Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences
type: Item
instance of: scholarly article
title: Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences
zbMATH Open document ID: 0962.91023
DOI: 10.1016/S0304-4068(98)00032-9
author: Alain Chateauneuf
published in: Journal of Mathematical Economics
publication date: 2000-11-14T00:00:00Z
review text: A characterization of rank dependent utility is given by continuity, monotonicity and the comonotonic sure thing principle. Rank dependent expected utility is characterized by one additional axiom: the comonotonic mixture independence. Finally an axiom on risk aversion is introduced exhibiting attraction for sure lotteries. The results hold for the set of simple probability distributions over a connected compact metric space.
reviewed by: Peter Kischka
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 90B06
zbMATH DE Number: 1339890
zbMATH Keywords: rank dependent expected utility
zbMATH Keywords: comonotonic mixture independence
zbMATH Keywords: risk aversion
zbMATH Keywords: sure lotteries
Wikidata QID: Q114655897
MaRDI profile type: Publication
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full work available at URL: s0304-4068(98)00032-9
OpenAlex ID: W2078280270
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description: scientific article; zbMATH DE number 1339890