Risk Attitudes and Measures of Value for Risky Lotteries

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dc.contributor.authorLEWANDOWSKI, Michal
dc.date.accessioned2010-02-08T14:57:34Z
dc.date.available2010-02-08T14:57:34Z
dc.date.issued2010
dc.descriptionDefense date: 15/01/2010en
dc.descriptionExamining Board: Professor Pascal Courty, University of Victoria, Canada, Supervisor Professor Fernando Vega-Redondo, EUI Professor Roberto Serrano, Brown University Professor Robert Sugden, University of East Angliaen
dc.description.abstractThe topic of this thesis is decision-making under risk. I focus my analysis on expected utility theory by von Neumann and Morgenstern. I am especially interested in modeling risk attitudes represented by Bernoulli utility functions that belong to the following classes: Constant Absolute Risk Aversion, Decreasing Absolute Risk Aversion (understood as strictly decreasing) and in particular a subset thereof - Constant Relative Risk Aversion. I build a theory of buying and selling price for a lottery, the concepts defined by Raiffa, since such theory proves useful in analyzing a number of interesting issues pertaining to risk attitudes' characteristics within expected utility model. In particular, I analyze the following: - Chapter 2 - expected utility without consequentialism, buying/selling price gap, preference reversal, Rabin paradox - Chapter 3 - characterization results for CARA, DARA, CRRA, simple strategies and an extension of Pratt result on comparative risk aversion - Chapter 4 - riskiness measure and its intuition, extended riskiness measure and its existence, uniqueness and propertiesen
dc.format.mimetypeapplication/pdf
dc.identifier.citationFlorence : European University Institute, 2010en
dc.identifier.doi10.2870/14404
dc.identifier.urihttps://hdl.handle.net/1814/13217
dc.language.isoenen
dc.publisherEuropean University Instituteen
dc.relation.ispartofseriesEUIen
dc.relation.ispartofseriesECOen
dc.relation.ispartofseriesPhD Thesisen
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subject.lcshDecision making
dc.subject.lcshStrategic planning
dc.subject.lcshRisk-taking (Psychology)
dc.titleRisk Attitudes and Measures of Value for Risky Lotteriesen
dc.typeThesisen
dspace.entity.typePublication
eui.subscribe.skiptrue
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