
Utility Theory
(Utility & Prospect & Decision Theories) (working papers mainly) See also Utility Theory metadata (articles mainly)
Contents (in new windows)
1. Utility Theory News. Quarter News. Quarter Events: January 2016 December November October 2. Utility Theory Items. Events: 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 2016 2015 2014 4. Utility Theory Reviews & Analyses 5. Utility Theory Past, Timeless Events 6. Utility Theory Problems (St. Petersburg Paradox, Allais Paradox Equity Premium Puzzle, Risk Aversion, Gains and Losses Loss Aversion, Overweighting of low Probabilities Underweighting of high Probabilities, "FourFoldPattern" Shape of Probability Weighting Function, Ellsberg Paradox) 7. New Approach. Principle of Uncertain Future 8. Solution of Utility Theory 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 "FourFoldPattern" of Shape of Probability Weighting Function, of Ellsberg Paradox)

1. Utility Theory News
Quarter News (2016 quarter 4)
Top institutions in the field of Utility Models & Prospect Theory: 1. (1,34) Department of Eccs, Harvard University 2. (3,80) Department of Eccs, Boston University 3. (3,94) Department of Eccs, University of CaliforniaSan Diego Top authors in the field of Utility Models & Prospect Theory: 1. (2,13) Robert J. Barro 2. (3,87) Larry G. Epstein 3. (4,67) Harry M. Markowitz Can forbidden zones for the expectation explain noise influence in behavioral economics and decision sciences? Alexander Harin from University Library of Munich, Germany Abstract Text Optimal consumption and investment with Epstein–Zin recursive utility Holger Kraft, Thomas Seiferling and Frank Thomas Seifried in Finance and Stochastics Abstract Nash equilibrium with discontinuous utility functions: Reny's approach extended Nikolai Kukushkin from University Library of Munich, Germany Abstract Text An inconsistency between certain outcomes and uncertain incentives within behavioral methods Alexander Harin from University Library of Munich, Germany Abstract Text Demand without Utility: The First Evidence Drew Zhu from Job Market Papers Abstract Text Dual Random Utility Maximisation Paola Manzini and Marco Mariotti from Department of Economics, University of St. Andrews Abstract Text Top

Top
January
Can forbidden zones for the expectation explain noise influence in behavioral economics and decision sciences? Alexander Harin from University Library of Munich, Germany Abstract Text Consumption–investment optimization with Epstein–Zin utility in incomplete markets Hao Xing in Finance and Stochastics Abstract Optimal consumption and investment with Epstein–Zin recursive utility Holger Kraft, Thomas Seiferling and Frank Thomas Seifried in Finance and Stochastics Abstract 2016
December
Nash equilibrium with discontinuous utility functions: Reny's approach extended Nikolai Kukushkin from University Library of Munich, Germany Abstract Text Aquila non captat muscas: Homo Economicus between exploration and exploitation Thomas Friedrich from University Library of Munich, Germany Abstract Text A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework Diederik Aerts, Emmanuel Haven and Sandro Sozzo from arXiv.org Abstract Text Learning and dynamic choices under uncertainty: from weighted regret and rejoice to expected utility F. Zagonari from Dipartimento Scienze Economiche, Universita' di Bologna Abstract Text Top
November
An inconsistency between certain outcomes and uncertain incentives within behavioral methods Alexander Harin from University Library of Munich, Germany Abstract Text Demand without Utility: The First Evidence Drew Zhu from Job Market Papers Abstract Text Ordinal Space, Utility, and Consumer Demand: A Clarifying Note CRene Dominique from University Library of Munich, Germany Abstract Text Afriat in the Lab Jan Heufer and Paul van Bruggen from Tinbergen Institute Abstract Text Dual Random Utility Maximisation Paola Manzini and Marco Mariotti from Department of Economics, University of St. Andrews Abstract Text Top
October
EXPECTED UTILITY MAXIMISATION FOR EXPONENTIAL LEVY MODELS WITH OPTION AND INFORMATION PROCESSES Lioudmila Vostrikova from HAL Abstract Text Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets Kin Lam, Hooi Hooi Lean and WingKeung Wong from University Library of Munich, Germany Abstract Text Sparse MeanVariance Portfolios: A Penalized Utility Approach David Puelz, P. Richard Hahn and Carlos M. Carvalho from arXiv.org Abstract Text Robust Optimal Investment in Discrete Time for Unbounded Utility Function Robust Optimal Investment in Discrete Time for Unbounded Utility Function from arXiv.org Abstract Text Exponential utility maximization under model uncertainty for unbounded endowments Daniel Bartl from arXiv.org Abstract Text Robust Utility Maximization in DiscreteTime Markets with Friction Ariel Neufeld and Mario Sikic from arXiv.org Abstract Text Top


