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1.
Ilia Tsetlin 《Theory and Decision》2006,61(1):51-62
Designing a mechanism that provides a direct incentive for an individual to report her utility function over several alternatives
is a difficult task. A framework for such mechanism design is the following: an individual (a decision maker) is faced with
an optimization problem (e.g., maximization of expected utility), and a mechanism designer observes the decision maker’s action.
The mechanism does reveal the individual’s utility truthfully if the mechanism designer, having observed the decision maker’s
action, infers the decision maker’s utilities over several alternatives. This paper studies an example of such a mechanism
and discusses its application to the problem of optimal social choice. Under certain simplifying assumptions about individuals’
utility functions and about how voters choose their voting strategies, this mechanism selects the alternative that maximizes
Harsanyi’s social utility function and is Pareto-efficient. 相似文献
2.
This paper introduces the likelihood method for decision under uncertainty. The method allows the quantitative determination
of subjective beliefs or decision weights without invoking additional separability conditions, and generalizes the Savage–de
Finetti betting method. It is applied to a number of popular models for decision under uncertainty. In each case, preference
foundations result from the requirement that no inconsistencies are to be revealed by the version of the likelihood method
appropriate for the model considered. A unified treatment of subjective decision weights results for most of the decision
models popular today. Savage’s derivation of subjective expected utility can now be generalized and simplified. In addition
to the intuitive and empirical contributions of the likelihood method, we provide a number of technical contributions: We
generalize Savage’s nonatomiticy condition (“P6”) and his assumption of (sigma) algebras of events, while fully maintaining
his flexibility regarding the outcome set. Derivations of Choquet expected utility and probabilistic sophistication are generalized
and simplified similarly. The likelihood method also reveals a common intuition underlying many other conditions for uncertainty,
such as definitions of ambiguity aversion and pessimism. 相似文献
3.
Hagen Lindstädt 《Theory and Decision》2007,62(4):335-353
Sometimes we believe that others receive harmful information. However, Marschak’s value of information framework always assigns
non-negative value under expected utility: it starts from the decision maker’s beliefs – and one can never anticipate information’s
harmfulness for oneself. The impact of decision makers’ capabilities to process information and of their expectations remains
hidden behind the individual and subjective perspective Marschak’s framework assumes. By introducing a second decision maker
as a point of reference, this paper introduces a way for evaluating others’ information from a cross-individual, imperfect
expectations perspective for agents maximising expected utility. We define the cross-value of information that can become negative – then the information is “harmful” from a cross-individual perspective – and we define (mutual) cost of limited information processing capabilities and imperfect expectations as an opportunity cost from this same point of reference. The simple relationship between these two expected utility-based
concepts and Marschak’s framework is shown, and we discuss evaluating short-term reactions of stock market prices to new information
as an important domain of valuing others’ information.
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4.
Two-sided intergenerational moral hazard occurs (i) if the parent’s decision to purchase long-term care (LTC) coverage undermines the child’s incentive to exert effort because
the insurance protects the bequest from the cost of nursing home care, and (ii) when the parent purchases less LTC coverage, relying on child’s effort to keep him out of the nursing home. However, a “net”
moral hazard effect obtains only if the two players’ responses to exogenous shocks fail to neutralize each other, entailing
a negative relationship between child’s effort and parental LTC coverage. We focus on outcomes out of equilibrium, interpreting
them as a break in the relationship resulting in no informal care provided and hence high probability nursing home admission.
Changes in the parent’s initial wealth, LTC subsidy received, and child’s expected inheritance are shown to induce “net” moral
hazard, in contradistinction to changes in child’s opportunity cost and share in the bequest. 相似文献
5.
While the traditional economic wisdom believes that an individual will become better off by being given a larger opportunity
set to choose from, in this paper we question this belief and build a formal theoretical model that introduces decision costs
into the rational decision process. We show, under some reasonable conditions, that a larger feasible set may actually lower
an individual’s level of satisfaction. This provides a solid economic underpinning for the Simon prediction. 相似文献
6.
Many experiments have demonstrated that when evaluating payoffs, people take not only their own payoffs into account, but
also the payoffs of others in their social environment. Most of this evidence is found in settings where payoffs are riskless.
It is plausible that if people care about the payoffs of others, they do so not only in a riskless context, but also in a
risky one. This suggests that an individual’s decision making under risk depends on the risks others in his or her environment
face. This paper is the first to test whether individuals’ risk attitudes are affected by the risks others face. The results
show that risk attitudes appear to be less affected by others’ risks than expected, even though the same subjects do show
concerns for inequality in a riskless setting. Interestingly, we find that people prefer risks to be independent across individuals
in society rather than correlated. 相似文献
7.
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9.
