Identities for maximum, minimum, and maxmin random utility models
André de Palma () and
Economics Letters, 2017, vol. 155, issue C, 135-139
We generalize Roy’s identity for discrete choice models, focusing on the worst choices. To do so, we derive a relation between the expected minimum utility and the worst choice probabilities for additive random utility models. We extend this relationship to maxmin random utility models, applying this framework to model ambiguity in a discrete choice setting.
Keywords: Ambiguity aversion; Maxmin utility; Minimum utility; Multinomial logit model; Random utility models; Roy’s identities (search for similar items in EconPapers)
JEL-codes: C25 C35 D11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:155:y:2017:i:c:p:135-139
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