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1.
We present two theorems that yield necessary and sufficient conditions for first- and second-degree stochastic dominance deteriorations
of background risk to increase risk aversion with respect to foreground risk. We require that any change in a foreground risk
that is undesirable remains so after a background risk changes in a way that is either unfair, undesirable in the sense of
reducing expected utility, or undesirable in the sense of increasing expected marginal utility. Our results thus characterize
utility functions that are, respectively, vulnerable, proper, or standard with respect to changes in background risk.
相似文献
Arthur SnowEmail: |
2.
Prospect theory for continuous distributions 总被引:2,自引:0,他引:2
We extend the original form of prospect theory by Kahneman and Tversky from finite lotteries to arbitrary probability distributions,
using an approximation method based on weak-⋆ convergence. The resulting formula is computationally easier than the corresponding
formula for cumulative prospect theory and makes it possible to use prospect theory in future applications in economics and
finance. Moreover, we suggest a method how to incorporate a crucial step of the “editing phase” into prospect theory and to
remove in this way the discontinuity of the original model.
相似文献
Mei Wang (Corresponding author)Email: |
3.
Third-generation prospect theory 总被引:1,自引:0,他引:1
We present a new theory of decision under uncertainty: third-generation prospect theory (PT3). This retains the predictive power of previous versions of prospect theory, but extends that theory by allowing reference
points to be uncertain while decision weights are specified in a rank-dependent way. We show that PT3 preferences respect a state-conditional form of stochastic dominance. The theory predicts the observed tendency for willingness-to-accept
valuations of lotteries to be greater than willingness-to-pay valuations. When PT3 is made operational by using simple functional forms with parameter values derived from existing experimental evidence, it
predicts observed patterns of the preference reversal phenomenon.
相似文献
Chris StarmerEmail: |
4.
Mohammed Abdellaoui Han Bleichrodt Olivier L’Haridon 《Journal of Risk and Uncertainty》2008,36(3):245-266
This paper provides an efficient method to measure utility under prospect theory. Our method minimizes both the number of
elicitations required to measure utility and the cognitive burden for subjects, being based on the elicitation of certainty
equivalents for two-outcome prospects. We applied our method in an experiment and were able to replicate the main findings
on prospect theory, suggesting that our method measures what it is intended to. Our data confirmed empirically that risk seeking
and concave utility can coincide under prospect theory. Utility did not depend on the probability used in the elicitation,
which offers support for the validity of prospect theory.
相似文献
Olivier L’HaridonEmail: |
5.
The problem of asymmetric information causes a winner’s curse in many environments. Given many unsuccessful attempts to eliminate
it, we hypothesize that some people ‘prefer’ the lotteries underlying the winner’s curse. Study 1 shows that after removing
the hypothesized cause of error, asymmetric information, half the subjects still prefer winner’s curse lotteries, implying
past efforts to de-bias the winner’s curse may have been more successful than previously recognized since subjects prefer
these lotteries. Study 2 shows risk-seeking preferences only partially explain lottery preferences, while non-monetary sources
of utility may explain the rest. Study 2 suggests lottery preferences are not independent of context, and offers methods to
reduce the winner’s curse.
相似文献
Robert Slonim (Corresponding author)Email: |
6.
A reasonable level of risk aversion with respect to small gambles leads to a high, and absurd, level of risk aversion with
respect to large gambles. This was demonstrated by Rabin (Econometrica 68:1281–1292, 2000) for expected utility theory. Later, Safra and Segal (Econometrica, 2008) extended this result by showing that similar arguments apply to many non-expected utility theories, provided they are Gateaux
differentiable. In this paper we drop the differentiability assumption and by restricting attention to betweenness theories
we show that much weaker conditions are sufficient for the derivation of similar calibration results.
相似文献
Uzi Segal (Corresponding author)Email: |
7.
A unified parameterization of an expected utility model corrected for regret and disappointment effects is presented, constrained
to conform to a well-known choice pattern, the common consequence effect, a special case of the Allais paradox. For choices
subject to regret and disappointment effects to be consistent with this choice pattern, the function that corrects the utility
of the obtained outcome has to have a positive second derivative for its regret component and a negative second derivative
for its disappointment component. These hypothesized functional forms make predictions about the relative effect that small
vs. large differences between obtained and alternative outcomes should have on people’s experiences of regret or disappointment.
