Generalized Invariant Preferences: Two-parameter Representations of Preferences

Robert Chambers () and John Quiggin

No WPR08_1, Risk & Uncertainty Working Papers from Risk and Sustainable Management Group, University of Queensland

Abstract: In this paper, we generalize the model of Quiggin and Chambers (2004) to allow for ambiguity, and derive conditions, referred to as generalized invariance, under which a two argument representation of preferences may be obtained independent of the existence of a unique probability measure. The first of these two arguments inherits the properties of standard means, namely, that they are upper semi-continuous, translatable and positively linearly homogeneous. But instead of being additive, these generalized means are superadditive. Superadditivity allows for means that are computed (conservatively) with respect to a set of prior probability measures rather than a singleton probability measure. The second argument of the preference structure is a further generalization of the risk index derived in Quiggin and Chambers (2004). It is sublinear in deviations from the generalized mean discussed above.

Date: 2008-02
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.uq.edu.au/rsmg/WP/WPR08_1.pdf (application/pdf)

Related works:
Working Paper: Generalized Invariant Preferences: Two-parameter Representations of Preferences (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsm:riskun:r08_1

Access Statistics for this paper

More papers in Risk & Uncertainty Working Papers from Risk and Sustainable Management Group, University of Queensland Contact information at EDIRC.
Bibliographic data for series maintained by David Adamson ( this e-mail address is bad, please contact ).