A Risk-neutral Characterization of Optimization and Pessimism and its Applications

This note gives a simple, but useful characterization of optimism and pessimism represented by a convex and concave shift of probability weighting functions, and applies it to two comparative static analysis.


Issue Date:
2007
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/151180
Total Pages:
14
JEL Codes:
D81
Series Statement:
Risk and Uncertainty Program
R07/3




 Record created 2017-04-01, last modified 2017-08-22

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