choosing a solution is modeling the decision maker's attitude to risk. The expected utility theory was the first approach that … extensions of the original expected utility theory, and the analysis of the main properties of the cumulative prospect theory …

and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and … for the study of models of random non-linear utility. …

The analysis of optimal risk sharing has been thus far largely restricted to nonexpected utility models with concave … utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the … analysis to α-maxmin expected utility, Choquet expected utility, and cumulative prospect theory, which accommodate ambiguity …

Decision theory can be used to test the logic of decision making - one may ask whether a given set of decisions can be … justified by a decision-theoretic model. Indeed, in principal-agent settings, such justifications may be required - a manager of … simultaneously justified under the maxmin expected utility criterion by a single set of probabilities. We draw connections to the the …

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 …

characterize an EBUU decision maker. Conditional on a reference or "balancing value," the latter assigns a utility to each outcome …We introduce and analyze expected balanced uncertain utility (EBUU) theory. A prior and a balanced outcome-set utility …-set. The decision maker associates with each act, its envelope, the minimal measurable mapping from states to outcome-sets that …

One of the most well-known models of non-expected utility is Gul (1991)'s model of Disappointment Aversion. This model …, however, is defined implicitly, as the solution to a functional equation; its explicit utility representation is unknown …