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On the (Non-)Uniqueness of Random Non-Expected Utility

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  • Yi-Hsuan Lin

Abstract

In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely identified from random choice. This paper investigates whether such identification extends beyond expected utility. We first show that when risk preferences conform to the disappointment aversion model of Gul (1991), the distribution of preferences remains uniquely identified. To assess the scope of this result, we then examine other models of non-expected utility. Within the broader class of betweenness preferences (Dekel, 1986), random utility can be unidentifiable. If preferences are confined to the weighted expected utility class (Chew, 1983), a more nuanced picture emerges: unique identification holds in a three-prize setting but fails with four or more prizes. These findings show that the uniqueness property of random expected utility may persist beyond expected utility, but its persistence critically depends on the class of risk preferences under consideration.

Suggested Citation

  • Yi-Hsuan Lin, 2026. "On the (Non-)Uniqueness of Random Non-Expected Utility," Papers 2607.15790, arXiv.org.
    • Handle: RePEc:arx:papers:2607.15790
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    References listed on IDEAS

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    1. Jose Apesteguia & Miguel A. Ballester & Jay Lu, 2017. "Single‐Crossing Random Utility Models," Econometrica, Econometric Society, vol. 85, pages 661-674, March.
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    3. Gul, Faruk, 1991. "A Theory of Disappointment Aversion," Econometrica, Econometric Society, vol. 59(3), pages 667-686, May.
    4. Chew, Soo Hong, 1983. "A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox," Econometrica, Econometric Society, vol. 51(4), pages 1065-1092, July.
    5. Yang, Erya & Kopylov, Igor, 2023. "Random quasi-linear utility," Journal of Economic Theory, Elsevier, vol. 209(C).
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    7. Dekel, Eddie, 1986. "An axiomatic characterization of preferences under uncertainty: Weakening the independence axiom," Journal of Economic Theory, Elsevier, vol. 40(2), pages 304-318, December.
    8. Suleymanov, Elchin, 2024. "Branching-independent random utility model," Journal of Economic Theory, Elsevier, vol. 220(C).
    9. Jay Lu, 2016. "Random Choice and Private Information," Econometrica, Econometric Society, vol. 84, pages 1983-2027, November.
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