Year 2016

3. Utility Theory Years Rankings
Year 2016
Top 2016 institutions in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,82) Department of Economics, Harvard University 2. (5,18) Department of Eccs, University of CaliforniaSan Diego 3. (5,37) Department of Economics, Boston University 4. (7,32) Department of Economics, Columbia University 5. (8,25) Paris School of Economics 6. (9,98) Department of Economics, New York University 7. (10,51) National Bureau of Economic Research (NBER) 8. (12,14) Toulouse School of Economics (TSE) 9. (13,96) Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 10. (14,48) School of Economics, University of Nottingham Top 2016 authors in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (3,81) Larry G. Epstein 2. (4,83) Harry M. Markowitz 3. (5,14) Edi Karni 4. (5,23) Olivier J Blanchard 5. (7,51) Edmund S. Phelps 6. (7,56) Peter P. Wakker 7. (8,99) David A. Hensher 8. (12,82) Glenn W. Harrison 9. (13,93) Massimo Marinacci 10. (14,58) Andrei Shleifer Top

2016
December
Nash equilibrium with discontinuous utility functions: Reny's approach extended Nikolai Kukushkin from University Library of Munich, Germany Abstract Text Aquila non captat muscas: Homo Economicus between exploration and exploitation Thomas Friedrich from University Library of Munich, Germany Abstract Text A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework Diederik Aerts, Emmanuel Haven and Sandro Sozzo from arXiv.org Abstract Text Learning and dynamic choices under uncertainty: from weighted regret and rejoice to expected utility F. Zagonari from Dipartimento Scienze Economiche, Universita' di Bologna Abstract Text Top
November
An inconsistency between certain outcomes and uncertain incentives within behavioral methods Alexander Harin from University Library of Munich, Germany Abstract Text Demand without Utility: The First Evidence Drew Zhu from Job Market Papers Abstract Text Ordinal Space, Utility, and Consumer Demand: A Clarifying Note CRene Dominique from University Library of Munich, Germany Abstract Text Afriat in the Lab Jan Heufer and Paul van Bruggen from Tinbergen Institute Abstract Text Dual Random Utility Maximisation Paola Manzini and Marco Mariotti from Department of Economics, University of St. Andrews Abstract Text Top
October
EXPECTED UTILITY MAXIMISATION FOR EXPONENTIAL LEVY MODELS WITH OPTION AND INFORMATION PROCESSES Lioudmila Vostrikova from HAL Abstract Text Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets Kin Lam, Hooi Hooi Lean and WingKeung Wong from University Library of Munich, Germany Abstract Text Sparse MeanVariance Portfolios: A Penalized Utility Approach David Puelz, P. Richard Hahn and Carlos M. Carvalho from arXiv.org Abstract Text Robust Optimal Investment in Discrete Time for Unbounded Utility Function Robust Optimal Investment in Discrete Time for Unbounded Utility Function from arXiv.org Abstract Text Exponential utility maximization under model uncertainty for unbounded endowments Daniel Bartl from arXiv.org Abstract Text Robust Utility Maximization in DiscreteTime Markets with Friction Ariel Neufeld and Mario Sikic from arXiv.org Abstract Text Top
September
Utility maximization problem with random endowment and transaction costs: when wealth may become negative Yiqing Lin and Junjian Yang from arXiv.org Abstract Text Macroeconomic Effect of Consumption Tax on ”Dynamic” and ”Myopic” Agents Seiya Fujisaki from University Library of Munich, Germany Abstract Text When 0 + 1/3+1/3>2/3, but 0 + 0 +1/3 Krzysztof Kontek and Michael Birnbaum from Warsaw School of Economics, Collegium of Economic Analysis Abstract Text Goal Setting in the PrincipalAgent Model: Weak Incentives for Strong Performance Brice Corgnet, Joaquin GomezMinambres and Roberto HernanGonzalez from The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham Abstract Text Top
August
Do the Joneses make you financially vulnerable? Richard Barnett, Joydeep Bhattacharya and Helle Bunzel from LeBow College of Business, Drexel University Abstract Text Designing Choice Sets to Exploit Focusing Illusion Linda Dezso, Jonathan Steinhart, Barna Bako and Erich Kirchler from Corvinus University of Budapest Abstract Text Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions Nathaniel Wilcox from University Library of Munich, Germany Abstract Text Beliefs and Utility: Experimental Evidence on Preferences for Information Armin Falk and Florian Zimmermann from Institute for the Study of Labor (IZA) Abstract Text July
Stochastic choice, systematic mistakes and preference estimation Yves Breitmoser from University Library of Munich, Germany Abstract Text Skewed Noise David Dillenberger and Uzi Segal from Boston College Department of Economics Abstract Text Utilitarianism with and without expected utility David McCarthy, Kalle Mikkola and Teruji Thomas from University Library of Munich, Germany Abstract Text Sensitivity analysis for expected utility maximization in incomplete brownian market models Julio Backhoff Veraguas and Francisco Silva from arXiv.org Abstract Text Utility Indifference Pricing of Insurance Catastrophe Derivatives Andreas Eichler, Gunther Leobacher and Michaela Szolgyenyi from arXiv.org Abstract Text Top
