We extend the analysis of risk aversion with state-dependent preferences to the Rank-dependent Expected Utility theory …. We find that in this extended theory, for two preference relations to be comparable in risk aversion, not only do their … reference sets need to coincide (a condition first introduced by Karni (1983, 85) in the original Expected Utility framework …

implausible risk characteristics. The authors characterize a new class of utility function whose risk parameters depend upon … can have decreasing risk aversion, and risky assets in a quadratic utility multi-asset environment do not have to be …Conventional one-period utility functions in Economics assume that initial wealth only enters preferences through the …

level of global risk aversion such that all increasing concave utility functions with at least as much global risk aversion … lower level of global risk aversion, we can find two utility functions in this class yielding opposite preference relations …In this paper we propose the infimum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk …

subsequent times learns to behave as prescribed by the expected-utility model. To do so, the analysis moves from the relevant … behavioural models suggested by psychology (i.e., weighted probabilities applied to regret and rejoice theory), and by updating …), and this is true to a greater extent in a complex context. The expected-utility model explains real behaviours in the long …

This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in …, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the utility function u has … perspective to alternative risk measures and notions of certainty equivalents. Taking the investor's point of view, OEU maximizes …