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Calibration of quantum decision theory, aversion to large losses and predictability of probabilistic choices
Vincent, Sabine; Jukalov, Vjačeslav I.; Kovalenko, Tatyana - 2016
We present the first calibration of quantum decision theory (QDT) to an empirical data set. The data comprise 91 …) the utility factor with a stochastic version of cumulative prospect theory (logit-CPT), and (b) the attraction factor with …
Persistent link: https://www.econbiz.de/10011516615
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Stochastic representation decision theory : how probabilities and values are entangled dual characteristics in cognitive processes
Ferro, Giuseppe M.; Sornette, Didier - 2020
replace the normative rational expectation theory at the foundation of economics. These approaches essentially assume that … theory (Kahneman and Tversky, 1979): the inverse S-shaped subjective probability as a function of the objective probability … Navarrete, 1998) while it does not when the dominance is “evident”. Our theory, which offers many more predictions for future …
Persistent link: https://www.econbiz.de/10012219210
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Foundations of continuous-time recrusive utility : differentiability and normalization of certainty equivalents
Kraft, Holger; Seifried, Frank Thomas - 2009
This paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential...
Persistent link: https://www.econbiz.de/10003838415
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Concavity, Stochastic Utility, and Risk Aversion
Jarrow, Robert - 2020
This paper studies the relation between concavity, stochastic or state dependent utility functions, and risk aversion. Using the common definition of risk aversion, but modified for state dependent preferences, we show that concavity does not imply risk aversion. Instead, it implies a weaker...
Persistent link: https://www.econbiz.de/10012844461
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Stochastic Utility Theorem
Blavatskyy, Pavlo R. - 2008
This paper analyzes individual decision making under risk. It is assumed that an individual does not have a preference relation on the set of risky lotteries. Instead, an individual possesses a probability measure that captures the likelihood of one lottery being chosen over the other. Choice...
Persistent link: https://www.econbiz.de/10012726748
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Decision making under uncertainty when preference information is incomplete
Armbruster, Benjamin; Delage, Erick - In: Management science : journal of the Institute for … 61 (2015) 1, pp. 111-128
Persistent link: https://www.econbiz.de/10010496061
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Inference on consensus ranking of distributions
Kaplan, David M. - 2020
Persistent link: https://www.econbiz.de/10012390824
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Apportioning of risks via stochastic dominance
Eeckhoudt, Louis R. (contributor);  … - 2008
Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random wealth variable Xi dominates Yi via ith-order stochastic dominance for i = M,N. We show that the 50-50 lottery [XN + YM, YN + XM] dominates the lottery [XN + XM, YN + YM] via (N +...
Persistent link: https://www.econbiz.de/10003790970
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The effect of uncertainty on decision making about climate change mitigation : a numerical approach of stochastic control
Lontzek, Thomas; Narita, Daiju - 2009
We apply standardized numerical techniques of stochastic optimization (Judd [1998]) to the climate change issue. The model captures the feature that the effects of uncertainty are different with different levels of agent's risk aversion. A major finding is that the effects of stochasticity...
Persistent link: https://www.econbiz.de/10003864491
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Climate change mitigation and ecosystem services : a stochastic analysis
Lontzek, Thomas; Narita, Daiju - 2010
Degradation of ecosystem services may be a major component of climate change damage, and incorporation of this factor could significantly alter the significance of uncertainty in climate-economy modeling. However, this aspect has been little investigated by economic analyses of climate change...
Persistent link: https://www.econbiz.de/10003932608