June
Nonparametric analysis of random utility models Yuichi Kitamura and Jorg Stoye from Centre for Microdata Methods and Practice, Institute for Fiscal Studies Abstract Text The subjective discount factor and the coefficient of relative risk aversion under timeadditive isoelastic expected utility model Dominique Pepin from arXiv.org Abstract Text On the optimal investment Jose Fajardo, Jose Manuel Corcuera and Olivier Menouken Pamen from University Library of Munich, Germany Abstract Text Conditional Expected Utility Criteria for Decision Making under Ignorance or Objective Ambiguity Nicolas Gravel, Thierry Marchant and Arunava Sen from AixMarseille School of Economics, Marseille, France Abstract Text Under Uncertainty, Over Time and Regarding Other People: Rationality in 3D Dorian Jullien from Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis Abstract Text Top
May
Dynamic consistency of expected utility under nonclassical(quantum) uncertainty Vladimir Ivanovitch Danilov, Ariane LambertMogiliansky and Vassili Vergopoulos from HAL Abstract Text The axiomatic foundation of logit and its relation to behavioral welfare Yves Breitmoser from University Library of Munich, Germany Abstract Text Ellsberg Rerevisited: An Experiment Disentangling Model Uncertainty and Risk Aversion Loic Berger and Valentina Bosetti from Fondazione Eni Enrico Mattei (FEEM) Abstract Text U.S. Farmers’ Insurance Choices under Expected Utility Theory and Cumulative Prospect Theory Harun Bulut from Agricultural and Applied Economics Association Abstract Text Recursive utility maximization under partial information Shaolin Ji and Xiaomin Shi from arXiv.org Abstract Text Expected MultiUtility Representations by "Simplex" with Applications Dino Borie from Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis Abstract Text Additively Separable Preferences Without the Completeness Axiom: An Algebraic Approach Dino Borie from Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis Abstract Text Expected Subjective Value Theory (ESVT): A Representation of Decision Under Risk and Certainty Paul W. Glimcher and Agnieszka A. Tymula from University of Sydney, School of Economics Abstract Text Generalized Subjective Lexicographic Expected Utility Representation Hugo CruzSanchez from arXiv.org Abstract Text Explaining rankdependent utility with regret and rejoicing Christian Gollier from Toulouse School of Economics (TSE) Abstract Text Top
April
Strategic behavior of nonexpected utility players in games with payoff uncertainty T. Florian Kauffeldt from University of Heidelberg, Department of Economics Abstract Text Multivariate Stochastic Dominance for Risk Averters and Risk Seekers Xu Guo and WingKeung Wong from University Library of Munich, Germany Abstract Text Expected utility for nonstochastic risk Victor Ivanenko and Illia Pasichnichenko from University Library of Munich, Germany Abstract Text Utility maximization problem with random endowment and transaction costs: when wealth may become negative Yiqing Lin and Junjian Yang from arXiv.org Abstract Text Recent Developments in the Experimental Elicitation of Time Preference Stephen Cheung from Institute for the Study of Labor (IZA) Abstract Text The Ellsberg paradox: A challenge to quantum decision theory? Ali alNowaihi and Sanjit Dhami from Department of Economics, University of Leicester Abstract Text A General Optimal Investment Model in the Presence of Background Risk Moawia Alghalith, Xu Guo, WingKeung Wong and Lixing Zhu from University Library of Munich, Germany Abstract Text Top
March
Dual Random Utility Maximisation Paola Manzini and Marco Mariotti from Department of Economics, University of St. Andrews Abstract Text Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift Jorn Sass, Dorothee Westphal and Ralf Wunderlich from arXiv.org Abstract Text Robust Utility Maximization with L\'evy Processes Ariel Neufeld and Marcel Nutz from arXiv.org Abstract Text SingleCrossing Random Utility Models Jose Apesteguia and Miguel Angel Ballester from Barcelona Graduate School of Economics Abstract Text Top
February
Measuring utility without mixing apples and oranges and eliciting beliefs about stock prices O'Callaghan, Patrick from University Library of Munich, Germany Abstract Text A note on utility maximization with transaction costs and random endoment: num\'erairebased model and convex duality Lingqi Gu, Yiqing Lin and Junjian Yang from arXiv.org Abstract Text Recursive Utility and the Solution to the Bellman Equation Masayuki Yao from Research Institute for Economics & Business Administration, Kobe University Abstract Text Maximizing expected utility in the Arbitrage Pricing Model Miklos Rasonyi from arXiv.org Abstract Text Models of Affective Decisionmaking: How do Feelings Predict Choice? Caroline J. Charpentier, JanEmmanuel De Neve, Jonathan P. Roiser and Tali Sharot from Centre for Economic Performance, LSE Abstract Text Top

