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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
(subjective) probabilities weight multiplicatively the utilities of the alternatives offered to the decision maker, although … evidence suggest that probability weights and utilities are often not separable in the mind of the decision maker. In this … context, we introduce a simple and efficient framework on how to describe the inherently probabilistic human decision …
Persistent link: https://www.econbiz.de/10012219210
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Separating attitudes towards money from attitudes towards probabilities : stake effects and ambiguity as a test for prospect theory
Vieider, Ferdinand M.; Cingl, Lubomír; Martinsson, Peter; … - 2013
Prospect theory (PT) is the dominant descriptive theory of decision making under risk today. For the modeling of …
Persistent link: https://www.econbiz.de/10009792472
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Investors' behavior in alternative asset classes
Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55
We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...
Persistent link: https://www.econbiz.de/10014246136
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Almost stochastic dominance for most risk-averse decision makers
Luo, Chunling; Tan, Chin Hon - In: Decision analysis : a journal of the Institute for … 17 (2020) 2, pp. 169-184
Persistent link: https://www.econbiz.de/10012249957
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Allais, Ellsberg, and preferences for hedging
Dean, Mark; Ortoleva, Pietro - In: Theoretical economics : TE ; an open access journal in … 12 (2017) 1, pp. 377-424
Two of the most well known regularities observed in preferences under risk and uncertainty are ambiguity aversion and the Allais paradox. We study the behav- ior of an agent who can display both tendencies simultaneously. We introduce a novel notion of preference for hedging that applies to both...
Persistent link: https://www.econbiz.de/10011704845
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Are decision errors explaining hyperbolic discounting and nonlinear probability weighting?
Holden, Stein Terje; Tione, Sarah; Tilahun, Mesfin; … - 2024
decision errors can explain or be highly correlated with hyperbolic discounting and non-linear (inverse-S-shaped) probability … weighting. We find evidence that decision errors are strongly correlated with hyperbolic discounting but do not find that … decision errors are correlated with the strong inverse-S-shaped probability weighting (w(p)) patterns in our two samples. We …
Persistent link: https://www.econbiz.de/10014581476
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Bayesian decision theory and stochastic independence
Mongin, Philippe - 2017
measure, but it is nonetheless an essential property for the mathematical development of this theory. Bayesian decision … independence of the two sources of uncertainty. This goes some way towards filling a curious lacuna in Bayesian decision theory …
Persistent link: https://www.econbiz.de/10011958867
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Loss aversion, risk aversion, and the shape of the probability weighting function
Rablen, Matthew D. - 2023
Loss aversion, risk aversion, and the probability weighting function (PWF) are three central concepts in explaining decisionmaking under risk. I examine interlinkages between these concepts in a model of decisionmaking that allows for loss averse/tolerant stochastic reference dependence and...
Persistent link: https://www.econbiz.de/10014292798
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Probabilistic Extention of the Cumulative Prospect Theory
Zutler, Ilya - 2013
A number of experiments indicate probabilistic preferences in cases where no one alternative is absolutely optimal. The task of predicting the choice of one of the alternatives among multiple alternatives is then practically important and not trivial. It can occur in situations of choice under...
Persistent link: https://www.econbiz.de/10013076603
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Generalized almost stochastic dominance
Tsetlin, Ilia; Winkler, Robert L.; Huang, Rachel J.; … - In: Operations research 63 (2015) 2, pp. 363-377
Persistent link: https://www.econbiz.de/10010526703