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AUSI expected utility: An anticipated utility theory of relative disappointment aversion

Grant, Simon; Kajii, Atsushi


In this paper we provide an axiomatization for a representation of preferences over lotteries that is only one parameter richer than expected utility. Our model is a special case of Rank-Dependent Expected Utility. Moreover, we show that the same restriction on this parameter is required for: risk aversion; intuitive comparative static results for a reasonably general class of economically interesting choice problems; and accommodating some of the most well-known violations of Expected Utility...[Show more]

CollectionsANU Research Publications
Date published: 1998
Type: Journal article
Source: Journal of Economic Behavior and Organization
DOI: 10.1016/S0167-2681(98)00094-8


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