相似文献
Elke U. WeberEmail: |
8.
9.
The diversification bias in repeated lotteries is the finding that a majority of participants fail to select the option offering
the highest probability. This phenomenon is systematic and immune to classical manipulations (e.g. monetary rewards). We apply
dual process theories and argue that the diversification bias is a consequence of System 1 (automatic, intuitive, associative)
triggering a matching response, which fails to be corrected by System 2 (intentional, analytic, rational). Empirically, supporting
the corrective functions of System 2 through appropriate contextual cues (describing the task as a statistical test rather
than as a lottery) led to a decrease of diversification.
相似文献
Anton KühbergerEmail: URL: http://www.sbg.ac.at/psy/people/kuehberger.htm |
10.
Valuing publicly sponsored research projects: Risks,scenario adjustments,and inattention 总被引:1,自引:0,他引:1
Daniel R. Burghart Trudy Ann Cameron Geoffrey R. Gerdes 《Journal of Risk and Uncertainty》2007,35(1):77-105
Survey-based choice scenarios used to value non-market public goods typically preclude any risk that the benefits described
may not be delivered. Our survey specifies explicit risks of (a) outright program failure and (b) program redundancy due to
possible private sector substitutes. Additionally, most analyses assume that survey subjects fully accept these scenarios
and that all provided information receives their complete attention. Our discounted expected utility model of choice accommodates
both these objective risks and the possibility of subjective scenario adjustment or selective inattention by respondents.
We then counterfactually simulate willingness-to-pay in the absence of these distortions.
相似文献
Trudy Ann CameronEmail: |
11.
In two experiments conducted with low-income participants, we find that individuals are more likely to buy state lottery tickets
when they make several purchase decisions one-at-a-time, i.e. myopically, than when they make one decision about how many
tickets to purchase. These results extend earlier findings showing that “broad bracketing” of decisions encourages behavior
consistent with expected value maximization. Additionally, the results suggest that the combination of myopic decision making
and the “peanuts effect”—greater risk seeking for low stakes than high stakes gambles—can help explain the popularity of state
lotteries.
相似文献
George LoewensteinEmail: |
12.
People violate expected utility theory and this has been traditionally modeled by augmenting its weight-and-add framework
by nonlinear transformations of values and probabilities. Yet individuals often use one-reason decision-making when making
court decisions or choosing cellular phones, and institutions do the same when creating rules for traffic safety or fair play
in sports. We analyze a model of one-reason decision-making, the priority heuristic, and show that it simultaneously implies
common consequence effects, common ratio effects, reflection effects, and the fourfold pattern of risk attitude. The preferences
represented by the priority heuristic satisfy some standard axioms. This work may provide the basis for a new look at bounded
rationality.
相似文献
Konstantinos V. KatsikopoulosEmail: |
13.
Eliciting decision weights by adapting de Finetti’s betting-odds method to prospect theory 总被引:1,自引:0,他引:1
Enrico Diecidue Peter P. Wakker Marcel Zeelenberg 《Journal of Risk and Uncertainty》2007,34(3):179-199
This paper extends de Finetti’s betting-odds method for assessing subjective beliefs to ambiguous events. Thus, a tractable
manner for measuring decision weights under ambiguity is obtained. De Finetti’s method is so transparent that decision makers
can evaluate the relevant tradeoffs in complex situations. The resulting data can easily be analyzed, using nonparametric
techniques. Our extension is implemented in an experiment on predicting next-day’s performance of the Dow Jones and Nikkei
stock indexes, where we test the existence and nature of rank dependence, finding usual patterns. We also find violations
of rank dependence.
相似文献
Peter P. WakkerEmail: URL: http://www.few.eur.nl/few/people/wakker/ |
14.
