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Contents (in new windows)
1. Utility Theory Metadata News 2. Utility Theory Metadata. Events: January 2016 December November October September August July June May April March February 2016 Undated 2015 Undated Archive 2014 2013 2012 2011 2010 2009 2008 2007 3. Utility Theory Years Rankings 2015 2014 4. Utility Problems (St. Petersburg Paradox, Allais Paradox Equity Premium Puzzle, Risk Aversion, Gains and Losses Loss Aversion, Overweighting of low Probabilities Underweighting of high Probabilities, "Four-Fold-Pattern" Shape of Probability Weighting Function, Ellsberg Paradox, Preference Reversals) 5. New Approach. Principle of Uncertain Future 6. Solution of Problems (of St. Petersburg Paradox, of Allais Paradox, of Equity Premium Puzzle, of Risk Aversion, of Gains and Losses, of Loss Aversion, of Overweighting of low Probabilities, of Underweighting of high Probabilities, of "Four-Fold-Pattern" of Shape of Probability Weighting Function, of Ellsberg Paradox, of Preference Reversals)
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Utility & Prospect & Decision Theories Metadata
1. News
Quarter News (2016 quarter 2)
Top institutions in the field of Utility Models & Prospect Theory: 1. (1,40) Department of Ec-cs, Harvard University 2. (3,90) Department of Ec-cs, University of California-San Diego 3. (4,10) Department of Ec-cs, Boston University Top authors in the field of Utility Models & Prospect Theory: 1. (2,22) Robert J. Barro 2. (3,93) Larry G. Epstein 3. (4,07) Peter P. Wakker Risk Appetite Edina Berlinger and Kata Varadi in Public Finance Quarterly 2015 Abstract Asymmetric reaction is rational behavior Philip A. Horvath and Amit K. Sinha in Journal of Economics and Finance 2017 Abstract UNDERSTANDING HOW PEOPLE DECIDE: DECISION-MAKING THEORIES AS MENTAL REPRESENTATIONS Alexandra Gheondea-Eladi in Journal of Community Positive Practices 2015 Abstract Canonical utility functions and continuous preference extensions Igor Kopylov in Journal of Mathematical Economics 2016 Abstract Application of fuzzy sets in decision analysis for prioritising critical energy infrastructures Polinpapilinho F. Katina and Resit Unal in International Journal of Decision Sciences, Risk and Management 2015 Abstract Utility representation of an incomplete and nontransitive preference relation Hiroki Nishimura and Efe A. Ok in Journal of Economic Theory 2016 Abstract LIMITS OF NEOCLASSICAL UTILITY THEORY AND SOME POSSIBLE WAYS HOW TO OVERCOME THEM Radim Valencik and Petr Wawrosz in Economy & Business Journal 2016 Abstract The transformations of utility theory: a behavioral perspective Ulrich Witt in Journal of Bioeconomics 2016 Abstract Equal Tails: A Simple Method to Elicit Utility Under Violations of Expected Utility Manel Baucells and Antonio Villasis in Decision Analysis 2015 Abstract On the Origin of Utility, Weighting, and Discounting Functions: How They Get Their Shapes and How to Change Their Shapes Neil Stewart, Stian Reimers and Adam J. L. Harris in Management Science 2015 Abstract Decision Making Under Uncertainty When Preference Information Is Incomplete Benjamin Armbruster and Erick Delage in Management Science 2015 Abstract Ambiguity Attitudes in a Large Representative Sample Stephen G. Dimmock, Roy Kouwenberg and Peter P. Wakker in Management Science 2016 Abstract The Rich Domain of Risk Olivier Armantier and Nicolas Treich in Management Science 2016 Abstract Top
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Utility Theory Years Rankings
Year 2015 Top 2015 institutions in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,43) Department of Economics, Harvard University 2. (4,09) Department of Economics, Boston University 3. (4,23) Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 4. (4,29) Department of Ec-cs, University of California-San Diego 5. (6,17) Paris School of Economics 6. (7,14) Department of Economics, Oxford University 7. (7,88) Department of Economics, New York University 8. (7,97) National Bureau of Economic Research (NBER) 9. (12,18) London School of Economics (LSE) 10. (12,45) School of Economics, University of Nottingham Top 2015 authors in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (2,30) Peter P. Wakker 2. (3,36) Larry G. Epstein 3. (4,25) Harry M. Markowitz 4. (6,23) Edi Karni 5. (8,34) Glenn W. Harrison 6. (11,12) Andrei Shleifer 7. (13,46) Robert Sugden 8. (14,06) Tim Bollerslev 9. (14,16) Charles F. Manski 10. (14,25) David Easley Top
