pools exhibit frequent and large departures from expected utility theory. In addition … expected utility paradigm in decision making substantially underestimates society's willingness to pay to reduce risk in small …Are individuals expected utility maximizers? This question represents much more than academic curiosity. In a normative …

extremely high risk aversion would achieve a higher expected utility by holding a portfolio of stocks rather than bonds … wealth both by showing the empirical distribution of potential wealth values, and by computing the expected utility of these … determining the expected utility cost of holding equities in the retirement account. Our findings also demonstrate the importance …

reports on direct measures of preference parameters relating to risk tolerance, time preference, and intertemporal … of preference parameters display substantial heterogeneity. The majority of respondents fall into the least risk …-tolerant group, but a substantial minority display higher risk tolerance. The individual measures of intertemporal substitution and …