Rank dependent utility for arbitrary consequence spaces

Abstract Quiggin's anticipated utility, sometimes called rank dependent utility, generalizes von Neumann and Morgenstern's expected utility to accommodate Allais type violations of preference judgments. His theory and the subsequent axiomatic refinements presume that the underlying consequence spaces are rich, so that certainty equivalents of gambles exist. This paper develops an axiomatic characterization of rank dependent utility for arbitrary consequence spaces, so that certainty equivalents of gambles do not necessarily exist.

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