IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v250y2025ics0165176525001338.html
   My bibliography  Save this article

Rank-Dependent Pessimism and its divergence from Maxmin Expected Utility

Author

Listed:
  • Heo, Youngsoo

Abstract

The distinction between pessimism and uncertainty aversion has not been fully clarified in the economics literature, largely due to their intuitive similarities. However, understanding their unique economic implications requires a precise definition of each concept. This paper introduces a decision-theoretic formalization of pessimism, termed Rank-Dependent Pessimism. While it is equivalent to the conventional notion of uncertainty aversion within Choquet Expected Utility models, the two concepts diverge in a more general setting. This raises fundamental questions, such as whether all Maxmin Expected Utility preferences can actually be classified as pessimistic.

Suggested Citation

  • Heo, Youngsoo, 2025. "Rank-Dependent Pessimism and its divergence from Maxmin Expected Utility," Economics Letters, Elsevier, vol. 250(C).
  • Handle: RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001338
    DOI: 10.1016/j.econlet.2025.112296
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176525001338
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.econlet.2025.112296?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Pessimism; Rank-Dependent Pessimism; Uncertainty aversion; Maxmin Expected Utility;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001338. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.