@article{Diecidue2004utility,
abstract = {The utility of gambling, which entails an intrinsic utility or disutility of risk, has been alluded to in the economics literature for over a century. This paper demonstrates that any utility of gambling almost unavoidably implies a violation of fundamental rationality properties, such as transitivity or stochastic dominance, for static choices between gambles. This result may explain why the utility of gambling, a phenomenon so widely discussed, has never been formalized in the economics literature. The model of this paper accommodates well-known deviations from expected utility, such as the Allais paradox and the coexistence of gambling and insurance, while minimally deviating from expected utility.},
author = {Enrico Diecidue and Ulrich Schmidt and Peter P. Wakker},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
doi = {10.1023/B:RISK.0000046145.25793.37},
isbn = {0895-5646},
journal = {Journal of risk and uncertainty : JRU},
keywords = {330; certainty effect; utility of gambling; risk aversion; nonexpected utility; Gl\"{u}cksspiel; Erwartungsnutzen; Rationales Verhalten; Theorie},
language = {eng},
number = {3},
pages = {241-259},
title = {The utility of gambling reconsidered},
url = {http://hdl.handle.net/10419/28880},
volume = {29},
year = {2004}
}
