Source and rank-dependent utility

Utility Assessment under Expected Utility and Rank Dependent Utility Assumptions

On the Intuition of Rank-Dependent Utility

Among the most popular models for decision under risk and uncertainty are the rank-dependent models, introduced by Quiggin and Schmeidler. Central concepts in these models are rank-dependence and comonotonicity. It has been suggested in the literature that these concepts are technical tools that have no intuitive or empirical content. This paper describes such contents. As ¤corresponding author...

Calibration results for rank−dependent expected utility

If its utility function is everywhere increasing and concave, rank−dependent expected utility shares a troubling property with expected utility −− aversion to the same moderate−stakes risk at every wealth level implies an extreme aversion to large−stakes risks. In fact, the problem may be even worse for rank−dependent expected utility, since the moderate−stakes risk need not be actuarially fair...

Deriving Rank-Dependent Utility Through Probabilistic Consistency

This paper proposes a new preference condition that allows for the separation of decision weights from utility when lotteries over arbitrary sets of outcomes are considered. In the presence of weak order, Jensen-continuity, and stochastic dominance, adding the new probabilistic consistency condition to comonotonic independence leads to rank-dependent utility.

Rank-Dependent, Subjective Expected-Utility Representations

Gambles are recursively generated from pure payoffs, events, and other gambles, and a preference order over them is assumed. Weighted average utility representations are studied that are strictly increasing in each payoff and for which the weights depend both on the events underlying the gamble and the preference ranking over the several component payoffs. Basically two results are derived: a c...