Under stochastic dominance Choquet-expected utility and anticipated utility are identical
نویسندگان
چکیده
منابع مشابه
Choquet Expected Utility
Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that a general form of pessimistic portfolio optimizat...
متن کاملPessimistic Portfolio Allocation and Choquet Expected Utility
Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that pessimistic portfolio optimization based on the C...
متن کاملInverse stochastic dominance constraints and rank dependent expected utility theory
We consider optimization problems with second order stochastic dominance constraints formulated as a relation of Lorenz curves. We characterize the relation in terms of rank dependent utility functions, which generalize Yaari’s utility functions. We develop optimality conditions and duality theory for problems with Lorenz dominance constraints. We prove that Lagrange multipliers associated with...
متن کاملStochastic Choice and Expected Utility
Dagsvik (2008) has recently extended Debreus (1958) representation theorem for stochastic choice to the domain of lotteries. Dagsvik provides conditions under which there exists a linear utility function such that the probability of choosing one alternative over another is represented by the di¤erence in their utilities. We give an alternative, simpler proof of Dagsviks result. Our proof deri...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Theory and Decision
سال: 1990
ISSN: 0040-5833,1573-7187
DOI: 10.1007/bf00126589