Parametric weighting functions

Enrico Diecidue, Ulrich Schmidt, Horst Zank

Research output: Contribution to journalArticlepeer-review


This paper provides preference foundations for parametric weighting functions under rank-dependent utility. This is achieved by decomposing the independence axiom of expected utility into separate meaningful properties. These conditions allow us to characterize rank-dependent utility with power and exponential weighting functions. Moreover, by allowing probabilistic risk attitudes to vary within the probability interval, a preference foundation for rank-dependent utility with parametric inverse-S shaped weighting function is obtained. © 2008 Elsevier Inc. All rights reserved.
Original languageEnglish
Pages (from-to)1102-1118
Number of pages16
JournalJournal of Economic Theory
Issue number3
Publication statusPublished - May 2009


  • Comonotonic independence
  • Preference foundation
  • Probability weighting function
  • Rank-dependent utility


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