Comonotonic independence: The critical test between classical and rank- dependent utility theories

DOI10.1007/BF01064200zbMath0817.90008OpenAlexW3123845226MaRDI QIDQ1341562

Elke U. Weber, Ido Erev, Peter P. Wakker

Publication date: 16 February 1995

Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01064200

zbMATH Keywords

independenceprospect theoryexpected utilitynonexpected utilitycomonotonicityrank-dependence

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (19)

Introduction to the special issue in honor of Peter Wakker ⋮ The impact of experience on decisions based on pre-choice samples and the face-or-cue hypothesis ⋮ Canonical utility functions and continuous preference extensions ⋮ Cumulative prospect theory's functional menagerie ⋮ The comonotonic sure-thing principle ⋮ The two faces of independence: betweenness and homotheticity ⋮ Coherence without additivity. ⋮ Random dual expected utility ⋮ Mixture independence foundations for expected utility ⋮ Separating curvature and elevation: a parametric probability weighting function ⋮ Risk behavior for gain, loss, and mixed prospects ⋮ An experimental test of reduction invariance ⋮ Parametric weighting functions ⋮ The sure-thing principle and the comonotonic sure-thing principle: An axiomatic analysis ⋮ A test of rank-dependent utility in the context of ambiguity ⋮ Collective Choice May Tell Nothing About Anyone’s Individual Preferences ⋮ Expected return -- expected loss approach to optimal portfolio investment ⋮ Loss averse behavior ⋮ Independence properties vis-à-vis several utility representations

Cites Work

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• Violations of the independence axiom in common ratio problems: An experimental test of some competing hypotheses
• Rank- and sign-dependent linear utility models for finite first-order gambles
• Failures of the reduction principle in an Ellsberg-type problem
• Advances in prospect theory: cumulative representation of uncertainty
• Recent developments in modeling preferences: Uncertainty and ambiguity
• Separating marginal utility and probabilistic risk aversion
• Violations of the betweenness axiom and nonlinearity in probability
• Testing New Theories of Choice under Uncertainty using the Common Consequence Effect
• Prospect Theory: An Analysis of Decision under Risk
• The Invention of the Independence Condition for Preferences

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