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Piecewise linear rank-dependent utility

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  • Craig S. Webb

    (The University of Manchester)

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 et al., J Econ Theory 137:538–567, 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.

Suggested Citation

  • Craig S. Webb, 2017. "Piecewise linear rank-dependent utility," Theory and Decision, Springer, vol. 82(3), pages 403-414, March.
    • Handle: RePEc:kap:theord:v:82:y:2017:i:3:d:10.1007_s11238-016-9569-5
    DOI: 10.1007/s11238-016-9569-5
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Jinrui Pan & Craig S. Webb & Horst Zank, 2019. "Delayed probabilistic risk attitude: a parametric approach," Theory and Decision, Springer, vol. 87(2), pages 201-232, September.
    2. Matthew D. Rablen, 2023. "Loss Aversion, Risk Aversion, and the Shape of the Probability Weighting Function," Working Papers 2023013, The University of Sheffield, Department of Economics.
    3. Katarzyna M. Werner & Horst Zank, 2019. "A revealed reference point for prospect theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 67(4), pages 731-773, June.

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    More about this item

    Keywords

    Rank-dependent utility; Security and potential level preferences; Optimism; Pessimism;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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