• Medientyp: E-Book
  • Titel: Rank-Dependent Utility and Risk Taking in Complete Markets
  • Beteiligte: He, Xue Dong [Verfasser:in]; Kouwenberg, Roy [Sonstige Person, Familie und Körperschaft]; Zhou, Xun Yu [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2016]
  • Umfang: 1 Online-Ressource (40 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.2555244
  • Identifikator:
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 19, 2016 erstellt
  • Beschreibung: Experimental studies show that people's risk preferences depend non-linearly on probabilities, but relatively little is known about how probability weighting influences investment decisions. In this paper we analyze the portfolio choice problem of investors who maximize rank-dependent utility in a single-period complete market. We prove that investors with a less risk averse preference relation in general choose a more risky final wealth distribution, receiving a risk premium in return for accepting conditional-zero-mean noise (more risk). We also propose a new scenario-based notion of less risk taking that can be applied when state probabilities are unknown
  • Zugangsstatus: Freier Zugang