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Utility & Prospect & Decision Theories Metadata
2. Events Top
Metadata added/revised in January
The Welfare Cost of Inflation Risk Under Imperfect Insurance Yann Algan, Olivier Allais, Edouard Challe and Xavier Ragot from Sciences Po 2016 Abstract Risk Appetite Edina Berlinger and Kata Varadi in Public Finance Quarterly 2015 Abstract The effects of age pension on retirement drawdown choices Osei K. Wiafe, Anup K. Basu and John Chen in Finance Research Letters 2017 Abstract Precautionary saving: A taxonomy of prudence Marcos Vergara in Economics Letters 2017 Abstract Variance-component-based nested logit specifications: Improved formulation, and practical microsimulation of random disturbance terms David S. Bunch and David M. Rocke in Journal of choice modelling 2016 Abstract Kuhn’s Theorem for extensive form Ellsberg games Igor Muraviev, Frank Riedel and Linda Sass in Journal of Mathematical Economics 2017 Abstract Asymmetric reaction is rational behavior Philip A. Horvath and Amit K. Sinha in Journal of Economics and Finance 2017 Abstract UNDERSTANDING HOW PEOPLE DECIDE: DECISION-MAKING THEORIES AS MENTAL REPRESENTATIONS Alexandra Gheondea-Eladi in Journal of Community Positive Practices 2015 Abstract Top
2016
Metadata added/revised in December
Welfare, preferences and the reconstruction of desires Manfred Joseph Holler in International Journal of Social Economics 2015 Abstract More Precise Decision-Making Methodology in the Temporalized Body of Evidence. Application in the Information Technology Management Gia Sirbiladze, Irina Khutsishvili, Otar Badagadze and Mikheil Kapanadze in International Journal of Information Technology & Decision Making (IJITDM) 2016 Abstract Canonical utility functions and continuous preference extensions Igor Kopylov in Journal of Mathematical Economics 2016 Abstract Location and Innovation Optimism: a Behavioral-Experimental Approach A. Alventosa, Y. Gomez, V. Martinez-Moles and J. Vila in Journal of the Knowledge Economy 2016 Abstract Some considerations on how often safety critical valves should be tested Alireza M. Gelyani, Eirik Bjorheim Abrahamsen, Frank Asche and Seth Guikema in International Journal of Business Continuity and Risk Management 2015 Abstract Application of fuzzy sets in decision analysis for prioritising critical energy infrastructures Polinpapilinho F. Katina and Resit Unal in International Journal of Decision Sciences, Risk and Management 2015 Abstract Top
Metadata added/revised in November
Utility representation of an incomplete and nontransitive preference relation Hiroki Nishimura and Efe A. Ok in Journal of Economic Theory 2016 Abstract Satisficing and stochastic choice Victor H. Aguiar, Maria Jose Boccardi Chalela and Mark Dean in Journal of Economic Theory 2016 Abstract Consumption optimization for recursive utility in a jump-diffusion model Fabio Antonelli and Carlo Mancini in Decisions in Economics and Finance 2016 Abstract Revenue sharing in network utility maximization problems Isabel Amigo, Pablo Belzarena and Sandrine Vaton in Netnomics 2016 Abstract An expected utility theory for state-dependent preferences Edi Karni and David Schmeidler in Theory and Decision 2016 Abstract LIMITS OF NEOCLASSICAL UTILITY THEORY AND SOME POSSIBLE WAYS HOW TO OVERCOME THEM Radim Valencik and Petr Wawrosz in Economy & Business Journal 2016 Abstract Top
Metadata added/revised in October
The transformations of utility theory: a behavioral perspective Ulrich Witt in Journal of Bioeconomics 2016 Abstract Equal Tails: A Simple Method to Elicit Utility Under Violations of Expected Utility Manel Baucells and Antonio Villasis in Decision Analysis 2015 Abstract On the Origin of Utility, Weighting, and Discounting Functions: How They Get Their Shapes and How to Change Their Shapes Neil Stewart, Stian Reimers and Adam J. L. Harris in Management Science 2015 Abstract Decision Making Under Uncertainty When Preference Information Is Incomplete Benjamin Armbruster and Erick Delage in Management Science 2015 Abstract Ambiguity Attitudes in a Large Representative Sample Stephen G. Dimmock, Roy Kouwenberg