Title: CORRELATION PREFERENCE

Speaker: CHEW Soo Hong

Time: Aug 29, 2024  1:00 - 2:30 pm

Location: Room 109 HongYuan Building

Abstract:

We propose a correlation utility (CU) representation of correlation preference without requiring transitivity nor completeness. Under a【correlation independence】axiom, CU specializes to【correlation expected utility】(CEU) which is not compatible with the extended Allais paradox. This motivates our【correlation betweenness】and【correlation projective independence】axioms, which characterize【correlation weighted utility】(CWU). In the absence of correlation sensitivity, CEU reduces to EU while CWU reduces to【skew-symmetric bilinear】utility which reduces further to【weighted utility】under transitivity. Finally, we characterize【correlation probabilistic sophistication】, subsuming two major directions of generalization of SEU: maintaining Savage’s Postulate 2 without transitivity, and vice versa.