Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/4129
Authors: 
Diecidue, Enrico
Schmidt, Ulrich
Zank, Horst
Year of Publication: 
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

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