Abstract
Anticipated utility theory and prospect theory have been proposed as descriptive models of choice under uncertainty. This paper examines the concept of risk attitude under these two theories, and considers the relationship between risk attitude under von Neumann-Morgenstern expected utility theory and risk attitude under these alternative theories. A risk premium analysis is conducted, and risk premia are partitioned to characterize the complex nature of risk attitude under these theories. Comparative risk aversion across individuals is also considered.
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