Economics Department

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TITLE:
Calibration Results for Non-Expected Utility Theories

AUTHOR(S):
Zvi Safra, Tel Aviv University
Uzi Segal, Boston College

DOCUMENT TYPE: Article

ABSTRACT:
Rabin 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 almost all non-expected utility theories.