Accounting for optimism and pessimism in expected utility
This paper tackles the problem of characterizing preference relations between lotteries modified by mixing with probabilities centered at the extremes of their supports. Conditions for the representation of a preference by a non-extreme outcome expected utility are established under assumptions like stochastic dominance, Jensen continuity, von Neumann-Morgenstern independence and independence of probability shifts.
scientific article; zbMATH DE number 6000200
scientific article