and Peter P. Wakker in Management Science 2016 Abstract The Rich Domain of Risk Olivier Armantier and Nicolas Treich in Management Science 2016 Abstract Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation Alexander Brown and Hwagyun Kim in Management Science 2014 Abstract Eliciting Prospect Theory When Consequences Are Measured in Time Units: “Time Is Not Money” Mohammed Abdellaoui and Emmanuel Kemel in Management Science 2014 Abstract The Irresistible Fetish of Utility Theory: From “Pleasure and Pain” to Rationalising Torture Giovanni Dosi and Andrea Roventini in Intereconomics: Review of European Economic Policy 2016 Abstract A generalized probability framework to model economic agents' decisions under uncertainty Emmanuel Haven and Sandro Sozzo in International Review of Financial Analysis 2016 Abstract Risky Curves: On the empirical failure of expected utility theory, Daniel Friedman, R. Mark Isaac, Duncan James and Shyam Sunder. Routledge, 2014, xiii + 137 pages Catherine Eckel in Economics and Philosophy 2016 Abstract UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME Marcel Nutz in Mathematical Finance 2016 Abstract Top
Metadata added/revised in September
Conjoint Analysis for Social Media Marketing Experimentation: Choice, Utility Estimates and Preference Ranking Gordon R. Foxall, R. G. Vishnu Menon and Valdimar Sigurdsson in Managerial and Decision Economics 2016 Abstract Nash was a first to axiomatize expected utility Han Bleichrodt, Chen Li, Ivan Moscati and Peter P. Wakker in Theory and Decision 2016 Abstract A monotone model of intertemporal choice Pavlo R. Blavatskyy in Economic Theory 2016 Abstract Entropy-optimal weight constraint elicitation with additive multi-attribute utility models Gert van Valkenhoef and Tommi Tervonen in Omega 2016 Abstract A theory of robust experiments for choice under uncertainty S. Grant, J. Kline, I. Meneghel, John Quiggin and R. Tourky in Journal of Economic Theory 2016 Abstract Weighted Almost Stochastic Dominance: Revealing the Preferences of Most Decision Makers in the St. Petersburg Paradox Chin Hon Tan in Decision Analysis 2015 Abstract Lexicographic expected utility without completeness Dino Borie in Theory and Decision 2016 Abstract Top
Metadata added/revised in August
Multi-Attribute Decision Making in a Bidding Game with Imperfect Information and Uncertainty Ziho Kang and Thomas Morin in International Journal of Information Technology & Decision Making (IJITDM) 2016 Abstract PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY Gregor Heyne, Michael Kupper and Ludovic Tangpi in International Journal of Theoretical and Applied Finance (IJTAF) 2016 Abstract Continuously differentiable preferences Adolfo Garcia de la Sienra in Contaduria y Administracion 2016 Abstract Формализация теории «Функционального» субъективного потребительского поведения Селиверстов Ярослав Александрович in Вестник Томского государственного университета. Экономика 2016 Abstract Metadata added/revised in July
On the Rejectability of the Subjective Expected Utility Theory Grabiszewski Konrad in The B.E. Journal of Theoretical Economics 2016 Abstract An elicitation of utility for quality of life under prospect theory Arthur Attema, Werner Brouwer, l’Haridon, Olivier and Jose Luis Pinto in Journal of Health Economics 2016 Abstract An expected utility analysis of k-majority rules Keith L. Dougherty and Robi Ragan in Constitutional Political Economy 2016 Abstract Difference-in-Differences Method in Comparative Effectiveness Research: Utility with Unbalanced Groups Huanxue Zhou, Christopher Taber, Steve Arcona and Yunfeng Li in Applied Health Economics and Health Policy 2016 Abstract Metadata added/revised in June
Stochastic Choice and Revealed Perturbed Utility Drew Fudenberg, Ryota Iijima and Tomasz Strzalecki in Econometrica 2015 Abstract Representation of Epstein-Marinacci derivatives of absolutely continuous TU games Francesca Centrone in Economics Bulletin 2016 Abstract Theories of Welfare Economics: A Short Synthesis Baltatescu Ionela and George Dumitrescu in Revista de Economie Mondiala / The Journal of Global Economics 2015 Abstract Measuring Discounting without Measuring Utility Arthur Attema, Han Bleichrodt, Yu Gao, Zhenxing Huang and Peter P. Wakker in American Economic Review 2016 Abstract Preference Cloud Theory: Imprecise Preferences and Preference Reversals Oben Bayrak and John Hey from University Library of Munich, Germany 2016 Abstract Top
