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1.
This paper presents a personal view of the interaction between the analysis of choice under uncertainty and the analysis of
production under uncertainty. Interest in the foundations of the theory of choice under uncertainty was stimulated by applications
of expected utility theory such as the Sandmo model of production under uncertainty. This interest led to the development
of generalized models including rank-dependent expected utility theory. In turn, the development of generalized expected utility
models raised the question of whether such models could be used in the analysis of applied problems such as those involving
production under uncertainty. Finally, the revival of the state-contingent approach led to the recognition of a fundamental
duality between choice problems and production problems.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
2.
This paper introduces a new preference condition that can be used to justify (or criticize) expected utility. The approach taken in this paper is an alternative to Savage's, and is accessible to readers without a mathematical background. It is based on a method for deriving comparisons of tradeoffs from ordinal preferences. Our condition simplifies previously-published tradeoff conditions, and at the same time provides more general and more powerful tools to specialists. The condition is more closely related to empirical methods for measuring utility than its predecessors. It provides a unifying tool for qualitatively testing, quantitatively measuring, and normatively justifying expected utility. 相似文献
3.
Our aim in this paper was to establish an empirical evaluation for similarity effects modeled by Rubinstein; Azipurua et al.; Leland; and Sileo. These tests are conducted through a sensitivity analysis of two well-known examples of expected utility (EU) independence violations. We found that subjective similarity reported by respondents was explained very well by objective measures suggested in the similarity literature. The empirical results of this analysis also show that: (1) the likelihood of selection for the riskier choice increases as the pair becomes more similar, (2) these choice patterns are consistent with well-known independence violations of expected utility, and (3) a significant proportion of individuals exhibit intransitive choice patterns predicted under similarity effects, but not allowed under generalized expected utility models for risky choice. 相似文献
4.
5.
This paper advances an interpretation of Von Neumann-Morgenstern's expected utility model for preferences over lotteries which does not require the notion of a cardinal utility over prizes and can be phrased entirely in the language of probability. According to it, the expected utility of a lottery can be read as the probability that this lottery outperforms another given independent lottery. The implications of this interpretation for some topics and models in decision theory are considered. 相似文献
6.
Expected Utility Consistent Extensions of Preferences 总被引:1,自引:1,他引:0
We consider the problem of extending a (complete) order over a set to its power set. The extension axioms we consider generate
orderings over sets according to their expected utilities induced by some assignment of utilities over alternatives and probability
distributions over sets. The model we propose gives a general and unified exposition of expected utility consistent extensions
whilst it allows to emphasize various subtleties, the effects of which seem to be underestimated – particularly in the literature
on strategy-proof social choice correspondences.
相似文献
7.
A Process Approach to the Utility for Gambling 总被引:1,自引:1,他引:0
This paper argues that any specific utility or disutility for gambling must be excluded from expected utility because such a theory is consequential while a pleasure or displeasure for gambling is a matter of process, not of consequences. A (dis)utility for gambling is modeled as a process utility which monotonically combines with expected utility restricted to consequences. This allows for a process (dis)utility for gambling to be revealed. As an illustration, the model shows how empirical observations in the Allais paradox can reveal a process disutility of gambling. A more general model of rational behavior combining processes and consequences is then proposed and discussed. 相似文献
8.
Stephen A. Clark 《Theory and Decision》1993,34(1):21-45
We study a Linear Axiom of Revealed Preference (LARP) that characterizes the consistency of a choice function with respect to a preference order satisfying the independence axiom. In addition, LARP characterizes lexicographic linear utility rationality when the choice space is a convex subset of a finite-dimensional real vector space, and LARP characterizes linear utility rationality when the choice space corresponds to a finite choice experiment. 相似文献
9.
10.
We combine two research lines: preference reversal research (Lichtenstein and Slovic, 1971) and research on lottery-based risk preference induction (Roth and Malouf, 1979). Our results are informative for both research lines. We show that inducing risk preferences in preference reversal experiments has dramatic effects. First, while our subjects still display reversals, they do not display the usual pattern of predicted reversals suggested by the compatibility hypothesis. By inducing risk averse and risk loving preferences, we can dramatically reduce reversal rates and even produce the opposite pattern of reversals. Our results are consistent with the assumption that subjects maximize expected utility with error. This provides evidence that Camerer and Hogarth's (1999) framework for incentive effects can be extended to include the risk preference induction reward scheme. 相似文献
11.
We evaluate the fit of several generalized expected utility models under homoscedasticity and three different heteroscedastic
error structures for the data set first reported in Hey and Orme (1994). Standard chi-squared tests are used for nested tests,
and both the Akaike (1973) information criterion and its consistent version (Hurvich and Tsai, 1989) are used for non-nested
ranking of these models. A testing framework is developed that explicitly accounts for the path-dependent nature of the model
selection problem. Not only does the selection of preference models depend on the error structure assumed, but the reverse
is also true: the selection of the error structure depends on the preference structure assumed.
