Although expected utility (EU) theory is a powerful tool for the analysis of decision under risk, it has long been … generalizations of, EU theory began to appear, most notably prospect theory of Kahneman and Tversky. Dozens of generalized EU models …

An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive … necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure … that expected (marginal) utility remains finite also under heavy-tailed distributional assumptions. Our results are context …

data with a broad class of models of choice under risk and under uncertainty. Our method allows for risk loving and elation … model of choice. We evaluate the performance of different models (including expected utility, disappointment aversion, rank … dependent utility, mean-variance utility, and stochastically monotone utility) in the data collected by Choi et al. (2007), in …