We consider fixed and asking price strategies in the context of selling an asset with Bernoullian updating of the seller’s
subjective probability of sale at a given price. The determination of optimal fixed, asking and endogenous reservation prices
is discussed under risk-neutrality and expected utility maximisation. With risk-neutrality, the optimal asking price exceeds
the optimal fixed price when the expected gain is a strictly concave function. The seller’s choice between the fixed and the
asking price strategies depends on several factors: the expected cost of haggling, price competition and the seller’s attitude
towards risk. 相似文献
10.
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
11.
We investigate how choices for uncertain gain and loss prospects are affected by the decision maker’s perceived level of knowledge
about the underlying domain of uncertainty. Specifically, we test whether Heath and Tversky’s (J Risk Uncertain 4:5–28, 1991) competence hypothesis extends from gains to losses. We predict that the commonly-observed preference for high knowledge
over low knowledge prospects for gains reverses for losses. We employ an empirical setup in which participants make hypothetical
choices between gain or loss prospects in which the outcome depends on whether a high or low knowledge event occurs. We infer
decision weighting functions for high and low knowledge events from choices using a representative agent preference model.
For gains, we replicate the results of Kilka and Weber (Manage Sci 47:1712–1726, 2001), finding that decision makers are more attracted to choices that they feel more knowledgeable about. However, for losses,
we find limited support for our extension of the competence effect. 相似文献
12.
Jeffrey Helzner 《Theory and Decision》2009,66(4):301-315
Ellsberg (The Quarterly Journal of Economics 75, 643–669 (1961); Risk, Ambiguity and Decision, Garland Publishing (2001)) argued that uncertainty is not reducible to risk. At the center of Ellsberg’s argument lies a
thought experiment that has come to be known as the three-color example. It has been observed that a significant number of
sophisticated decision makers violate the requirements of subjective expected utility theory when they are confronted with
Ellsberg’s three-color example. More generally, such decision makers are in conflict with either the ordering assumption or
the independence assumption of subjective expected utility theory. While a clear majority of the theoretical responses to
these violations have advocated maintaining ordering while relaxing independence, a persistent minority has advocated abandoning
the ordering assumption. The purpose of this paper is to consider a similar dilemma that exists within the context of multiattribute
models, where it arises by considering indeterminacy in the weighting of attributes rather than indeterminacy in the determination
of probabilities as in Ellsberg’s example.
相似文献
13.
Dynamic Choice, Independence and Emotions 总被引:1,自引:0,他引:1
From the viewpoint of the independence axiom of expected utility theory, an interesting empirical dynamic choice problem involves
the presence of a “global risk,” that is, a chance of losing everything whichever safe or risky option is chosen. In this
experimental study, participants have to allocate real money between a safe and a risky project. Treatment variable is the
particular decision stage at which a global risk is resolved: (i) before the investment decision; (ii) after the investment
decision, but before the resolution of the decision risk; (iii) after the resolution of the decision risk. The baseline treatment
is without global risk. Our goal is to investigate the isolation effect and the principle of timing independence under the
different timing options of the global risk. In addition, we examine the role played by anticipated and experienced emotions
in the choice problem. Main findings are a violation of the isolation effect, and support for the principle of timing independence.
Although behavior across the different global risk cases shows similarities, we observe clear differences in people’s affective
responses. This may be responsible for the conflicting results observed in earlier experiments. Dependent on the timing of
the global risk different combinations of anticipated and experienced emotions influence decision making.
相似文献
14.
15.
It is increasingly recognized that decision making under uncertainty depends not only on probabilities, but also on psychological
factors such as ambiguity and familiarity. Using 325 Beijing subjects, we conduct a neurogenetic study of ambiguity aversion
and familiarity bias in an incentivized laboratory setting. For ambiguity aversion, 49.4% of the subjects choose to bet on
the 50–50 deck despite the unknown deck paying 20% more. For familiarity bias, 39.6% choose the bet on Beijing’s temperature
rather than the corresponding bet with Tokyo even though the latter pays 20% more. We genotype subjects for anxiety-related
candidate genes and find a serotonin transporter polymorphism being associated with familiarity bias, but not ambiguity aversion,
while the dopamine D5 receptor gene and estrogen receptor beta gene are associated with ambiguity aversion only among female
subjects. Our findings contribute to understanding of decision making under uncertainty beyond revealed preference. 相似文献
16.
We consider future cash flows that are contingent both on dates in time and on uncertain states. The decision maker (DM) values
the cash flows according to its decision criterion: Here, the payoffs’ expectation with respect to a capacity measure. The
subjective measure grasps the DM’s behaviour in front of the future, in the spirit of de Finetti’s (1930) and of Yaari’s (1987)
Dual Theory in the case of risk. Decomposition of the criterion into two criteria that represent the DM’s preferences on uncertain
payoffs and time contingent payoffs are derived from Ghirardato’s (1997) results. Conditional Choquet integrals are defined
by dynamic consistency (DC) requirements and conditional capacities are derived, under some conditions on information. In
contrast with other models referring to DC, ours does not collapse into a linear one because it violates a weak version of
consequentialism. 相似文献
17.
