Probabilistic risk aversion with an arbitrary outcome set

This paper analyzes risk aversion when outcomes/consequences may not be measurable in monetary terms and people have fuzzy preferences over lotteries, i.e. they choose in a probabilistic manner. The paper shows that comparative risk aversion is well defined in a constant error/tremble model but not in a strong utility model.

[1]  Leonard J. Mirman,et al.  Risk aversion with many commodities , 1974 .

[2]  J. Hey,et al.  INVESTIGATING GENERALIZATIONS OF EXPECTED UTILITY THEORY USING EXPERIMENTAL DATA , 1994, Experiments in Economics.

[3]  David W Harless,et al.  The predictive utility of generalized expected utility theories , 1994 .

[4]  N. Wilcox.  Stochastically more risk averse: A contextual theory of stochastic discrete choice under risk , 2011 .

[5]  H. Peters,et al.  Convex functions on non-convex domains , 1986 .

[6]  Gustav Theodor Fechner,et al.  Elements of psychophysics , 1966 .

[7]  R. Duncan Luce,et al.  Individual Choice Behavior , 1959 .

[8]  M. Yaari,et al.  Some remarks on measures of risk aversion and on their uses , 1969 .

[9]  Ronald W. Hilton.  Risk attitude under random utility , 1989 .

[10]  Hans-Jürgen Zimmermann,et al.  Fuzzy sets and decision analysis , 1984 .

[11]  Robert Sugden,et al.  Incorporating a stochastic element into decision theories , 1995 .

[12]  Pavlo R. Blavatskyy,et al.  Stochastic Utility Theorem , 2007 .

[13]  Pavlo R. Blavatskyy,et al.  Stochastic expected utility theory , 2005 .

[14]  Daniel E. Geer,et al.  Risk Aversion , 2012, IEEE Secur. Priv..

[15]  Eugene Galanter,et al.  Handbook of mathematical psychology: I. , 1963 .

[16]  J. Pratt.  RISK AVERSION IN THE SMALL AND IN THE LARGE11This research was supported by the National Science Foundation (grant NSF-G24035). Reproduction in whole or in part is permitted for any purpose of the United States Government. , 1964 .

[17]  Colin Camerer.  An experimental test of several generalized utility theories , 1989 .

[18]  M. Machina.  "Expected Utility" Analysis without the Independence Axiom , 1982 .