Econometrica: Sep 2008, Volume 76, Issue 5
Calibration Results for Non‐Expected Utility Theories
Zvi Safra, Uzi SegalRabin (2000) proved that a low level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabin's arguments strongly depend on expected utility theory, but we show that similar arguments apply to general non‐expected utility theories.
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