Parametric weighting functions

• 成果类型: Article
• 署名作者: Diecidue, Enrico; Schmidt, Ulrich; Zank, Horst
• 署名单位: University of Manchester; INSEAD Business School; University of Kiel; Leibniz Association; Institut fur Weltwirtschaft an der Universitat Kiel (IFW)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.10.004
• 发表日期: 2009
• 页码: 1102-1118
• 关键词: Comonotonic independence; Probability weighting function; Preference foundation; rank-dependent utility

摘要

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. (C) 2008 Elsevier Inc. All rights reserved.