Optimal allocations with a-MaxMin utilities, Choquet expected utilities, and prospect theory

• 成果类型: Article
• 署名作者: Beissner, Patrick; Werner, Jan
• 署名单位: Australian National University; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE5060
• 发表日期: 2023-07-01
• 页码: 993-1022
• 关键词: Quasidifferential calculus; ambiguity; Pareto optimality; & alpha; -MaxMin expected utility; Choquet expected utility; rank-dependent expected utility; cumulative prospect theory

摘要

The analysis of optimal risk sharing has been thus far largely restricted to nonexpected utility models with concave utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the analysis to a-maxmin expected utility, Choquet expected utility, and cumulative prospect theory, which accommodate ambiguity seeking and risk seeking attitudes. We introduce a novel methodology of quasidifferential calculus of Demyanov and Rubinov (1986, 1992) and argue that it is particularly well suited for the analysis of these three classes of utility functions, which are neither concave nor differentiable. We provide characterizations of quasidifferentials of these utility functions, derive first-order conditions for Pareto optimal allocations under uncertainty, and analyze implications of these conditions for risk sharing with and without aggregate risk.