Laura Schechter 《Journal of Risk and Uncertainty》2007,35(1):67-76
Rabin (Econometrica 68(5):1281–1292, 2000) argues that, under expected-utility, observed risk aversion over modest stakes implies extremely high risk aversion over
large stakes. Cox and Sadiraj (Games Econom. Behav. 56(1):45–60, 2006) have replied that this is a problem of expected-utility of wealth, but that expected-utility of income does not share that
problem. We combine experimental data on moderate-scale risky choices with survey data on income to estimate coefficients
of relative risk aversion using expected-utility of consumption. Assuming individuals cannot save implies an average coefficient of relative risk aversion of 1.92. Assuming they can decide
between consuming today and saving for the future, a realistic assumption, implies quadruple-digit coefficients. This gives
empirical evidence for narrow bracketing.
相似文献
Laura SchechterEmail: |
15.
W. Kip Viscusi 《Journal of Risk and Uncertainty》2009,38(3):191-213
This paper uses a random utility model to examine stated preferences for the valuation of public risks of fatalities from
terrorist attacks and natural disasters. Traffic-related deaths serve as the common reference point in two series of pairwise
risk-risk tradeoff choices. Even after taking into account differences in respondent risk beliefs, the nationally representative
sample values the prevention of terrorism deaths almost twice as highly as preventing natural disaster deaths and at about
the same level as preventing deaths from traffic accidents, which pose greater personal risk. Education, seatbelt usage, political
preferences, and terrorism risk beliefs affect valuations in the expected manner.
相似文献
W. Kip ViscusiEmail: |
16.
Christian Gollier 《Journal of Risk and Uncertainty》2007,35(2):107-127
We examine the collective risk attitude of a group with heterogeneous beliefs. We prove that the wealth-dependent probability
distribution used by the representative agent is biased in favor of the beliefs of the more risk tolerant consumers. Moreover,
increasing disagreement on the state probability raises the state probability of the representative agent. It implies that
when most disagreements are concentrated in the tails of the distribution, the perceived collective risk is magnified. This
can help to solve the equity premium puzzle. We show that the trade volume and the equity premium are positively correlated.
相似文献
Christian GollierEmail: |
17.
Several models of decision-making imply systematic violations of transitivity of preference. Our experiments explored whether
people show patterns of intransitivity predicted by regret theory and majority rule. To distinguish “true” violations from
those produced by “error,” a model was fit in which each choice can have a different error rate and each person can have a
different pattern of true preferences that need not be transitive. Error rate for a choice is estimated from preference reversals
between repeated presentations of that same choice. Our results showed that very few people repeated intransitive patterns.
We can retain the hypothesis that transitivity best describes the data of the vast majority of participants.
相似文献
Michael H. BirnbaumEmail: |
18.
19.
Liqun Liu Andrew J. Rettenmaier Thomas R. Saving 《Journal of Risk and Uncertainty》2009,38(2):159-172
Self-protection can be financed either by upfront payments or by conditional payments (or contingent fees) in which individuals
pay a provider only when a favorable outcome is realized. We find that, from the vantage point of a risk-averse individual,
conditional payments welfare dominate upfront payments in the state-independent framework, but upfront payments welfare dominate
conditional payments in the state-dependent framework. Moreover, more risk aversion always implies more self-protection under
conditional payments, for both state-independent and state-dependent frameworks. In contrast, it has been previously argued
that more risk aversion does not necessarily imply more self-protection under upfront payments.
相似文献
Liqun LiuEmail: |
20.
Individual and group decision making under risk: An experimental study of Bayesian updating and violations of first-order stochastic dominance 总被引:2,自引:0,他引:2
This paper reports the results of experiments designed to test whether individuals and groups abide by monotonicity with respect
to first-order stochastic dominance and Bayesian updating when making decisions under risk. The results indicate a significant
number of violations of both principles. The violation rate when groups make decisions is substantially lower, and decreasing
with group size, suggesting that social interaction improves the decision-making process. Greater transparency of the decision
task reduces the violation rate, suggesting that these violations are due to judgment errors rather than the preference structure.
In one treatment, however, less complex decisions result in a higher error rates.
相似文献
Edi KarniEmail: |