NON-EXPECTED UTILITY THEORIES: WEIGHTED EXPECTED, RANK DEPENDENT, AND CUMULATIVE PROSPECT THEORY UTILITY

This paper discusses some of the failings of expected utility including the Allais paradox and expected utility's inadequate one dimensional characterization of risk. Three alternatives to expected utility are discussed at length; weighted expected utility, rank dependent utility, and cumulative prospect theory. Each alternative is capable of explaining Allais paradox type problems and permits more sophisticated multi dimensional risk preferences.


Issue Date:
2002
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/19073
Total Pages:
24
Series Statement:
2002 Conference, St. Louis, Missouri, April 22-23




 Record created 2017-04-01, last modified 2017-11-19

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