AUSI EXPECTED UTILITY - AN ANTICIPATED UTILITY-THEORY OF RELATIVE DISAPPOINTMENT AVERSION

In this paper we provide an axiomatization for a representation of pre ferences over lotteries that is only one parameter richer than expecte d utility. Our model is a special case of Rank-Dependent Expected Util ity. Moreover, we show that the same restriction on this parameter is required for: risk aversion; intuitive comparative static results for a reasonably general class of economically interesting choice problems ; and accommodating some of the most well-known violations of Expected Utility Theory. (C) 1998 Elsevier Science B.V. All rights reserved.