Metadata added/revised in May
Ambiguity in risk preferences in robust stochastic optimization William B. Haskell, Lunce Fu and Maged Dessouky in European Journal of Operational Research 2016 Abstract A representation theorem for guilt aversion Martin Kaae Jensen and Maria Kozlovskaya in Journal of Economic Behavior & Organization 2016 Abstract A test for risk-averse expected utility Christopher P. Chambers, Ce Liu and Seung-Keun Martinez in Journal of Economic Theory 2016 Abstract A note on fourth-order risk aversion Yoshitaka Sakagami in Decisions in Economics and Finance 2016 Abstract Facelifting in utility maximization Kasper Larsen, Halil Mete Soner and Gordan Zitkovic in Finance and Stochastics 2016 Abstract Developments in non-expected utility theories: an empirical study of risk aversion Dorsaf Ben Aissia in Journal of Economics and Finance 2016 Abstract On the precautionary motive for savings and prudence in the rank-dependent utility framework Alain Chateauneuf, Ghizlane Lakhnati and Eric Langlais in Economic Theory 2016 Abstract Optimal investment and consumption under partial information Kristoffer Lindensjo in Mathematical Methods of Operations Research 2016 Abstract The Anscombe–Aumann representation and the independence axiom: a reconsideration Abhinash Borah and Christopher Kops in Theory and Decision 2016 Abstract A minimal extension of Bayesian decision theory Ken Binmore in Theory and Decision 2016 Abstract Richter–Peleg multi-utility representations of preorders Jose Carlos R. Alcantud, Gianni Bosi and Magali Zuanon in Theory and Decision 2016 Abstract The impact of ambiguity and prudence on prevention decisions Loic Berger in Theory and Decision 2016 Abstract Maxmin weighted expected utility: a simpler characterization Joseph Y. Halpern and Samantha Leung in Theory and Decision 2016 Abstract A characterization of the generalized optimal choice set through the optimization of generalized weak utilities Athanasios Andrikopoulos in Theory and Decision 2016 Abstract Retrospectives: How Economists Came to Accept Expected Utility Theory: The Case of Samuelson and Savage Ivan Moscati in Journal of Economic Perspectives 2016 Abstract Динамическое хеджирование с учетом степени неприятия риска Лакшина Валерия Владимировна in Экономический журнал Высшей школы экономики Higher School of Economics Economic Journal 2016 Abstract Top
Metadata added/revised in April
Visible Disabilities: Acknowledging the Utility of Acknowledgment Kayla Saal, Larry R. Martinez and Nicholas A. Smith in Industrial and Organizational Psychology 2016 Abstract Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility David Peel and David Law in Economics Bulletin 2016 Abstract Conditional preference orders and their numerical representations Samuel Drapeau and Asgar Jamneshan in Journal of Mathematical Economics 2016 Abstract Expected utility theory and inner and outer measures of loss aversion G. Charles-Cadogan in Journal of Mathematical Economics 2016 Abstract Harsanyi’s theorem without the sure-thing principle: On the consistent aggregation of Monotonic Bernoullian and Archimedean preferences Stephane Zuber in Journal of Mathematical Economics 2016 Abstract Risk aversion with two risks: A theoretical extension Jingyuan Li, Dongri Liu and Jianli Wang in Journal of Mathematical Economics 2016 Abstract Top
Metadata added/revised in March
On the dual problem of utility maximization in incomplete markets Lingqi Gu, Yiqing Lin and Junjian Yang in Stochastic Processes and their Applications 2016 Abstract UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamai and Anthony Reveillac in International Journal of Theoretical and Applied Finance (IJTAF) 2016 Abstract Recursive utility, increasing impatience and capital deepening: F.A. Hayek's 'utility analysis and interest' Arash Molavi Vassei in The European Journal of the History of Economic Thought 2015 Abstract Using vNM expected utility theory to facilitate the decision-making in social ethics Yanick Farmer in Journal of Risk Research 2015 Abstract Loss Modification Incentives for Insurers Under Expected Utility and Loss Aversion Adriaan Soetevent and Liting Zhou in De Economist 2016 Abstract A new rank dependent utility approach to model risk averse preferences in portfolio optimization Leili Javanmardi and Yuri Lawryshyn in Annals of Operations Research 2016 Abstract Top
