TY - JOUR
T1 - Constant Risk Aversion
AU - Safra, Zvi
AU - Segal, Uzi
N1 - Funding Information:
* We thank Chew Soo Hong, Jim Davies, Larry Epstein, Joel Sobel, Shlomo Yitzhaki, and Peter Wakker for their useful comments and suggestions. Zvi Safra thanks the Johns Hopkins University and the Australian National University for their hospitality and the Israel Institute for Business Research for financial support. Uzi Segal thanks the Social Science and Humanities Research Council of Canada for financial support.
PY - 1998/11
Y1 - 1998/11
N2 - Constant risk aversion means that adding a constant to all outcomes of two distributions, or multiplying all their outcomes by the same positive number, will not change the preference relation between them. We prove several representation theorems, where constant risk aversion is combined with other axioms to imply specific functional forms. Among other things, we obtain a form of disappointment aversion theory without using the concept of reference point in the axioms, and a form of the rank dependent model without making references to the ranking of the outcomes. This axiomatization leads to a natural generalization of the Gini index.Journal of Economic LiteratureClassification Number: D81
AB - Constant risk aversion means that adding a constant to all outcomes of two distributions, or multiplying all their outcomes by the same positive number, will not change the preference relation between them. We prove several representation theorems, where constant risk aversion is combined with other axioms to imply specific functional forms. Among other things, we obtain a form of disappointment aversion theory without using the concept of reference point in the axioms, and a form of the rank dependent model without making references to the ranking of the outcomes. This axiomatization leads to a natural generalization of the Gini index.Journal of Economic LiteratureClassification Number: D81
UR - http://www.scopus.com/inward/record.url?scp=0002762533&partnerID=8YFLogxK
U2 - 10.1006/jeth.1997.2457
DO - 10.1006/jeth.1997.2457
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:0002762533
SN - 0022-0531
VL - 83
SP - 19
EP - 42
JO - Journal of Economic Theory
JF - Journal of Economic Theory
IS - 1
ER -