Abstract
Generalized expected utility models have enjoyed considerable success in explaining observed choices under uncertainty. However, there has been only limited progress in deriving comparative static results. This paper presents a general framework which permits the incorporation of a wide range of generalized expected utility models, but is sufficiently powerful to permit the derivation of comparative static results. The central idea is to represent preferences by the expected utility of a transformed probability distribution.
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Quiggin, J. Economic choice in generalized expected utility theory. Theor Decis 38, 153–171 (1995). https://doi.org/10.1007/BF01079498
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DOI: https://doi.org/10.1007/BF01079498