Random rank-dependent expected utility

We present a novel characterization of random rank-dependent expected utility for finite datasets and finite prizes. As a byproduct, we obtain a characterization of random expected utility that works for finite datasets. The test lends itself to statistical testing. We apply our test to an experimental dataset and find evidence against random expected utility, while random rank-dependent expected utility can explain the dataset.

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Year of publication:	2022
Authors:	Kashaev, Nail ; Aguiar, Victor H.
Published in:	Games. - Basel : MDPI, ISSN 2073-4336. - Vol. 13.2022, 1, p. 1-10
Publisher:	Basel : MDPI
Subject:	expected utility \| random utility \| rank-dependent expected utility

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/g13010013 [DOI] 1798289458 [GVK] hdl:10419/257590 [Handle]
Classification:	C50 - Econometric Modeling. General ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C91 - Laboratory, Individual Behavior
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200170