Two-parameter decision models and rank-dependent expected utility

1993 ◽  
Vol 7 (3) ◽  
pp. 273-282 ◽  
Author(s):  
Michael B. Ormiston ◽  
John Quiggin
Keyword(s):  
Expected Utility ◽  
Decision Models ◽  
Two Parameter ◽  
Rank Dependent Expected Utility

BETTING MARKET: Rank Dependent Expected Utility

2013 ◽  
Vol 1 (2) ◽  
pp. 147-163
Author(s):  
Loreto Llorente
Keyword(s):  
Decision Theory ◽  
Expected Utility ◽  
Utility Maximization ◽  
Betting Market ◽  
Expected Utility Maximization ◽  
Classical Decision ◽  
Rank Dependent Expected Utility ◽  
The Way

In Pelota matches, games with two mutually exclusive and exhaustive outcomes, bets on the winner are made through a middleman who receives 16% of the finally paid amount. The classical decision theory of expected utility maximization can not explain this market assuming bettors are identical. Llorente and Aizpurua (2007) explain the existence of bets in the market under Quiggin’s rank dependent expected utility (RDEU) model. They find that bettors have to be optimistic in order to explain the existence of a bet. Analyzing the way odds are fixed in the market Llorente (2006) finds that assuming equal return on bets there are inefficiencies in the market. In this paper we show that, given an assumption that bettors are rank dependent expected utility maximizers, these inefficiencies tend to disappear.

The risk averse newsvendor problem from rank-dependent expected utility approach

2014 ◽  
Vol 20 (3) ◽  
pp. 262
Author(s):  
Jiangfeng Li ◽  
Weifang Liu ◽  
Jinliang Wang ◽  
Shunming Zhang
Keyword(s):  
Expected Utility ◽  
Newsvendor Problem ◽  
Risk Averse ◽  
Utility Approach ◽  
Rank Dependent Expected Utility

Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models Revision of JBEE-D-21-00434

2022 ◽  
pp. 101822
Author(s):  
Luciano de Castro ◽  
Antonio F. Galvao ◽  
Jeong Yeol Kim ◽  
Gabriel Montes-Rojas ◽  
Jose Olmo
Keyword(s):  
Portfolio Selection ◽  
Expected Utility ◽  
Decision Models
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