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  • Search: subject_exact:"Expected utility"
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Year of publication
Subject
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Expected utility 3,375 Erwartungsnutzen 3,265 Theorie 2,167 Theory 2,158 Decision under uncertainty 874 Entscheidung unter Unsicherheit 874 Risk aversion 587 Risikoaversion 575 Experiment 536 Risk 464 Risiko 452 Entscheidungstheorie 410 Decision theory 396 Decision under risk 387 Entscheidung unter Risiko 384 Portfolio selection 339 Portfolio-Management 338 Präferenztheorie 331 Theory of preferences 331 expected utility 316 Nutzen 278 Utility 275 Risk attitude 259 Risikopräferenz 258 Entscheidung 228 Decision 222 Prospect Theory 209 Prospect theory 206 Erwartungsbildung 177 Expectation formation 177 Probability theory 177 Wahrscheinlichkeitsrechnung 177 Gambling 149 Glücksspiel 147 Nutzentheorie 133 Ambiguity 130 Utility theory 126 Spieltheorie 110 Nutzenfunktion 107 Utility function 106
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Online availability
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Free 1,203 Undetermined 802
Type of publication
All
Article 2,067 Book / Working Paper 1,645 Other 4
Type of publication (narrower categories)
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Article in journal 1,767 Aufsatz in Zeitschrift 1,767 Working Paper 879 Graue Literatur 856 Non-commercial literature 856 Arbeitspapier 843 Aufsatz im Buch 151 Book section 151 Hochschulschrift 120 Thesis 107 Bibliografie enthalten 16 Bibliography included 16 Dissertation u.a. