Two-parameter decision models and rank-dependent expected utility

DOI10.1007/BF01079627zbMath0789.90026MaRDI QIDQ1316415

John Quiggin, Michael B. Ormiston

Publication date: 12 June 1994

Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)

zbMATH Keywords

expected utilitycomparative staticsoptimal portfolio investmenttwo-parameter models

Mathematics Subject Classification ID

Related Items (24)

The preservation of multivariate comparative statics in nonexpected utility theory ⋮ Economic choice in generalized expected utility theory ⋮ A note on deriving rank-dependent utility using additive joint receipts ⋮ A theory of coarse utility ⋮ Towards a more precise decision framework. A separation of the negative utility of chance from diminishing marginal utility and the preference for safety ⋮ Elitism and stochastic dominance ⋮ Interval scalability of rank-dependent utility ⋮ A possibilistic approach to risk aversion ⋮ Inferring beliefs as subjectively imprecise probabilities ⋮ Behavioral multi-criteria decision analysis: the TODIM method with criteria interactions ⋮ A betting market: Description and a theoretical explanation of bets in Pelota matches ⋮ COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES ⋮ Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection ⋮ Great expectations. I: On the customizability of generalized expected utility ⋮ Measurement analogies: comparisons of behavioral and physical measures ⋮ Uncertainty and measurement error in welfare models for risk changes ⋮ Deprivation, welfare and inequality ⋮ Ranked additive utility representations of gambles: Old and new axiomatizations ⋮ Inverse stochastic dominance constraints and rank dependent expected utility theory ⋮ Economically relevant preferences for all observed epsilon ⋮ Estimating allocations for value-at-risk portfolio optimization ⋮ Probability weighting and the `level' and `spacing' of outcomes: an experimental study over losses ⋮ Rank-Dependent Utility and Risk Taking in Complete Markets ⋮ A comparison of five models that predict violations of first-order stochastic dominance in risky decision making

Cites Work

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• Comparative statics for rank-dependent expected utility theory
• The impact of uncertainty in a class of objective functions
• Strong Increases in Risk and Their Comparative Statics
• Subjective Probability and Expected Utility without Additivity
• Risk Aversion with Random Initial Wealth
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• "Expected Utility" Analysis without the Independence Axiom
• First and Second Degree Transformations and Comparative Statics Under Uncertainty
• Risk Aversion in the Small and in the Large

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