Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 2008, Volume 76, Issue 5

Calibration Results for Non‐Expected Utility Theories

https://doi.org/10.3982/ECTA6175
p. 1143-1166

Zvi Safra, Uzi Segal

Rabin (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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