Calibration results for non-expected utility theories
Rabin (2000) proved that a low level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabin’s arguments strongly depend on expected utility theory, but we show that similar arguments apply to general non-expected utility theories.
Pre-print draft version dated July 24, 2006. Final version published by Wiley; available online at http://onlinelibrary.wiley.com/
Vol. 76, Issue 5, pp. 1143 - 1166