Metadata added/revised in February
Diminishing Utility Decision Model for Weighting Criteria Jih-Jeng Huang and Masahiro Inuiguchi in International Journal of Information Technology & Decision Making (IJITDM) 2015 Abstract Double rank dependent expected utility (DRDEU) model in individual judgments Yenalyev Maxim Mihailovich in European journal of economics and management sciences 2015 Abstract Double Helix Value Functions, Ordinal/Cardinal Approach, Additive Utility Functions, Multiple Criteria, Decision Paradigm, Process, and Types (Z Theory I) Behnam Malakooti in International Journal of Information Technology & Decision Making (IJITDM) 2015 Abstract Allais, Ellsberg, and preferences for hedging Mark Dean and Pietro Ortoleva in Theoretical Economics 2016 Abstract Top
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Metadata added/revised in 2016 Undated
On continuous multi-utility representations of semi-closed and closed preorders Gianni Bosi and Gerhard Herden in Mathematical Social Sciences 2016 Abstract Where Utility Functions Do Not Exist - A Note on Lexicographic Orders Jayanth Varma from Indian Institute of Management Ahmedabad, Research and Publication Department Abstract The Existence and Continuity of Utility Functions: A New Proof Jayanth Varma from Indian Institute of Management Ahmedabad, Research and Publication Department 2015 Abstract Coalitional Fairness and Distortion of Utilities Somdeb Lahiri from Indian Institute of Management Ahmedabad, Research and Publication Department 2015 Abstract Utility Theory and Participation in Unfair Lotteries Patel Nitin R and Subrahmanyam M G from Indian Institute of Management Ahmedabad, Research and Publication Department 2015 Abstract Top
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Metadata added/revised in 2015 Undated
Equilibrium theory under ambiguity Wei He and Nicholas C. Yannelis in Journal of Mathematical Economics 2015 Abstract The probability premium: A graphical representation Louis R. Eeckhoudt and Roger Laeven in Economics Letters 2015 Abstract Mean-variance utility Yutaka Nakamura in Journal of Economic Theory 2015 Abstract The effect of choice set misspecification on welfare measures in random utility models Lianhua Li, Wiktor Adamowicz and Joffre Swait in Resource and Energy Economics 2015 Abstract Sample size and utility-difference precision in discrete-choice experiments: A meta-simulation approach Jui-Chen Yang, F. Reed Johnson, Vikram Kilambi and Ateesha F. Mohamed in Journal of choice modelling 2015 Abstract Is There One Unifying Concept of Utility?An Experimental Comparison of Utility Under Risk and Utility Over Time Mohammed Abdellaoui, Han Bleichrodt, Olivier L'Haridon and Corina Paraschiv from HAL 2013 Abstract Certain and Uncertain Utility and Insurance Demand: Results From a Framed Field Experiment in Burkina Faso Elena Serfilippi, Michael Carter and Catherine Guirkinger from International Association of Agricultural Economists 2015 Abstract Stability of probability effects in utility elicitation Birgit Lohndorf, Anna-Lena Sachs and Rudolf Vetschera in Central European Journal of Operations Research 2014 Abstract A belief-based definition of ambiguity aversion Xiangyu Qu in Theory and Decision 2015 Abstract Piecewise additivity for non-expected utility Craig Webb in Economic Theory 2015 Abstract A theoretical foundation for the undercut-proof equilibrium Martin C. Byford in Journal of Economic Theory 2015 Abstract Hurwicz expected utility and subjective sources Ejaz Gul and Wolfgang Pesendorfer in Journal of Economic Theory 2015 Abstract The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence James Huang and Richard Stapleton in Economics Letters 2015 Abstract Estimating conditional certainty equivalents using choice-experiment data Juan Marcos Gonzalez, A. Brett Hauber and F. Reed Johnson in Journal of choice modelling 2015 Abstract Risk-Taking-Neutral Background Risk Gunter Franke, Harris Schlesinger and Richard C. Stapleton from CESifo Group Munich 2013 Abstract A New Approach to Utility Function Catalin Angelo Ioan in Acta Universitatis Danubius. OEconomica 2015 Abstract