The Distorted Theory of Rank-Dependent Expected Utility

被引：0

作者：

Huang, Hui ^{[1
]}

Zhang, Shunming ^{[2
]}

机构：

[1] Univ Regina, Fac Business Adm, Regina, SK S4S 0A2, Canada

[2] Renmin Univ China, China Financial Policy Res Ctr, Beijing 100872, Peoples R China

来源：

ANNALS OF ECONOMICS AND FINANCE | 2011年 / 12卷 / 02期

关键词：

Expected utility; Rank-dependent expected utility; Distortion function; Distorted independence axiom; The Allais paradox; The Common ratio effect; RISK-AVERSION; ANTICIPATED UTILITY; CHOICE;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper re-examines the rank-dependent expected utility theory. Firstly, we follow Quiggin's assumption (Quiggin 1982) to deduce the rank-dependent expected utility formula over lotteries and hence extend it to the case of general random variables. Secondly, we utilize the distortion function which reflects decision-makers' beliefs to propose a distorted independence axiom and then to prove the representation theorem of rank-dependent expected utility. Finally, we make direct use of the distorted independence axiom to explain the Allais paradox and the common ratio effect.

引用

页码：233 / 263

页数：31

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