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Identities for maximum, minimum, and maxmin random utility models

Author

Listed:
  • André de Palma

    (ENS Paris Saclay - Ecole Normale Supérieure Paris-Saclay)

  • Karim Kilani

    (LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - Cnam - Conservatoire National des Arts et Métiers [Cnam])

Abstract

We generalize Roy’s identity for discrete choice models, focusing on the worst choices. To do so, we derive a relation between the expected minimum utility and the worst choice probabilities for additive random utility models. We extend this relationship to maxmin random utility models, applying this framework to model ambiguity in a discrete choice setting.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • André de Palma & Karim Kilani, 2017. "Identities for maximum, minimum, and maxmin random utility models," Post-Print hal-03719024, HAL.
    • Handle: RePEc:hal:journl:hal-03719024
    DOI: 10.1016/j.econlet.2017.03.018
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    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory

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