What are the minimal requirements of rational choice? Arguments from the sequential-decision setting
Katie Siobhan Steele 《Theory and Decision》2010,68(4):463-487
There are at least two plausible generalisations of subjective expected utility (SEU) theory: cumulative prospect theory (which
relaxes the independence axiom) and Levi’s decision theory (which relaxes at least ordering). These theories call for a re-assessment
of the minimal requirements of rational choice. Here, I consider how an analysis of sequential decision making contributes
to this assessment. I criticise Hammond’s (Economica 44(176):337–350, 1977; Econ Philos 4:292–297, 1988a; Risk, decision and
rationality, 1988b; Theory Decis 25:25–78, 1988c) ‘consequentialist’ argument for the SEU preference axioms, but go on to
formulate a related diachronic-Dutch-book-style’ argument that better achieves Hammond’s aims. Some deny the importance of
Dutch-book sure losses, however, in which case, Seidenfeld’s (Econ Philos 4:267–290, 1988a) argument that distinguishes between
theories that relax independence and those that relax ordering is relevant. I unravel Seidenfeld’s argument in light of the
various criticisms of it and show that the crux of the argument is somewhat different and much more persuasive than what others
have taken it to be; the critical issue is the modelling of future choices between ‘indifferent’ decision-tree branches in
the sequential setting. Finally, I consider how Seidenfeld’s conclusions might nonetheless be resisted. 相似文献
18.
Gregory S. Kavka 《Theory and Decision》1980,12(1):41-60
The nuclear balance of terror is examined from the perspective of utilitarian ethics. A superpower's decision about whether or not to practice nuclear deterrence against its rival is analyzed as a choice, under conditions of uncertainty, between (i) a smaller risk of bringing about a graver disaster for mankind (i.e., nuclear war), and (ii) a greater risk of bringing about a lesser disaster for mankind (i.e., domination by the rival superpower). It is argued that the expected utility and maximin principles cannot very plausibly be applied to problems with this structure, but that a novel principle of rational choice can be. This principle is defended, and is used to reach the conclusion that nuclear deterrence is, from the utilitarian viewpoint, permissible.A remote ancestor of this paper was presented to the Jacob Marschak Interdisciplinary Colloquium on Mathematics in the Behavioral Sciences, at UCLA, in the spring of 1976. I am grateful to the members of that group, and to Robert M. Adams, for their helpful comments. My work was partly supported by a Regent's Faculty Research Fellowship from the University of California. 相似文献
19.
An extensive literature overlapping economics, statistical decision theory and finance, contrasts expected utility [EU] with
the more recent framework of mean–variance (MV). A basic proposition is that MV follows from EU under the assumption of quadratic
utility. A less recognized proposition, first raised by Markowitz, is that MV is fully justified under EU, if and only if
utility is quadratic. The existing proof of this proposition relies on an assumption from EU, described here as “Buridan’s
axiom” after the French philosopher’s fable of the ass that starved out of indifference between two bales of hay. To satisfy
this axiom, MV must represent not only “pure” strategies, but also their probability mixtures, as points in the (σ, μ) plane. Markowitz and others have argued that probability mixtures are represented sufficiently by (σ, μ) only under quadratic utility, and hence that MV, interpreted as a mathematical re-expression of EU, implies quadratic utility.
We prove a stronger form of this theorem, not involving or contradicting Buridan’s axiom, nor any more fundamental axiom of
utility theory. 相似文献
20.
In certain judgmental situations where a “correct” decision is presumed to exist, optimal decision making requires evaluation
of the decision-makers’ capabilities and the selection of the appropriate aggregation rule. The major and so far unresolved
difficulty is the former necessity. This article presents the optimal aggregation rule that simultaneously satisfies these
two interdependent necessary requirements. In our setting, some record of the voters’ past decisions is available, but the
correct decisions are not known. We observe that any arbitrary evaluation of the decision-makers’ capabilities as probabilities
yields some optimal aggregation rule that, in turn, yields a maximum-likelihood estimation of decisional skills. Thus, a skill-evaluation equilibrium can be defined as an evaluation of decisional skills that yields itself as a maximum-likelihood estimation of decisional
skills. We show that such equilibrium exists and offer a procedure for finding one. The obtained equilibrium is locally optimal
and is shown empirically to generally be globally optimal in terms of the correctness of the resulting collective decisions.
Interestingly, under minimally competent (almost symmetric) skill distributions that allow unskilled decision makers, the
optimal rule considerably outperforms the common simple majority rule (SMR). Furthermore, a sufficient record of past decisions
ensures that the collective probability of making a correct decision converges to 1, as opposed to accuracy of about 0.7 under
SMR. Our proposed optimal voting procedure relaxes the fundamental (and sometimes unrealistic) assumptions in Condorcet’s
celebrated theorem and its extensions, such as sufficiently high decision-making quality, skill homogeneity or existence of
a sufficiently large group of decision makers. 相似文献