Calibration without reduction for non-expected utility

• 成果类型: Article
• 署名作者: Freeman, David
• 署名单位: Simon Fraser University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.03.007
• 发表日期: 2015
• 页码: 21-32
• 关键词: Risk aversion; calibration; Non-expected utility theories; recursive preferences

摘要

Calibration results in Rabin (2000) and Safra and Segal (2008, 2009) suggest that both expected and non-expected utility theories cannot produce non-negligible risk aversion over small stakes without producing implausible risk aversion over large stakes. This paper provides calibration results for recursive non-expected utility theories that relax the Reduction of Compound Lotteries axiom (as in Segal, 1990). These calibration results imply that a broad class of non-expected utility theories can accommodate both small and large stakes risk aversion, even for a decision-maker who faces background risk. (C) 2015 Elsevier Inc. All rights reserved.