expected utility theory, but also prospect theory. … captured by the curvature of the utility function. It is driven predominantly by a change in probability weighting of a …

This study compares the performance of Prospect Theory versus Stochastic Expected Utility Theory at fitting data on … Allais paradox or the fourfold pattern of risk attitudes. Stochastic Expected Utility Theory parsimoniously extends the … decision making under risk. Both theories incorporate well-known deviations from Expected Utility Maximization such as the …

in the spirit of the literature on precautionary savings. We find that boundedness of the utility function, in particular … a bounded utility function, we show that in a standard two-period setting, prudence is no longer sufficient to ensure a … risk aversion is sufficient. These results highlight the importance of the specification of the utility function and its …

The Allais critique of expected utility theory (EUT) has led to the development of theories of choice under risk that …

model of choice. We evaluate the performance of different models (including expected utility, disappointment aversion, rank … dependent utility, mean-variance utility, and stochastically monotone utility) in the data collected by Choi et al. (2007), in …