The Comonotonic Sure-Thing Principle
AbstractThis article identifies the common characterizing property, the comonotonic sure-thing principle, that underlies the rank-dependent direction in non-expected utility. This property restricts Savage's sure-thing principle to comonotonic acts, and is characterized in full generality by means of a new functional form--cumulative utility--that generalizes the Choquet integral. Thus, a common generalization of all existing rank-dependent forms is obtained, including rank-dependent expected utility, Choquet expected utility, and cumulative prospect theory. Copyright 1996 by Kluwer Academic Publishers
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Bibliographic InfoArticle provided by Springer in its journal Journal of Risk and Uncertainty.
Volume (Year): 12 (1996)
Issue (Month): 1 (January)
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