Properties of bid and ask reservation prices in the rank-dependent expected utility model

DOI10.1016/S0304-4068(00)00048-3zbMath0966.91034OpenAlexW2017415535MaRDI QIDQ1590373

Patrick Roger

Publication date: 20 August 2001

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(00)00048-3

zbMATH Keywords

bid-ask spreadrank-dependent expected utility modelMarkov makers

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

Characterization of symmetrical monotone risk aversion in the RDEU model.

Cites Work

• Risk aversion in the theory of expected utility with rank dependent probabilities
• Comparative statics for rank-dependent expected utility theory
• Subjective Probability and Expected Utility without Additivity
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• The Dual Theory of Choice under Risk

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