Deriving Rank-Dependent Utility Through Probabilistic Consistency
نویسنده
چکیده
This paper proposes a new preference condition that allows for the separation of decision weights from utility when lotteries over arbitrary sets of outcomes are considered. In the presence of weak order, Jensen-continuity, and stochastic dominance, adding the new probabilistic consistency condition to comonotonic independence leads to rank-dependent utility.
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تاریخ انتشار 2005