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1.
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
2.
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
3.
A number of classical as well as quite new utility representations for gains are explored with the aim of understanding the behavioral conditions that are necessary and sufficient for various subfamilies of successively stronger representations to hold. Among the utility representations are: ranked additive, weighted, rank-dependent (which includes cumulative prospect theory as a special case), gains decomposition, subjective expected, and independent increments*, where * denotes something new in this article. Among the key behavioral conditions are: idempotence, general event commutativity*, coalescing, gains decomposition, and component summing*. The structure of relations is sufficiently simple that certain key experiments are able to exclude entire classes of representations. For example, the class of rank-dependent utility models is very likely excluded because of empirical results about the failure of coalescing. Figures 1–3 summarize some of the primary results.JEL Classification D46, D81 相似文献
4.
Pavlo Blavatskyy 《Theory and Decision》2006,60(2-3):315-334
Elicitation methods in decision-making under risk allow us to infer the utilities of outcomes as well as the probability weights
from the observed preferences of an individual. An optimally efficient elicitation method is proposed, which takes the inevitable
distortion of preferences by random errors into account and minimizes the effect of such errors on the inferred utility and
probability weighting functions. Under mild assumptions, the optimally efficient method for eliciting utilities and probability
weights is the following three-stage procedure. First, a probability is elicited whose subjective weight is one half. Second,
the utility function is elicited through the midpoint chaining certainty equivalent method using the probability elicited
at the first stage. Finally, the probability weighting function is elicited through the probability equivalent method. 相似文献