Small- and large-stakes risk aversion: Implications of concavity calibration for decision theory

• 成果类型: Article
• 署名作者: Cox, James C.; Sadiraj, Vjollca
• 署名单位: University of Arizona; Indiana University System; Indiana University Bloomington; University of Arizona; University of Amsterdam
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2005.08.001
• 发表日期: 2006
• 页码: 45-60
• 关键词: concavity calibration; Expected utility theory; prospect theory; risk aversion

摘要

A growing literature reports the conclusions that: (a) expected utility theory does not provide a plausible theory of risk aversion for both small-stakes and large-stakes gambles; and (b) this decision theory should be replaced with an alternative theory characterized by loss aversion. This paper explains that the arguments in previous literature fail to support these conclusions. Either concavity calibration has no general implication for expected utility theory or it has problematic implications for all decision theories that involve concave transformations (utility of value functions) of positive money payoffs, which makes loss aversion irrelevant to the argument. (c) 2005 Elsevier Inc. All rights reserved.