Search Results - subject:"stochastic utility"

Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling

Karoui, Nicole El; Hillairet, Caroline; Mrad, Mohamed - HAL - 2014

The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization,...

Persistent link: https://www.econbiz.de/10010821470

Impatience, anticipatory feelings and uncertainty : a dynamic experiment on time preferences

Casari, Marco; Dragone, Davide - 2011

cannot explain them. This evidence is compatible with models based on anticipatory feelings and stochastic utility. …

Persistent link: https://www.econbiz.de/10011737091

Stochastic Utility Theorem

Blavatskyy, Pavlo R. - Institut für Volkswirtschaftslehre, … - 2007

one lottery being chosen over the other. Choice probabilities have a stochastic utility representation if they can be … stochastic utility representation if and only if they are complete, strongly transitive, continuous, independent of common … consequences and interchangeable. Axioms of stochastic utility are consistent with systematic violations of betweenness and a …

Persistent link: https://www.econbiz.de/10005463515

Stochastic Choice Under Risk

Blavatskyy, Pavlo R. - Institut für Volkswirtschaftslehre, … - 2006

An individual makes random errors when evaluating the expected utility of a risky lottery. Errors are symmetrically distributed around zero as long as an individual does not make transparent mistakes such as choosing a risky lottery over its highest possible outcome for certain. This stochastic...

Persistent link: https://www.econbiz.de/10005627956

Investigation of the stochastic utility maximization process of consumer brand choice by semiparametric modeling

Abe, Makoto; Boztuæg, Yasemin; Hildebrandt, Lutz - 2000

stochastic utility maximization (SUM). Simulation study and application to actual scanner panel data seem to support the …

Persistent link: https://www.econbiz.de/10010310248

Investigation of the stochastic utility maximization process of consumer brand choice by semiparametric modeling

Abe, Makoto; Boztuæg, Yasemin; Hildebrandt, Lutz - Sonderforschungsbereich 373, Quantifikation und … - 2000

stochastic utility maximization (SUM). Simulation study and application to actual scanner panel data seem to support the …

Persistent link: https://www.econbiz.de/10010983822

A Stochastic Expected Utility Theory

Blavatskyy, Pavlo R. - Institut für Volkswirtschaftslehre, …

utilities. Errors are drawn from the normal distribution, which is truncated so that the stochastic utility of a lottery cannot …

Persistent link: https://www.econbiz.de/10005627861