Calibration Results for Non-Expected Utility Theories

Zvi Safra; Uzi Segal

doi:10.3982/ecta6175

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Econometrica Vol. 76 No. 5 2008

Calibration Results for Non-Expected Utility Theories

Zvi Safra^1,2; Uzi Segal^3,4

¹ Tel Aviv University · ² College of Management Academic Studies · ³ Boston College · ⁴ Thanyarak Institute

Abstract

Rabin (2000) proved that a low level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabin's arguments strongly depend on expected utility theory, but we show that similar arguments apply to general non-expected utility theories.

DOI: 10.3982/ecta6175
Volume: 76
Issue: 5
Pages: 1143-1166
Language: en
Sources: bibtex:phds-export.bib openalex crossref

Calibration Results for Non-Expected Utility Theories

Abstract

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