Subjective expected utility with nonincreasing risk aversion

Subjective expected utility with nonincreasing risk aversion

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Article ID: iaor1989278
Country: Switzerland
Volume: 19
Start Page Number: 219
End Page Number: 228
Publication Date: May 1989
Journal: Annals of Operations Research
Authors:
Abstract:

It is shown that assumptions about risk aversion, usually studied under the presupposition of expected utility maximization, have a surprising extra merit at a early stage of the measurement work: together with the sure-thing principle, these assumptions imply subjective expected utility maximization for monotonic continuous weak orders.

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