| Authors |
|
| Publication date |
2022
|
| Journal |
Operations Research
|
| Volume | Issue number |
70 | 3
|
| Pages (from-to) |
1330-1341
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
-
Faculty of Economics and Business (FEB)
|
| Abstract |
In decision under risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this paper, we show that in the canonical nonexpected utility models provided by the dual theory and rank-dependent utility, dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute risk aversion.
|
| Document type |
Article
|
| Note |
With supplementary file. - In special Issue: Mathematical Models Of Individual And Group Decision Making In Operations Research (in Honor Of Kenneth Arrow).
|
| Language |
English
|
| Published at |
https://doi.org/10.1287/opre.2020.2040
|
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