Risk Aversion in Quiggin and Yaari's Rank-Order Model of Choice under Uncertainty
Risk Aversion in Quiggin and Yaari's Rank-Order Model of Choice under Uncertainty
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不确定性下 Quiggin 和 Yaari 的排序模型选择中的风险规避
DOI：
10.2307/3038236
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发表时间：
1987
期刊：
影响因子：
--
通讯作者：
A. Röell
中科院分区：
文献类型：
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作者：
A. Röell
本文研究了不确定条件下的秩依赖型选择模型，该模型由J.Quiggin于1982年提出，并由M.E.Yaari于1984年详细阐述。首先，为该模型提供了严格的公理基础。得出了与期望效用理论非常接近的类比，从而允许相当简化的处理。然后研究了风险厌恶及其度量，除了YARI所考虑的一个特征外，还给出了两个特征，一个弱的特征，一个强的特征。最后，风险厌恶和TH模型的其他性质与经验观察到的偏离预期效用最大化的行为有关。版权所有，皇家经济学会，1987年。
This paper studies the rank-dependent model of choice under uncertainty proposed by J. Quiggin in 1982 and elaborated by M. E. Yaari in 1984. First, a rigorous axiomatic foundation for the model is provided. A very close analogy with expected utility theory is drawn permitting a considerably simplified treatment. Risk aversion and its measurement are then studied; two characterizations, one weaker and one stronger, are presented in addition to the one considered by Yaari. Lastly, risk aversion and other properties of th model are related to empirically observed departures from expected utility maximizing behavior. Copyright 1987 by Royal Economic Society.