Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Risk premium and non-smooth utility
Sjur Didrik Flåm
Abstract
ABSTRACT
Criticism of expected utility theory emphasizes the asymmetry between gains and losses. Also stressed is the role of actual wealth. These aspects invite special scrutiny of risk aversion, whether in the small or in the large, at a reference point, called the status quo, wherutility is non-smooth.
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