 Quantile Maximization in Decision Theory *Marzena Rostek The Review of Economic Studies, 2010, vol. 77, issue 1, 339-371 Abstract: This paper introduces a model of preferences, in which, given beliefs about uncertain outcomes, an individual evaluates an action by a quantile of the induced distribution. The choice rule of Quantile Maximization unifies maxmin and maxmax as maximizing the lowest and the highest quantiles of beliefs distributions, respectively, and offers a family of less extreme preferences. Taking preferences over acts as a primitive, we axiomatize Quantile Maximization in a Savage setting. Our axiomatization also provides a novel derivation of subjective beliefs, which demonstrates that neither the monotonicity nor the continuity conditions assumed in the literature are essential for probabilistic sophistication. We characterize preferences of quantile maximizers towards downside risk. We discuss how the distinct properties of the model, robustness and ordinality, can be useful in studying choice behaviour for categorical variables and in economic policy design. We also offer applications to poll design and insurance problems. Copyright , Wiley-Blackwell. Date: 2010 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:77:y:2010:i:1:p:339-371 Access Statistics for this article The Review of Economic Studies is currently edited by Thomas Chaney, Xavier d’Haultfoeuille, Andrea Galeotti, Bård Harstad, Nir Jaimovich, Katrine Loken, Elias Papaioannou, Vincent Sterk and Noam Yuchtman More articles in The Review of Economic Studies from Review of Economic Studies Ltd |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.