The epsilon-Gini-contamination multiple priors model admits a linear-mean-standard-deviation utility representation

Simon Grant; Atsushi Kajii

doi:10.1016/j.econlet.2006.09.012

The epsilon-Gini-contamination multiple priors model admits a linear-mean-standard-deviation utility representation

Simon Grant^*, Atsushi Kajii

^*Corresponding author for this work

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

5 Citations (Scopus)

Abstract

We introduce the ε-Gini-contamination multiple priors model in which the set of priors are those probability measures that are 'close' to a central P with respect to the relative Gini concentration index. We show that such preferences can be represented by a linear-mean-standard-deviation utility function on a restricted domain.

Original language	English
Pages (from-to)	39-47
Number of pages	9
Journal	Economics Letters
Volume	95
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2006.09.012
Publication status	Published - Apr 2007
Externally published	Yes

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10.1016/j.econlet.2006.09.012

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title = "The epsilon-Gini-contamination multiple priors model admits a linear-mean-standard-deviation utility representation",

abstract = "We introduce the ε-Gini-contamination multiple priors model in which the set of priors are those probability measures that are 'close' to a central P with respect to the relative Gini concentration index. We show that such preferences can be represented by a linear-mean-standard-deviation utility function on a restricted domain.",

keywords = "Maximin expected utility, Mean-variance utility, Relative Gini concentration index, Subjective probability",

author = "Simon Grant and Atsushi Kajii",

year = "2007",

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doi = "10.1016/j.econlet.2006.09.012",

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AU - Grant, Simon

AU - Kajii, Atsushi

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N2 - We introduce the ε-Gini-contamination multiple priors model in which the set of priors are those probability measures that are 'close' to a central P with respect to the relative Gini concentration index. We show that such preferences can be represented by a linear-mean-standard-deviation utility function on a restricted domain.

AB - We introduce the ε-Gini-contamination multiple priors model in which the set of priors are those probability measures that are 'close' to a central P with respect to the relative Gini concentration index. We show that such preferences can be represented by a linear-mean-standard-deviation utility function on a restricted domain.

KW - Maximin expected utility

KW - Mean-variance utility

KW - Relative Gini concentration index

KW - Subjective probability

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U2 - 10.1016/j.econlet.2006.09.012

DO - 10.1016/j.econlet.2006.09.012

M3 - Article

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SP - 39

EP - 47

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

The epsilon-Gini-contamination multiple priors model admits a linear-mean-standard-deviation utility representation

Abstract

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