2016 Undated
Dual Random Utility Maximisation Paola Manzini and Marco Mariotti from Department of Economics, University of St. Andrews Abstract Text Non stationary additive utility and time consistency Nicolas Drouhin from HAL Abstract Text Choice  Based Cardinal Utility. A Tribute to Patrick Suppes Philippe Mongin and Jean Baccelli from HEC Paris Abstract Text Ambiguity Framed Mark Schneider, Jonathan Leland and Nathaniel Wilcox from Chapman University, Economic Science Institute Abstract Text Measuring loss aversion under ambiguity: a method to make prospect theory completely observable Mohammed Abdellaoui, Han Bleichrodt, Olivier L'Haridon and Van Dolder Dennie from HAL Abstract Text


Year 2015
Top

4. 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 Eccs, University of CaliforniaSan 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

2015 Undated
A Strict Stochastic Utility Theorem Matthew Ryan in Economics Bulletin Abstract Text Non stationary additive utility and time consistency Nicolas Drouhin from HAL Abstract Text Risk Aversion in the Small and in the Large under RankDependent Utility Louis R. Eeckhoudt and Roger J. A. Laeven from arXiv.org Abstract Text Monotone Stochastic Choice Models: The Case of Risk and Time Preferences Jose Apesteguia and Miguel Angel Ballester from Barcelona Graduate School of Economics Abstract Text Problems of utility and prospect theories. A “certain–uncertain” inconsistency within their experimental methods Alexander Harin from University Library of Munich, Germany Abstract Text Some (Mis)facts about Myopic Loss Aversion Inigo IturbeOrmaetxe Kortajarene, Giovanni Ponti and Josefa Tomas Lucas from Instituto Valenciano de Investigaciones Economicas, S.A. (Ivie) Abstract Text Monotone stochastic choice models: The case of risk and time preferences Jose Apesteguia and Miguel A. Ballester from Department of Economics and Business, Universitat Pompeu Fabra Abstract Text The limit of discounted utilitarianism Adam Jonsson and Mark Voorneveld from Stockholm School of Economics Abstract Text Stochastic Dominance of Any Type and Any Degree, and Expected Utility: A Unifying Approach Andre Lapidus from HAL Abstract Text An existence theorem for bounds on the expectation of a random variable. Its opportunities for utility theories. V. 2 Alexander Harin from University Library of Munich, Germany Abstract Text Ambiguity, Optimism, and Pessimism in Adverse Selection Models Raphael Giraud and Lionel Thomas from HAL Abstract Text Preference Cloud Theory: Imprecise Preferences and Preference Reversals Oben Bayrak and John Hey from CERE  the Center for Environmental and Resource Economics Abstract Text Shadow price in the power utility case Attila Herczegh and Vilmos Prokaj from arXiv.org Abstract Text Utility maximization in purejump models driven by marked point processes and nonlinear wealth dynamics Mauricio Junca and Rafael Serrano from arXiv.org Abstract Text Utility Maximisation for Exponential Levy Models with option and information processes Lioudmila Vostrikova from arXiv.org Abstract Text The Fundamental Nature of HARA Utility Gadi Perets and Eran Yashiv from Centre for Macroeconomics (CFM) Abstract Text Bridging the AttitudePreferenceGap: A Cognitive Approach To Preference Formation Rebecca Schmitt from University Library of Munich, Germany Abstract Text Revealed preferences over risk and uncertainty Matthew Polisson, John Quah and Ludovic Renou from Institute for Fiscal Studies Abstract Text A BSDE arising in an exponential utility maximization problem in a pure jump market model Carla Mereu and Robert Stelzer from arXiv.org Abstract Text Measurement Scales and Welfarist Social Choice Michael Morreau and John Weymark from Vanderbilt University Department of Economics Abstract Text Stochastic dominance, risk and disappointment: a synthesis Thierry Chauveau from HAL Abstract Text Now you see it, now you don’t: How to make the Allais Paradox appear, disappear, or reverse Pavlo Blavatskyy, Andreas Ortmann and Valentyn Panchenko from School of Economics, The University of New South Wales Abstract Text Is Prelec’s function discontinuous at p = 1? (for the Einhorn Award of SJDM) Alexander Harin from University Library of Munich, Germany Abstract Text An existence theorem for restrictions on the mean in the presence of a restriction on the dispersion Alexander Harin from University Library of Munich, Germany Abstract Text “Luce problem” and