Parametric Weighting Functions

Horst Zank, Ulrich Schmidt and Enrico Diecidue

No 2007-01, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

Abstract: This paper provides behavioral foundations for parametric weighting functions under rankdependent utility. This is achieved by decomposing the independence axiom of expected utility into separate meaningful properties. These conditions allow us to characterize rank-dependent utility with power and exponential weighting functions. Moreover, by restricting the conditions to subsets of the probability interval, foundations of rank-dependent utility with parametric inverse-S shaped weighting functions are obtained.

Keywords: Comonotonic independence; probability weighting function; preference foundation; rank-dependent utility (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Parametric weighting functions (2009)
Working Paper: Parametric weighting functions (2008)
Working Paper: Parametric Weighting Functions (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cauewp:5301

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