Utility theory with probability-dependent outcome valuation

A-Tier
Journal: Journal of Economic Theory
Year: 1992
Volume: 57
Issue: 1
Pages: 111-124

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper provides an axiomatic characterization of a class of nonexpected utility models of decision making under risk. It formalizes the notion that the valuation of outcomes may depend on the probability measure in whose support the outcomes are contained and defines a transformation of the space of risky prospects taking account of these probability-dependent valuations. The von Neumann-Morgenstern axioms are imposed on the preference relation among the transformed risky prospects to obtain a representation that is nonlinear in the probabilities. Some implications of the resulting models are pointed out using local expected utility analysis.

Technical Details

RePEc Handle
repec:eee:jetheo:v:57:y:1992:i:1:p:111-124
Journal Field
Theory
Author Count
1
Added to Database
2026-01-25