Risk pricing in a non-expected utility framework Gebhard Geiger in European Journal of Operational Research 2015 Abstract A Trojan Horse for Sociology? Preferences versus Evolution and Morality Geoffrey M. Hodgson in Review of Behavioral Economics 2015 Abstract On continuous utility Wilhellm Neuefeind from Universite catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2015 Abstract Continuity of the expected utility Freddy Delbaen from Universite catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2015 Abstract Axiomatic theories of choice, cardinal utility and subjective probability: A review Jacques H. Dreze from Universite catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2015 Abstract H. H. Gossen – Half-Forgotten Personalities of Economic Though Pavel Sirucek in Acta Oeconomica Pragensia 2015 Abstract Beyond Utility: Providing a Moral Foundation for Capitalism Jared Meyer in Journal of Private Enterprise 2015 Abstract Ambiguity and Nonexpected Utility Edi Kami, Fabio Maccheroni and Massimo Marinacci Chapter 17 in Handbook of Game Theory with Economic Applications 2015 Abstract On preference imprecision Robin Cubitt, Daniel Navarro-Martinez and Chris Starmer in Journal of Risk and Uncertainty 2015 Abstract Time and No Lotteries: An Axiomatization of Maxmin Expected Utility Asen Kochov in Econometrica 2015 Abstract Cautious Expected Utility and the Certainty Effect Simone Cerreia?Vioglio, David Dillenberger and Pietro Ortoleva in Econometrica 2015 Abstract A discontinuous mispricing model under asymmetric information Winston S. Buckley and Hongwei Long in European Journal of Operational Research 2015 Abstract Entropy Man John Bryant in Books from Economic Consultancy, Vocat International 2015 Abstract Choice theory when agents can randomize Jorg Stoye in Journal of Economic Theory 2015 Abstract Bayesian estimation of random utility models Peter Lenk Chapter 20 in Handbook of Choice Modelling 2014 Abstract Do Respondents Adjust Their Expected Utility in the Presence of an Outcome Certainty Attribute in a Choice Experiment? John Rolfe and Jill Windle in Environmental & Resource Economics 2015 Abstract To bet or not to bet? Decision-making under risk in non-human primates Pele M., Broihanne M., Thierry B., Call J. and Dufour V. in Journal of Risk and Uncertainty 2014 Abstract Testing for independence while allowing for probabilistic choice Graham Loomes and Ganna Pogrebna in Journal of Risk and Uncertainty 2014 Abstract General dual measures of riskiness Klaas Schulze in Theory and Decision 2015 Abstract The effects of uncertainty on the WTA–WTP gap Robert Reilly and Douglas Davis in Theory and Decision 2015 Abstract Handbook of the Fundamentals of Financial Decision Making:In 2 Parts Edited by Leonard C MacLean and William T Ziemba in World Scientific Books from World Scientific Publishing Co. Pte. Ltd. 2013 Abstract Top
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Year 2014
Top 2014 institutions in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,46) Department of Economics, Harvard University 2. (3,29) Department of Economics, Boston University 3. (3,40) Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 4. (3,57) Department of Economics, Oxford University 5. (4,93) Department of Economics, University of California-San Diego 6. (5,48) Paris School of Economics 7. (5,73) National Bureau of Economic Research (NBER) 8. (12,20) Toulouse School of Economics (TSE) 9. (14,52) London School of Economics (LSE) 10. (14,65) Anderson Graduate School of Management, University of California-Los Angeles (UCLA) Top 2014 authors in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,56) Peter P. Wakker 2. (2,88) Larry G. Epstein 3. (5,48) Harry M. Markowitz 4. (7,50) Andrei Shleifer 5. (8,32) Peter E. Rossi 6. (9,43) Edi Karni 7. (9,68) Robert Sugden 8. (10,25) Charles F. Manski 9. (11,24) Glenn W. Harrison 10. (11,80) Colin Camerer Top
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3. Utility Problems & Paradoxes
(more)
The Allais paradox (modified)
Suppose Mr. Somebody offers you a choice of only one of the following: A guaranteed gain of $99. Or A lottery: The gain of $100 with the probability P(preliminary) = 99% or $0 with the (preliminary) probability 1%. The mathematical expectations of guarantee and lottery outcomes are exactly the same. But people chose the guaranteed gain instead of the lottery. Top
