Title: NON-EXPECTED UTILITY THEORIES: WEIGHTED EXPECTED, RANK DEPENDENT, AND CUMULATIVE PROSPECT THEORY UTILITY
Abstract: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 ut...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.Read More
Publication Year: 2002
Publication Date: 2002-01-01
Language: en
Type: article
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Cited By Count: 7
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