Analyzing the optimal bidding behaviour in ascending-bid auctions and second-price sealed-bid auctions with independent private values, we show that expected utility maximizing behaviour is equivalent to: (a) dynamically consistent bidding in ascending-bid auctions; (b) the equivalence of the optimal bids in ascending-bid auctions and in second-price sealed-bid auctions; (c) bidding the value of the object in second-price sealed-bid auctions. In addition, the optimal bid in ascending-bid auctions equals the value of the object if and only if the bidder's preferences on lotteries are both quasi-concave and quasi-convex.

We present an axiomatic model depicting the choice behavior of a self-interest seeking moral individual over random allocation procedures. Individual preferences are decomposed into a self-interest component and a component representing the individual's moral value judgment. Each component has a distinct utility representation, and the preference relation depicting the choice behavior is representable by a real-valued function defined on the components utilities. The utility representing the self-interest component is linear and the utility representing the individual's moral value judgment is quasi-concave. The addition of a hexagon condition implies that the utility representing the individual's preference is additively separable in the components utilities.

This paper shows that: (1) the "preference reversal" phenomenon can be consistent with transitive preferences if these preferences violate the independence axiom of expected utility theory and (2) for the class of experiments that were used to produce the evidence concerning "preference reversal, " the elicitation of certainty equivalents is possible if, and only if, the respondent's preferences can be represented by functionals that are linear in the probabilities. Furthermore, a more general class of experiments is not immune to "preference reversal" if nonexpected utility preferences are admitted.

Rabin (2000) proved that a low level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabin's arguments strongly depend on expected utility theory, but we show that similar arguments apply to general non-expected utility theories.

Ariel Rubinstein, Zvi Safra, William Thomson, On the Interpretation of the Nash Bargaining Solution and Its Extension to Non-Expected Utility Preferences, Econometrica, Vol. 60, No. 5 (Sep., 1992), pp. 1171-1186

According to this paper, the analysis of the Nash bargaining problem with risky outcomes must include the cases where the disagreement outcome itself is risky as well. Thus, one generalizes the Roth and Rothblum results to models with risky disagreement outcome as well. It turns out that their result will depend, in some cases, upon the «degree of change» in risk aversion. Particularly, when the potential agreement, has an outcome which makes player 2 worse off compared to the disagreement, and if the disagreement does not dominate that outcome (i.e., its support contains a worse outcome), then when player 2 becomes «sufficiently» more risk averse player 1 becomes better off. Thus one obotains that increase in risk aversion may be disadvantageous to player 2 even if the risky disagreement is preferred to some outcome of the (risky) agreement

Harsanyi's impartial observer must consider two types of lotteries: imaginary identity lotteries (“accidents of birth”) that she faces as herself and the real outcome lotteries (“life chances”) to be faced by the individuals she imagines becoming. If we maintain a distinction between identity and outcome lotteries, then Harsanyi-like axioms yield generalized utilitarianism, and allow us to accommodate concerns about different individuals' risk attitudes and concerns about fairness. Requiring an impartial observer to be indifferent as to which individual should face similar risks restricts her social welfare function, but still allows her to accommodate fairness. Requiring an impartial observer to be indifferent between identity and outcome lotteries, however, forces her to ignore both fairness and different risk attitudes, and yields a new axiomatization of Harsanyi's utilitarianism.