Search Results - subject:"stochastic utility"

Concavity, stochastic utility, and risk aversion

Jarrow, Robert A.; Li, Siguang - In: Finance and stochastics 25 (2021) 2, pp. 311-330

Persistent link: https://www.econbiz.de/10012499688

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

Return, reliability and risk as a proactive set of concepts in developing an efficient integration strategy of companies

Rutkauskas, Aleksandras Vytautas; Ostapenko, Aleksandr - In: Journal of business economics and management 17 (2016) 2, pp. 201-214

Persistent link: https://www.econbiz.de/10011516878

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

—Discussion of “Alleviating the Constant Stochastic Variance Assumption in Decision Research: Theory, Measurement, and Experimental Test”

Louviere, Jordan; Swait, Joffre - In: Marketing Science 29 (2010) 1, pp. 18-22

We discuss the Salisbury and Feinberg paper [Salisbury, L. C., F. M. Feinberg. 2010. Alleviating the constant stochastic variance assumption in decision research: Theory, measurement, and experimental test. (1) 1–17], setting their contribution in the historical context of the wider literature...

Persistent link: https://www.econbiz.de/10008788033

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

Stochastic expected utility theory

Blavatskyy, Pavlo - In: Journal of Risk and Uncertainty 34 (2007) 3, pp. 259-286

This paper proposes a new decision theory of how individuals make random errors when they compute the expected utility of risky lotteries. When distorted by errors, the expected utility of a lottery never exceeds (falls below) the utility of the highest (lowest) outcome. This assumption implies...

Persistent link: https://www.econbiz.de/10005678230