Lottery-Dependent Utility via Stochastic Benchmarking

Theory and Decision 55 (1):45-57 (2003)
The possibility to interpret expected and nonexpected utility theories in purely probabilistic terms has been recently investigated. Such interpretation proposes as guideline for the Decision Maker the comparison of random variables through their probability to outperform a stochastic benchmark. We apply this type of analysis to the model of Becker and Sarin, showing that their utility functional may be seen as the probability that an opportune random variable, depending on the one to be evaluated, does not outperform a non-random benchmark. Further, the consequent choice criterion is equivalent to a sort of probability of ruin. Possible interpretations and financial examples are discussed
Keywords benchmarking  choice criteria  lottery-dependent utility  nonexpected utility theory  probability of ruin
Categories (categorize this paper)
Reprint years 2004
DOI 10.1023/B:THEO.0000019077.14252.9c
 Save to my reading list
Follow the author(s)
My bibliography
Export citation
Find it on Scholar
Edit this record
Mark as duplicate
Revision history
Request removal from index
Download options
Our Archive

Upload a copy of this paper     Check publisher's policy     Papers currently archived: 27,613
Through your library
References found in this work BETA

No references found.

Add more references

Citations of this work BETA

Add more citations

Similar books and articles
Lottery Dependent Utility: A Reexamination.Ulrich Schmidt - 2001 - Theory and Decision 50 (1):35-58.
Revealed Preference and Expected Utility.Stephen A. Clark - 2000 - Theory and Decision 49 (2):159-174.
Decision-Value Utilitarianism.Wesley Cooper - 2008 - Polish Journal of Philosophy 2 (2):39-50.
Even Risk-Averters May Love Risk.Alfred Müller & Marco Scarsini - 2002 - Theory and Decision 52 (1):81-99.

Monthly downloads

Added to index


Total downloads

31 ( #165,470 of 2,168,640 )

Recent downloads (6 months)

4 ( #82,721 of 2,168,640 )

How can I increase my downloads?

My notes
Sign in to use this feature

There  are no threads in this forum
Nothing in this forum yet.

Other forums