HOROWITZ SEMINAR

PROBABILITY, ERGODIC THEORY and DYNAMICAL SYSTEMS

Isaco Meilijson (TAU)

will speak on

Weak risk aversion and betting on more than one hole in roulette.

ABSTRACT:
The Rank-dependent utility model (RDU) allows decision makers (DM) to distort probabilities
(by a probability perception function) and not only money (by a utility function) when comparing lotteries.

Probability neutral DMs with concave utility are risk averse from a number of equivalent view points
(weak - prefer constant to random, strong - Martingale less random to more random, monotone - Bickel&Lehmann less dispersed to more dispersed).

For RDU DM's or Choquet capacity DMs more generally, all three are different and the simplest, weak risk aversion, has eluded analysis.

Some partial results will be presented, related to casino functions and whether gamblers should place bets in more than one hole per move.

To suggest a talk (yours, or someone elses), contact Jon. Aaronson: aaro at post dot tau dot ac dot il

Back to: Jon Aaronson's homepage.