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Cited by 430

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Risk aversion in the theory of expected utility with rank dependent probabilities

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Hong, Chew Soo, Karni, Edi, Safra, Zvi·1987·Journal of Economic Theory
DOI 10.1016/0022-0531(87)90093-7
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Abstract

Expected utility with rank dependent probability theory is a model of decision-making under risk where the preference relations on the set of probability distributions is represented by the mathematical expectation of a utility function with respect to a transformation of the probability distributions on the set of outcomes. This paper defines, based on Gâteaux differentiability, measures of risk aversion for such preferences which characterize the relation “more risk averse” and applies these measures to the analysis of unconditional and conditional portfolio choice problems.

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Metadata

Authors
Hong, C. S., Karni, E., & Safra, Z.
Venue
Journal of Economic Theory
Publisher
Elsevier BV
Published
1987-08
Volume
42
Issue
2
Pages
370-381
ISSN
0022-0531 (ISSN-L)
DOI
10.1016/0022-0531(87)90093-7
OpenAlex
W1982635313
Cited by
430
References
0
FWCI
8.96
Type
journal article
Language
en
Open access
hybrid

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CoChat. (2026). Citation check: Risk aversion in the theory of expected utility with rank dependent probabilities. https://app.cochat.ai/papers/10.1016/0022-0531(87)90093-7
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Hong, C. S., Karni, E., & Safra, Z. (1987). Risk aversion in the theory of expected utility with rank dependent probabilities. Journal of Economic Theory. https://doi.org/10.1016/0022-0531(87)90093-7

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.