An erratum to this article is available at . 相似文献
12.
Utility Functions for Wealth 总被引:1,自引:0,他引:1
We specify all utility functions on wealth implied by four special conditions on preferences between risky prospects in four theories of utility, under the presumption that preference increases in wealth. The theories are von Neumann-Morgenstern expected utility (EU), rank dependent utility (RDU), weighted linear utility (WLU), and skew-symmetric bilinear utility (SSBU). The special conditions are a weak version of risk neutrality, Pfanzagl's consistency axiom, Bell's one-switch condition, and a contextual uncertainty condition. Previous research has identified the functional forms for utility of wealth for all four conditions under EU, and for risk neutrality and Pfanzagl's consistency axiom under WLU and SSBU. The functional forms for the other condition-theory combinations are derived in this paper. 相似文献
13.
Expected utility theory does not directly deal with the utility of chance. It has been suggested in the literature (Samuelson, 1952, Markowitz, 1959) that this can be remedied by an approach which explicitly models the emotional consequences which give rise to the utility of chance. We refer to this as the elaborated outcomes approach. It is argued that the elaborated outcomes approach destroys the possibility of deriving a representation theorem based on the usual axioms of expected utility theory. This is shown with the help of an example due to Markowitz. It turns out that the space of conceivable lotteries over elaborated outcomes is too narrow to permit the application of the axioms. Moreover it is shown that a representation theorem does not hold for the example. 相似文献
14.
Richard Batley 《Theory and Decision》2008,64(1):37-63
Though the Random Utility Model (RUM) was conceived entirely in terms of ordinal utility, the apparatus through which it is
widely practised exhibits properties of cardinal utility. The adoption of cardinal utility as a working operation of ordinal
is perfectly valid, provided interpretations drawn from that operation remain faithful to ordinal utility. The article considers
whether the latter requirement holds true for several measurements commonly derived from RUM. In particular it is found that
measurements of consumer surplus change may depart from ordinal utility, and exploit the cardinality inherent in the practical
apparatus.
相似文献
15.
We propose a generalization of expected utility that we call generalized EU (GEU), where a decision maker’s beliefs are represented by plausibility measures and the decision maker’s tastes are represented
by general (i.e., not necessarily real-valued) utility functions. We show that every agent, “rational” or not, can be modeled
as a GEU maximizer. We then show that we can customize GEU by selectively imposing just the constraints we want. In particular,
we show how each of Savage’s postulates corresponds to constraints on GEU. 相似文献
16.
This note shows that, under appropriate conditions, preferences may be locally approximated by the linear utility or risk-neutral preference functional associated with a local probability transformation. 相似文献
17.
Thomas Demuynck 《Theory and Decision》2009,66(3):283-299
We introduce an Absolute (Relative) Time-consistent Axiom of Revealed Preference which characterizes the consistency of a
choice function with the property of absolute (relative) time-consistency and impatience. The axiom requires that the absolute
(relative) time-consistent and impatient closure of the revealed preference relation does not conflict with the strict revealed
preference relation. 相似文献
18.
Despite Fisher's (1930) psychological intuitions of and the formal treatment given by Yaari (1965, Review of Economic Studies 32, 137), the intertemporal model of choice is mainly a model with certain lifetime. The purpose of this paper is to reconsider this assumption, starting from a very simple two-period model of choice with lifetime uncertainty. We examine the comparative statics of the model at the first two orders and replace the concept of `pure time preference' by taking into account the subjective treatment of the probability of survival. This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
19.
This paper explores how some widely studied classes of nonexpected utility models could be used in dynamic choice situations. A new "sequential consistency" condition is introduced for single-stage and multi-stage decision problems. Sequential consistency requires that if a decision maker has committed to a family of models (e.g., the multiple priors family, the rank-dependent family, or the betweenness family) then he use the same family throughout. Conditions are presented under which dynamic consistency, consequentialism, and sequential consistency can be simultaneously preserved for a nonexpected utility maximizer. An important class of applications concerns cases where the exact sequence of decisions and events, and thus the dynamic structure of the decision problem, is relevant to the decision maker. It is shown that for the multiple priors model, dynamic consistency, consequentialism, and sequential consistency can all be preserved. The result removes the argument that nonexpected utility models cannot be consistently used in dynamic choice situations. Rank-dependent and betweenness models can only be used in a restrictive manner, where deviation from expected utility is allowed in at most one stage. 相似文献
20.
We provide necessary and sufficient conditions for a dynamically consistent agent always to prefer more informative signals (in single-agent problems). These conditions do not imply recursivity, reduction or independence. We provide a simple definition of dynamically consistent behavior, and we discuss whether an intrinsic information lover (say, an anxious person) is likely to be dynamically consistent. 相似文献