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Risk aversion in the small and in the large: Calibration results for betweenness functionals

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  • Zvi Safra
  • Uzi Segal

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  • Zvi Safra & Uzi Segal, 2009. "Risk aversion in the small and in the large: Calibration results for betweenness functionals," Journal of Risk and Uncertainty, Springer, vol. 38(1), pages 27-37, February.
    • Handle: RePEc:kap:jrisku:v:38:y:2009:i:1:p:27-37
    DOI: 10.1007/s11166-008-9057-6
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    References listed on IDEAS

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    1. Chew, S H & Epstein, Larry G & Segal, U, 1991. "Mixture Symmetry and Quadratic Utility," Econometrica, Econometric Society, vol. 59(1), pages 139-163, January.
    2. Ariel Rubinstein, 2006. "Dilemmas of an Economic Theorist," Econometrica, Econometric Society, vol. 74(4), pages 865-883, July.
    3. Dean P. Foster & Sergiu Hart, 2009. "An Operational Measure of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 785-814.
    4. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
    5. Cox, James C. & Sadiraj, Vjollca, 2006. "Small- and large-stakes risk aversion: Implications of concavity calibration for decision theory," Games and Economic Behavior, Elsevier, vol. 56(1), pages 45-60, July.
    6. Zvi Safra & Uzi Segal, 2008. "Calibration Results for Non-Expected Utility Theories," Econometrica, Econometric Society, vol. 76(5), pages 1143-1166, September.
    7. Gul, Faruk, 1991. "A Theory of Disappointment Aversion," Econometrica, Econometric Society, vol. 59(3), pages 667-686, May.
    8. Smorodinsky, Rann, 2000. "The reflection effect for constant risk averse agents," Mathematical Social Sciences, Elsevier, vol. 40(3), pages 265-276, November.
    9. Chew, Soo Hong, 1983. "A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox," Econometrica, Econometric Society, vol. 51(4), pages 1065-1092, July.
    10. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
    11. Luigi Guiso & Monica Paiella, 2008. "Risk Aversion, Wealth, and Background Risk," Journal of the European Economic Association, MIT Press, vol. 6(6), pages 1109-1150, December.
    12. Guiso, Luigi & Jappelli, Tullio & Terlizzese, Daniele, 1996. "Income Risk, Borrowing Constraints, and Portfolio Choice," American Economic Review, American Economic Association, vol. 86(1), pages 158-172, March.
    13. Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    14. Safra, Zvi & Segal, Uzi, 1998. "Constant Risk Aversion," Journal of Economic Theory, Elsevier, vol. 83(1), pages 19-42, November.
    15. Stefan Hochguertel, 2003. "Precautionary motives and portfolio decisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 61-77.
    16. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    17. Fishburn, Peter C., 1983. "Transitive measurable utility," Journal of Economic Theory, Elsevier, vol. 31(2), pages 293-317, December.
    18. Dekel, Eddie, 1986. "An axiomatic characterization of preferences under uncertainty: Weakening the independence axiom," Journal of Economic Theory, Elsevier, vol. 40(2), pages 304-318, December.
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    Cited by:

    1. Freeman, David, 2015. "Calibration without reduction for non-expected utility," Journal of Economic Theory, Elsevier, vol. 158(PA), pages 21-32.
    2. Cerreia-Vioglio, Simone & Dillenberger, David & Ortoleva, Pietro, 2020. "An explicit representation for disappointment aversion and other betweenness preferences," Theoretical Economics, Econometric Society, vol. 15(4), November.
    3. James Cox & Vjollca Sadiraj & Bodo Vogt & Utteeyo Dasgupta, 2013. "Is there a plausible theory for decision under risk? A dual calibration critique," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(2), pages 305-333, October.
    4. Olivier L'Haridon & Craig S. Webb & Horst Zank, 2021. "An Effective and Simple Tool for Measuring Loss Aversion," Economics Discussion Paper Series 2107, Economics, The University of Manchester.

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