Choice under risk is modelled using a piecewise linear version of rank-dependent utility. This model can be considered a continuous version of NEO-expected utility (Chateauneuf, Eichberger and Grant, 2007). In a framework of objective probabilities a preference foundation is given, without requiring a rich structure on the outcome set. The key axiom is called complementary additivity.
|Number of pages||12|
|Journal||Theory and Decision|
|Early online date||26 Aug 2016|
|Publication status||Published - 2016|
- Rank-dependent utility
- Security and potential level preferences