AUSI expected utility: An anticipated utility theory of relative disappointment aversion
Date
1998
Authors
Grant, Simon
Kajii, Atsushi
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Publisher
Elsevier
Abstract
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 Theory.
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Keywords
Rank-dependent expected utility, Disappointment aversion, Allais paradox
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Source
Journal of Economic Behavior and Organization
Type
Journal article
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Restricted until
2099-12-31
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