discontinuity of Prelec’s function at p = 1 Alexander Harin from University Library of Munich, Germany Abstract Text Sensitivity analysis for expected utility maximization in incomplete brownian market models Julio Backhoff and Francisco Silva from arXiv.org Abstract Text Delay Functions as the Foundation of Time Preference: Testing for Separable Discounted Utility Keith Marzilli Ericson and Jawwad Noor from National Bureau of Economic Research, Inc Abstract Text Singular recursive utility Kristina R. Dahl and Bernt {\O}ksendal from arXiv.org Abstract Text A conceptual foundation for the theory of risk aversion Yonatan Aumann from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem 2015 Abstract Text Recursive utility using the stochastic maximum principle Knut Aase from Department of Business and Management Science, Norwegian School of Economics Abstract Text Skewed Noise David Dillenberger and Uzi Segal from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Abstract Text Optimism and Pessimism with Expected Utility, Fifth Version David Dillenberger, Andrew Postlewaite and Kareen Rozen from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Abstract Text Back to Bentham: should we? Largescale comparison of decision versus experienced utility for incomeleisure preferences Alpaslan Akay, Olivier Bargain and Holguer Xavier Jara Tamayo from Institute for Social and Economic Research Abstract Text Revealed preferences over risk and uncertainty John Quah, Matthew Polisson and Ludovic Renou from University of Oxford, Department of Economics Abstract Text Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation Salvatore Federico, Paul Gassiat and Fausto Gozzi from arXiv.org Abstract Text Eliciting utility curvature and time preference Stephen Cheung from University of Sydney, School of Economics Abstract Text Memory Utility Itzhak Gilboa, Andrew Postlewaite and Larry Samuelson from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Abstract Text Dimensional Analysis of Production and Utility Functions in Economics Minseong Kim from University Library of Munich, Germany Abstract Text An axiomatization of Choquet expected utility with cominimum independence Takao Asano and Hiroyuki Kojima in Theory and Decision Abstract Text Tailored proper scoring rules elicit decision weights Arthur Carvalho in Judgment and Decision Making Abstract Text Dynamic portfolio selection with mispricing and model ambiguity Bo Yi, Frederi Viens, Baron Law and Zhongfei Li in Annals of Finance Abstract Text 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 Abstract Text General dual measures of riskiness Klaas Schulze in Theory and Decision Abstract Text A class of symmetric and quadratic utility functions generating Giffen demand Massimiliano Landi in Mathematical Social Sciences Abstract Text Does ambiguity matter? Estimating asset pricing models with a multiplepriors recursive utility Daehee Jeong, Hwagyun Kim and Joon Y. Park in Journal of Financial Economics Abstract Text Entropy Man John Bryant from Economic Consultancy, Vocat International Abstract Text Choice theory when agents can randomize Jorg Stoye in Journal of Economic Theory Abstract Text ParadoxProof Utility Functions for HeavyTailed Payoffs: Two Instructive TwoEnvelope Problems Michael Powers in Risks Abstract Text The effects of uncertainty on the WTA–WTP gap Robert Reilly and Douglas Davis in Theory and Decision Abstract Text Tractable valuations under uncertainty Jozsef Sakovics in Economics Letters Abstract Text A rankdependent utility model of uncertain lifetime Nicolas Drouhin in Journal of Economic Dynamics and Control Abstract Text Sharing ambiguous risks Surajeet Chakravarty and David Kelsey in Journal of Mathematical Economics Abstract Text Piecewise Additivity for Nonexpected Utility Craig Webb from Economics, The University of Manchester Abstract Text Dynamic Consistent alphaMaxmin Expected Utility Patrick Bei?ner and Qian Lin from Bielefeld University, Center for Mathematical Economics Abstract Text Decision making in phantom spaces Yehuda Izhakian and Zur Izhakian in Economic Theory Abstract Text The Implementation Duality Georg Noldeke and Larry Samuelson from Faculty of Business and Economics  University of Basel Abstract Text
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 CaliforniaSan 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 CaliforniaLos 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

