Subjective Expected Utility with Non-Increasing Risk Aversion
It is shown that assumptions about risk aversion, usually studied under the pre-supposition of expected utility maximization, have a surprising extra merit at an earlier stage of the measurement work: together with the sure-thing principle, these assumptions imply subjective expected utility maximization for monotonic continuous weak orders.
|Keywords||expected utility, monotonicity, risk aversion, utility theory|
|Persistent URL||dx.doi.org/10.1007/BF02283522, hdl.handle.net/1765/23229|
Wakker, P.P.. (1989). Subjective Expected Utility with Non-Increasing Risk Aversion. Annals of Operations Research, 19(1), 219–228. doi:10.1007/BF02283522