Piecewise linear rank-dependent utility.

Craig Webb

doi:10.1007/s11238-016-9569-5

Piecewise linear rank-dependent utility.

Craig Webb

Economics

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Abstract

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.

Original language	English
Number of pages	12
Journal	Theory and Decision
Early online date	26 Aug 2016
DOIs	https://doi.org/10.1007/s11238-016-9569-5
Publication status	Published - 2016

Keywords

Rank-dependent utility
Security and potential level preferences
Optimism
Pessimism

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10.1007/s11238-016-9569-5

Piecewise linear rank-dependent utility.Accepted author manuscript, 458 KB

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Piecewise linear rank-dependent utility.

Abstract

Keywords

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