Calibration Results for Non-Expected Utility Theories

Econometrica · 2008 · Volume 76 · Issue 5

Abstract

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.

Keywords

Risk aversion, calibration, non-expected utility theories

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