Search Results - subject:"Utility function"

Gorajek, Adam - In: Journal of economic surveys 36 (2022) 5, pp. 1288-1310

Persistent link: https://www.econbiz.de/10013464571

An Alternative Subjective Expected Utility Representation Theorem

Kuzmics, Christoph - 2012

A decision maker (DM) is asked to make choices from a set of acts, which entail both risk and uncertainty in the sense of knight (1921). Extending Raiffa's (1961) argument I show that, provided the DM can choose acts objectively randomly (by flipping her own fair coin, for instance), provided...

Persistent link: https://www.econbiz.de/10013101803

The Source of Uncertainty in Probabilistic Preferences Over Gambles

Charles-Cadogan, G. - 2012

Probabilistic preference models predict that a subject makes different choices with different probabilities in repeatedly experiments with the same stimuli. This paper explains why. First, we prove that a gamble is a statistical ensemble or sample function of a random field with canonical...

Persistent link: https://www.econbiz.de/10013113294

The use of risk-based discrete choice experiments to capture preferences over health states

Robinson, Angela; Spencer, Anne; Moffatt, Peter G. - 2012

Discrete choice experiments (DCEs) allow a number of characteristics to be traded-off against one another. An overriding methodological challenge faced is how best to apply DCEs to questions involving those attributes commonly used in value elicitation exercises such as risk, time (Bansback et...

Persistent link: https://www.econbiz.de/10010196280

No good deals - no bad models

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012

uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases … investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá … ; contingent claim pricing ; model-uncertainty-induced utility function …

Persistent link: https://www.econbiz.de/10009679505

Optimal reference points and anticipation

Sarver, Todd - 2012

This paper considers a model of reference-dependent utility in which the individual makes a conscious choice of her reference point for future consumption. The model incorporates the combination of loss aversion and anticipatory utility as competing forces in the determination of the optimal...

Persistent link: https://www.econbiz.de/10009755861

(U,V)-ordering and a duality theorem for risk aversion and Lorenz-type orderings

Giovagnoli, Alessandra; Wynn, Henry P. - 2012

Persistent link: https://www.econbiz.de/10009550635

Do Microfinance Lenders Easily Reach an Optimal Welfare? Evidence from a Maximization Lenders' Utility Function

Kendo, Sandra - 2016

where a lender utility function is defined. One of the results is that high number of lenders determines their portfolio …

Persistent link: https://www.econbiz.de/10012997524

Sparse Mean-Variance Portfolios : A Penalized Utility Approach

Puelz, David - 2016

This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many potential assets while acknowledging uncertainty in asset...

Persistent link: https://www.econbiz.de/10012999384

Stationary Cardinal Utility

Kochov, Asen - 2016

The paper provides a representation theorem for the class of all stationary preferences in a stochastic environment. A notion of ambiguity aversion applicable to such preferences is also proposed. The analysis helps discriminate between dynamic models of ambiguity aversion and expected utility...

Persistent link: https://www.econbiz.de/10013001521