Testing choquet expected utility
نویسندگان
چکیده
منابع مشابه
Choquet Expected Utility
Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that a general form of pessimistic portfolio optimizat...
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Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that pessimistic portfolio optimization based on the C...
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This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are non-additive expected utility maximizers. We show that when agents have the same convex capacity, the set of Pareto-optima is independent of it and identical to the set of optima of an economy in which agents are expected utility maximizers and have same probability. Hence, optimal allocations ar...
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1 CERMSEM, Maison des Sciences Economiques, Université Paris I Panthéon-Sorbonne, 106-112 Boulevard de l’Hôpital, 75647 Paris cedex 13, FRANCE (e-mail: [email protected]) 2 Alfred Weber Institute, Department of Economics, University of Heidelberg, Grabengasse 14, 69117 Heidelberg, GERMANY (e-mail: [email protected]) 3 Department of Economics, Rice University MS-22, ...
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Assuming the classic contingent claim setting, a number of nancial asset demand tests of Expected Utility have been developed and implemented in experimental settings. However the domain of preferences of these asset demand tests di¤er from the mixture space of distributions assumed in the traditional binary lottery laboratory tests of von Neumann-Morgenstern Expected Utility preferences. We d...
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ژورنال
عنوان ژورنال: Journal of Economic Behavior & Organization
سال: 1994
ISSN: 0167-2681
DOI: 10.1016/0167-2681(94)90109-0