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http://hdl.handle.net/10419/4129
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| Title: | | Parametric weighting functions  |
| Authors: | | Diecidue, Enrico Schmidt, Ulrich Zank, Horst |
| Issue Date: | | 2008 |
| Series/Report no.: | | Kiel working paper 1395 |
| Abstract: | | This paper provides preference foundations for parametric weighting functions under rankdependent utility. This is achieved by decomposing the independence axiom of expected utility into separate meaningful properties. These conditions allow us to characterize rank-dependent utility with power and exponential weighting functions. Moreover, by allowing probabilistic risk attitudes to vary within the probability interval, a preference foundation for rank-dependent utility with parametric inverse-S shaped weighting function is obtained. |
| Subjects: | | Comonotonic independence Probability weighting function Preference foundation Rank-dependent utility |
| JEL: | | D81 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IfW Economists Online Kieler Arbeitspapiere, IfW
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