Gains and Losses
Compare two experiments: 1) Mr. Somebody offers you a choice of only one of the following: A guaranteed gain of $99. Or A lottery: The gain of $100 with the probability P(preliminary) = 99% or $0 with the (preliminary) probability 1%. 2) Mr. Somebody offers you a choice of only one of the following: A guaranteed loss of $99. Or A lottery: The loss of $100 with the probability P(preliminary) = 99% or $0 with the (preliminary) probability 1%. The mathematical expectations of the guarantee and lottery outcomes are exactly the same in both experiments. But in similar experiments, the overwhelming majority of people chose: - in the case of gains - the guaranteed gain instead of the lottery one. - in the case of losses - the lottery loss instead of the guaranteed one. The possible well-known "natural and clear explanation" of gains in the Allais paradox by means of risk aversion cannot supply any uniform explanation for both gains and losses. The result of this explanation is gains' risk aversion and losses' risk seeking. Top
Overweighting of low Probabilities
Suppose Mr. Somebody offers you a choice of only one of the following: A guaranteed gain of $1. Or A lottery: The gain of $100 with the probability P(preliminary) = 1% or $0 with the (preliminary) probability 1%. The mathematical expectations of guarantee and lottery outcomes are exactly the same. But the well-determined experimental fact is: in similar experiments the obvious majority of people chose the lottery instead of the guaranteed gain.
Four-Fold-Pattern
The well-determined facts are: For positive (gains) risky prospects, people typically 1) overweight low probabilities but 2) underweight high probabilities. For negative (losses) risky prospects, people typically 3) underweight low probabilities but 4) overweight high probabilities. Top
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4. New Approach
(more)
The idea of the approach
Particular consideration of (hidden) uncertainties (noises, fluctuations, measurements' errors, imprecision, etc.)
Principle of Uncertain Future
(simplified as much as possible)
The principle
The probability of a future event contains uncertainty.
4.1. The first consequence of the principle
Suppose we plan to test the probability value, which is equal to 99%. Suppose the probability uncertainty value is equal to 5%. Then, evidently, the real mean value of probability cannot be as high as 99%. Generally, High probabilities will decrease.
Phigh real < Phigh planned
Analogously, but considering the second consequence of the principle (see below),
Low probabilities can increase.
Plow real possible > Plow planned
4.2. The second consequence of the principle
The total probability of unforeseen future events is more than 0%
Σ Punforeseen real > 0%
Hence,
The present total probability of future events is less than 100%
Σ Pplanned < 100%
or
The present probability system of future events is incomplete. Top
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5. Solution of Problems
(more)
The strongest qualitative test is the 4-Fold-Pattern.
Solution & Explanation
of the 4-Fold-Pattern (simplified as much as possible) The well-determined facts are: For positive (gains) risky prospects, people typically 1) overweight low probabilities but 2) underweight high probabilities. For negative (losses) risky prospects, people typically 3) underweight low probabilities but 4) overweight high probabilities. Denoting the real value of probability, which value is near 100% as Phigh real , the (positive) value of gain as G and the (negative) value of loss as -G , we obtain
Phigh real < Phigh planned
and
G * Phigh real < G * Phigh planned
-G * Phigh real > -G * Phigh planned
2) the underweight of high probabilities gains and 4) the overweight of high probabilities losses. Denoting the real value of probability, which value is near 0% as Plow real possible we obtain
Plow real possible > Plow planned
and
G * Plow real possible > G * Plow planned
-G * Plow real possible < -G * Plow planned
1) the overweight of low probabilities gains and 3) the underweight of low probabilities losses. Thus, the above facts can be explained naturally and uniformly. Top
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