Research on decision criteria combining expected utility and utility quantiles
The paper combines the expected utility decision model and the utility quantile decision model,proposing the Ex-pected Utility-Quantile(EU-Q)decision criterion,which is an extension of both the expected utility criterion and the utility quantile decision criterion,and represents a generalization of rank-dependent expected utility functions.It verifies that the EU-Q decision criterion adheres to the basic axioms of ideal decision criteria,including objectivity,monotonicity,continuity,and weak orderliness.It also proves the conditions that decision-makers should meet if they are risk-averse or risk-seeking,and that the utility function's translation or scaling transformation does not change the decision-maker's ranking of alterna-tive options.The EU-Q decision criterion integrates the characteristics and advantages of both the expected utility criterion and the utility quantile decision criterion,not only providing a good explanation for paradoxes such as the Allais paradox,but also addressing problems that cannot be explained by decision models combining expected utility with measures like Shan-non entropy and variance.The EU-Q decision criterion has rich theoretical characteristics and strong explanatory power,making it suitable for solving decision-making problems with uncertainty.
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