위험관리 | Cases and Studies of Risk Management in Lottery & Gambling | 危險管理
- date : 2015-05-20 01:10|hit : 1722
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- Article] The reflection effect for constant risk averse agents
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DocNo of ILP: 6655
Doc. Type: Article
Title: The reflection effect for constant risk averse agents
Authors: Smorodinsky, R
Full Name of Authors: Smorodinsky, R
Keywords by Author: reflection effect; betweenness; constant risk aversion
Keywords Plus: EXPECTED UTILITY; CHOICE
Abstract: Assume a decision maker has a preference relation over monetary lotteries. The reflection effect, first observed by Kahneman and Tversky, states that the preference order for two lotteries is reversed once they are multiplied by - 1. The decision maker is constant risk averse (CRA) if adding the same constant to two distributions, or multiplying them by the same positive constant, will not change the preference relation between them. We combine these two axioms with the betweenness axiom and continuity, and prove a representation theorem. A technical curiosity is that the functions we get satisfy the betweenness axiom, yet are not necessarily Gateaux (nor Frechet) differentiable. (C) 2000 Elsevier Science B.V. All rights reserved.
Cate of OECD: Economics and business
Year of Publication: 2000
Business Area: lottery
Detail Business: lottery
Country: Netherlands
Study Area:
Name of Journal: MATHEMATICAL SOCIAL SCIENCES
Language: English
Country of Authors: Technion Israel Inst Technol, Davidson Fac Ind Engn & Management, IL-32000 Haifa, Israel
Press Adress: Smorodinsky, R (reprint author), Technion Israel Inst Technol, Davidson Fac Ind Engn & Management, IL-32000 Haifa, Israel.
Email Address:
Citaion:
Funding:
Lists of Citation: CHEW SH, 1989, ANN OPER RES, V19, P272; CHEW SH, 1987, J ECON THEORY, V42, P370; COOMBS CH, 1976, J MATH PSYCHOL, V13, P323, DOI 10.1016/0022-2496(76)90024-9; DEKEL E, 1986, J ECON THEORY, V40, P304, DOI 10.1016/0022-0531(86)90076-1; KAHNEMAN D, 1979, ECONOMETRICA, V47, P263, DOI 10.2307/1914185; KARMARKAR US, 1978, ORGAN BEHAV HUM PERF, V21, P61, DOI 10.1016/0030-5073(78)90039-9; MACHINA MJ, 1982, ECONOMETRICA, V50, P277, DOI 10.2307/1912631; Nash JF, 1950, ECONOMETRICA, V18, P155, DOI 10.2307/1907266; ROBERTS KWS, 1980, REV ECON STUD, V47, P421, DOI 10.2307/2297002; Safra Z, 1998, J ECON THEORY, V83, P19, DOI 10.1006/jeth.1997.2457; Savage L., 1954, FDN STAT; SMORODINSKY R, 1995, UNPUB NASHS BARGAINI; WAKKER PP, 1997, SIMPLE AXIOMATIZATIO; YAARI ME, 1987, ECONOMETRICA, V55, P95, DOI 10.2307/1911158
Number of Citaion: 14
Publication: ELSEVIER SCIENCE BV
City of Publication: AMSTERDAM
Address of Publication: PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
ISSN: 0165-4896
29-Character Source Abbreviation: MATH SOC SCI
ISO Source Abbreviation: Math. Soc. Sci.
Volume: 40
Version: 3
Start of File: 265
End of File: 276
DOI: 10.1016/S0165-4896(00)00046-9
Number of Pages: 12
Web of Science Category: Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods
Subject Category: Business & Economics; Mathematics; Mathematical Methods In Social Sciences
Document Delivery Number: 366ZV
Unique Article Identifier: WOS:000090036900002
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