of the utility function. To do so, we first propose a new way to span the set of all increasing concave utility functions … makes it possible to present a five-parameter family of concave utility functions that encompasses a number of standard … concave utility functions, e.g., CRRA, CARA and HARA. Second, we develop a novel numerical method to handle the life …

We introduce and analyze expected balanced uncertain utility (EBUU) theory. A prior and a balanced outcome-set utility … characterize an EBUU decision maker. Conditional on a reference or "balancing value," the latter assigns a utility to each outcome … contains the act. She then (implicitly) ranks an act according to the balancing value at which the expected balanced utility of …

, has been based on the von Neumann and Morgenstern (VM) (1944) game theory expected utility axioms as a prescription for … frontier holds that it is inconsistent with VM expected utility maximization except under the unrealistic conditions of an … exact normal return distribution or quadratic expected utility function …

The Allais Paradox is a central motivation for several prominent extensions of expected utility, including rank …-dependent theories and the theory of fanning-out indifference curves. We examine the ability of these theories to explain the Allais … common consequence effect. The only extension of expected utility that passes a likelihood ratio test is allowing for the …