Konrad, Kai A.
Two-moment decision models and rank-dependent utility.
In: Journal of Economics Zeitschrift für Nationalökonomie, Vol. 57, No. 1: pp. 95-101
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This paper extends results on the consistency of two-moment decision models with expected utility to rank-dependent utility preferences. The representations of expected utility and rank-dependent utility by μ-σ-preferences have very similar comparative statics properties for linear distribution classes, except for the behavior with respect to small independent risks. © 1993 Springer-Verlag.