Consistent probability attitudes

In this paper, the principle of meaningful measurement of probabilistic attitudes is revisited. A new principle of consistency in probability attitudes is proposed, which allows for the identification of decision weights completely separate from utility. In the familiar and elegant von Neuman-Morgenstern setup of decision under risk with given objective probabilities, it is shown that, in the presence of standard properties for preferences, adding the new consistency principle leads to rank-dependent utility. © Springer-Verlag 2009.