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Rôle de la transformation des probabilités dans la combinaison d'actifs risqués

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  • Jean-Pascal Gayant

Abstract

In this paper we study the combination of risky assets in a portfolio in the Rank Dependent Expected Utility model to exhibit the respective influences of probabilistic risk aversion and decreasing marginal utility. We show that the two properties act differently: probabilistic risk avesion leads the decision maker to minimize the risk brought upon whereas decreasing marginal utility incite her to obtain the best compromise between return and risk.

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  • Jean-Pascal Gayant, 2004. "Rôle de la transformation des probabilités dans la combinaison d'actifs risqués," Annals of Economics and Statistics, GENES, issue 73, pages 141-155.
    • Handle: RePEc:adr:anecst:y:2004:i:73:p:141-155
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    File URL: http://www.jstor.org/stable/20079072
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    Cited by:

    1. Trabelsi, Mohamed Ali, 2019. "The new models of decision in risk: A review of the critical literature," MPRA Paper 92693, University Library of Munich, Germany, revised 2019.
    2. Luc Arrondel & André Masson & Daniel Verger, 2004. "De la théorie à une enquête méthodologique originale," Économie et Statistique, Programme National Persée, vol. 374(1), pages 21-51.

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