Two-moment decision models and rank-dependent utility
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Abstract
This paper extends results on the consistency of two-moment decision models with expected utility to rank-dependent utility preferences. The representations of expected utility and rank-dependent utility by μ-σ-preferences have very similar comparative statics properties for linear distribution classes, except for the behavior with respect to small independent risks.
Keywords
Economic Theory International Economic Decision Model Distribution Class Linear Distribution
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© Springer-Verlag 1993