Piecewise linear rank-dependent utility.

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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 languageEnglish
Number of pages12
JournalTheory and Decision
Early online date26 Aug 2016
DOIs
Publication statusPublished - 2016

Keywords

  • Rank-dependent utility
  • Security and potential level preferences
  • Optimism
  • Pessimism

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