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Benchmarking real-valued acts

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Author Info
Erio Castagnoli (Bocconii University, Milan, Italy)
Marco LiCalzi (University of Venice, Italy)

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Abstract

A benchmarking procedure ranks real-valued acts by the probability that they outperform a benchmark B; that is, an act f is evaluated by means of the functional V(f) = P(f > B). Expected utility is a special case of benchmarking procedure, where the acts and the benchmark are stochastically independent. This paper provides axiomatic characterizations of preference relations that are representable as benchmarking procedures. The key axiom is the sure-thing principle. When the state space is infinite, different continuity assumptions translate into different properties of the probability P.

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File URL: http://129.3.20.41/eps/mic/papers/0502/0502001.pdf
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Publisher Info
Paper provided by EconWPA in its series Microeconomics with number 0502001.

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Length: 22 pages
Date of creation: 02 Feb 2005
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Handle: RePEc:wpa:wuwpmi:0502001

Note: Type of Document - pdf; pages: 22
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Web page: http://129.3.20.41

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Related research
Keywords: sure-thing principle state-dependent expected utility measure representation approach target-based reasoning

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Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Robert Bordley & Marco LiCalzi, 2000. "Decision analysis using targets instead of utility functions," Decisions in Economics and Finance, Springer, vol. 23(1), pages 53-74. [Downloadable!] (restricted)
  2. Chateauneuf, Alain, 1999. "Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 21-45, August. [Downloadable!] (restricted)
  3. Segal, Uzi, 1993. " The Measure Representation: A Correction," Journal of Risk and Uncertainty, Springer, vol. 6(1), pages 99-107, January.
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  4. Hong, Chew Soo & Wakker, Peter, 1996. "The Comonotonic Sure-Thing Principle," Journal of Risk and Uncertainty, Springer, vol. 12(1), pages 5-27, January.
  5. Gerard Debreu, 1959. "Topological Methods in Cardinal Utility Theory," Cowles Foundation Discussion Papers 76, Cowles Foundation, Yale University. [Downloadable!]
  6. Wakker, Peter, 1993. " Counterexamples to Segal's Measure Representation Theorem," Journal of Risk and Uncertainty, Springer, vol. 6(1), pages 91-98, January.
  7. LiCalzi, Marco, 1998. "Variations on the measure representation approach," Journal of Mathematical Economics, Elsevier, vol. 29(3), pages 255-269, April. [Downloadable!] (restricted)
  8. Erio Castagnoli & Marco LiCalzi, 2005. "Expected utility without utility," Game Theory and Information 0508004, EconWPA. [Downloadable!]
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