More Pessimism than Greediness: A Characterization of Monotone Risk Aversion in the Rank-Dependant Expected Utility Model

We study attitudes towards risk in the Rank Dependent Expected Utility (RDEU) model. This model replaces expected utility by another functional, which is characterised by two functions, a utility function on outcomes in conjunction with a probability-perception function. We use the notion of monotone risk aversion introduced by Quiggin ([18]), that is, aversion to monotone mean-presrving increase in risk, based on a notion of co-monotonicity of random variables that has been shown to play a decisive role in this field.RISK ; UTILITY FUNCTION ; MODELS