Parametric weighting functions
Author: Diecidue, Enrico ; Schmidt, Ulrich ; Zank, HorstINSEAD Area: Decision SciencesIn: Journal of Economic Theory, vol. 144, no. 3, May 2009 Language: EnglishDescription: p. 1102-1118.Type of document: INSEAD ArticleNote: Please ask us for this itemAbstract: This paper provides preference foundations for parametric weighting functions under rank-dependent utility. This is achieved by decomposing the independence axiom of expected utility into separate meaningful properties. These conditions allow us to characterize rank-dependent utility with power and exponential weighting functions. Moreover, by allowing probabilistic risk attitudes to vary within the probability interval, a preference foundation for rank-dependent utility with parametric inverse-S shaped weighting function is obtained| Item type | Current location | Call number | Status | Date due | Barcode | Item holds |
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This paper provides preference foundations for parametric weighting functions under rank-dependent utility. This is achieved by decomposing the independence axiom of expected utility into separate meaningful properties. These conditions allow us to characterize rank-dependent utility with power and exponential weighting functions. Moreover, by allowing probabilistic risk attitudes to vary within the probability interval, a preference foundation for rank-dependent utility with parametric inverse-S shaped weighting function is obtained
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