Asymmetric loss utility: an analysis of decision under risk

This paper develops a utility model for evaluating lotteries. In estimating utility, risk averse people use an asymmetric loss function. Expected utility is seen as a special case that is a good approximation in some cases. The model resolves several paradoxes and makes easily falsifiable predictions. When used in hypothesis testing, the model allows researchers to directly specify their attitudes toward risk.

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Year of publication:	2004-01-29
Authors:	Strashny, Alex
Institutions:	EconWPA
Subject:	choice under uncertainty \| non-expected utility theory \| risk aversion \| Allais paradox \| Ellsberg paradox \| St. Petersburg paradox \| equity premium puzzle \| decision theory

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Extent:	application/pdf
Series:	Game Theory and Information.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf / TeX; prepared on Win; pages: 21; figures: 3 21 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005118544