AUSI expected utility: An anticipated utility theory of relative disappointment aversion

Simon Grant; Atsushi Kajii

doi:10.1016/s0167-2681(98)00094-8

AUSI expected utility: An anticipated utility theory of relative disappointment aversion

Simon Grant^*, Atsushi Kajii

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

25 Citations (Scopus)

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.

Original language	English
Pages (from-to)	277-290
Number of pages	14
Journal	Journal of Economic Behavior and Organization
Volume	37
Issue number	3
DOIs	https://doi.org/10.1016/s0167-2681(98)00094-8
Publication status	Published - 30 Nov 1998

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AUSI expected utility: An anticipated utility theory of relative disappointment aversion

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