Random Rank-Dependent Expected Utility

TL;DR

This paper introduces a new way to characterize random rank-dependent expected utility for finite datasets and prizes, enabling statistical testing of decision-making models.

Contribution

It provides a novel characterization of random rank-dependent expected utility applicable to finite datasets, facilitating statistical testing.

Findings

Enables statistical testing of rank-dependent utility models

Applicable to finite datasets and prizes

Provides a new theoretical framework

Abstract

We present a novel characterization of random rank-dependent expected utility for finite datasets and finite prizes. The test lends itself to statistical testing using the tools in Kitamura and Stoye (2018).