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- W2261061682 abstract "Some psychologists and neuroscientists suggest that humans are badly calibrated when dealing with small probabilities and/or tail events. Rank-dependent utility, one of the most important extensions of expected utility, addresses this issue with an inverse-S shaped probability weighting function. In this paper, we employ rank-dependent utility to infer a representative investor's risk preferences from option prices and the time series of the underlying. This preference calculus can explain a pricing kernel's non-monotonicity, violations of second-order stochastic dominance in option markets, and differences in risk-neutral distributions depending on whether they are estimated from option cross sections or from the underlying's time series via Girsanov's theorem. In line with the findings of psychologists and behavioral economists, we fail to reject an inverse-S shaped probability weighting function." @default.
- W2261061682 created "2016-06-24" @default.
- W2261061682 creator A5009990499 @default.
- W2261061682 date "2009-12-15" @default.
- W2261061682 modified "2023-09-26" @default.
- W2261061682 title "Option-Implied Risk Attitude Under Rank Dependent Utility" @default.
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