4. Utility Theory Reviews & Analyses
The Foundations of Behavioral Economic Analysis Sanjit Dhami Kindle Edition 2016 Abstract Annotated references on decisions and uncertainty (thousands of references and comments (AH)) Peter P. Wakker Erasmus School of Economics, Behavioral Economics, Peter P. Wakker personal page. Refs: 19212015. Abstract Text Thirty Years of Prospect Theory in Economics: A Review and Assessment Nicholas C. Barberis Journal of Economic Perspectives 2013 Abstract Text Is There A Plausible Theory for Risky Decisions? James C. Cox, Vjollca Sadiraj, Bodo Vogt and Utteeyo Dasgupta Experimental Economics Center, Andrew Young School... 200706 Abstract Text Economists and uncertainty John Quiggin and Robert G. Chambers Risk and Sustainable Management Group, University ... 2005 Title Text Investigating Generalizations of Expected Utility Theory Using Experimental Data John Hey and Chris Orme Econometrica 1994 Abstract The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations Paul J H Schoemaker Journal of Economic Literature 1982 Title Top

Utility Theory
Events 5. Past, Timeless Anomalies: Utility Maximization and Experienced Utility Daniel Kahneman and Richard H. Thaler Journal of Economic Perspectives 2006 Abstract Text of the corresponding Working Paper Advances in Prospect Theory: Cumulative Representation of Uncertainty Amos Tversky and Daniel Kahneman Journal of Risk and Uncertainty 1992 Title Prospect Theory: An Analysis of Decision under Risk Daniel Kahneman and Amos Tversky Econometrica 1979 Title Risk, Ambiguity, and the Savage Axioms Daniel Ellsberg The Quarterly Journal of Economics 1961 Abstract Le comportement de l'homme rationnel devant le risque: critique des postulats et axiomes de l'Ecole Americaine Maurice Allais Econometrica 1953 Title Theory of Games and Economic Behavior John von Neumann and Oskar Morgenstern Princeton University Press 1944 Table of contents Text (txt 1.6 MB) Text (pdf 33 MB) An Introduction to the Principles of Morals and Legislation Jeremy Bentham The Online Library of Liberty 1823 Contents Text Exposition of a New Theory on the Measurement of Risk Daniel Bernoulli Commentarii Academiae Scientiarum Imperialis Petropolitanae 1738 Title Top

6. Utility Theory 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 wellknown "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 welldetermined experimental fact is: in similar experiments the obvious majority of people chose the lottery instead of the guaranteed gain.
FourFoldPattern
The welldetermined 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

7. 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.
7.1. 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.
P_{high real} < P_{high planned}
Analogously, but considering the second consequence of the principle (see below),
Low probabilities can increase.
P_{low real possible} > P_{low planned}
7.2. The second consequence of the principle
The total probability of unforeseen future events is more than 0%
Σ P_{unforeseen real} > 0%
Hence,
The present total probability of future events is less than 100%
Σ P_{planned} < 100%
or
The present probability system of future events is incomplete. Top

8. Solution of Utility Theory Problems
(more)
The strongest qualitative test is the 4FoldPattern.
Solution & Explanation
of the FourFoldPattern (simplified as much as possible) The welldetermined 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 P_{high real} , the (positive) value of gain as G and the (negative) value of loss as G , we obtain
P_{high real} < P_{high planned}
and
G * P_{high real} < G * P_{high planned}
G * P_{high real} > G * P_{high 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 P_{low real possible} we obtain
P_{low real possible} > P_{low planned}
and
G * P_{low real possible} > G * P_{low planned}
G * P_{low real possible} < G * P_{low 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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