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The Illusion of Irrationality
Kontek, Krzysztof - Volkswirtschaftliche Fakultät, … - 2009
This short paper shows that the Allais Paradox and the Common Ratio Effect regarded as classic examples of the violation of the Expected Utility Theory Axioms – may be easily explained by assuming that changes in wealth (i.e. gains and losses) are perceived in relative terms. The preference...
Persistent link: https://www.econbiz.de/10008458513
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Decision Utility Theory: Back to von Neumann, Morgenstern, and Markowitz
Kontek, Krzysztof - Volkswirtschaftliche Fakultät, … - 2010
). Decision Utility Theory proposes straightforward risk measures, presents a simple explanation of risk attitudes by using the …
Persistent link: https://www.econbiz.de/10008756284
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Reconsidering the common ratio effect : the roles of compound independence, reduction, and coalescing
Schmidt, Ulrich; Seidl, Christian - 2014
effect. Relying on a simple experiment, we investigate which failure of these axioms is concomitant with the empirical …
Persistent link: https://www.econbiz.de/10010367224
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Reverse common ratio effect
Blavatskyy, Pavlo - In: Journal of Risk and Uncertainty 40 (2010) 3, pp. 219-241
Persistent link: https://www.econbiz.de/10008596818
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Reconsidering the common ratio effect: The roles of compound independence, reduction, and coalescing
Schmidt, Ulrich; Seidl, Christian - 2014
effect. Relying on a simple experiment, we investigate which failure of these axioms is concomitant with the empirical …
Persistent link: https://www.econbiz.de/10010369276
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Reconsidering the common ratio effect: The roles of compound independence, reduction, and coalescing
Schmidt, Ulrich; Seidl, Christian - Institut für Weltwirtschaft (IfW) - 2014
effect. Relying on a simple experiment, we investigate which failure of these axioms is concomitant with the empirical …
Persistent link: https://www.econbiz.de/10010886877
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Risk preference elicitation without the confounding effect of probability weighting
Drichoutis, Andreas; Lusk, Jayson - Volkswirtschaftliche Fakultät, … - 2012
In this paper we show that the wildly popular Holt and Laury (2002) risk preference elicitation method confounds … estimates of the curvature of the utility function, the traditional notion of risk preference, with an estimate of the extent to … confound while preserving the simplicity of the method which has made it so popular. Data from a laboratory experiment shows …
Persistent link: https://www.econbiz.de/10011107621
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Judging statistical models of individual decision making under risk using in- and out-of-sample criteria
Drichoutis, Andreas; Lusk, Jayson - Volkswirtschaftliche Fakultät, … - 2012
Despite the fact that conceptual models of individual decision making under risk are deterministic, attempts to … econometrically estimate risk preferences require some assumption about the stochastic nature of choice. Unfortunately, the … inferences about structural risk preferences across the competing specifications. Overall, a mixture model combining the two …
Persistent link: https://www.econbiz.de/10011108341
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Range-Dependent Utility
Kontek, Krzysztof; Lewandowski, Michal - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2013
This paper introduces the concept of range-dependent utility. Instead of reference dependence which evaluates outcomes relative to some reference point, we postulate dependence on a given lottery (set of lotteries) outcomes range. In this way the decision maker is a fully rational expected...
Persistent link: https://www.econbiz.de/10010700708
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Le Paradoxe d'Allais: Comment lui rendre sa signification perdue? (Allais's Paradox: How to Give It Back Its Lost Meaning?)
Mongin, Philippe - HEC Paris (École des Hautes Études Commerciales) - 2013
De tous les problèmes conçus par la théorie de la décision, le paradoxe d'Allais est peut-être celui qui aura suscité l'intérêt le plus persistant. La théorie y a consacré assez de travaux techniques remarquables pour qu'il soit désormais possible à l'histoire et à la philosophie...
Persistent link: https://www.econbiz.de/10011031653