Experimental studies show that people's risk preferences depend non-linearly on probabilities, but relatively little is … of investors who maximize rank-dependent utility in a single-period complete market. We prove that investors with a less … risk averse preference relation in general choose a more risky final wealth distribution, receiving a risk premium in …

utility (SEU) representation given by a Borel probability measure on S and a continuous utility function. I consider two …

objectively (resp. subjectively) expected value of a von Neumann-Morgenstern utility function. For choice under risk, this implies … weak preference ordering. For choice under risk (resp. uncertainty), preferences are assumed to be represented by the …

portability risks, whereas DC plans bear asset and contribution risk. We model these diff erences explicitly in this paper and … compare these two plans in a utility based framework. Our numerical analysis focuses on determining the critical job switching …

gamble and denote those values by risk and reward, respectively. In this paper we show the connection between these numbers … and the certainty equivalent of a gamble, explain how the (risk, reward) pair paints a richer picture about the risk and … return characteristics of that gamble to that individual than the one obtained from the (risk premium, expected value …

We re-visit the problem of optimal insurance design under Rank-Dependent Expected Utility (RDEU) examined by Bernard et …

This paper analyzes the optimal investment policies of rank-dependent utility maximizing investor who must manage the … risk exposure using a general law- invariant risk measure such as Value-at-Risk and tail Value-at-Risk. The analytic … control the risk exposure when he/she has not enough money to invest or the constraint is very restrictive …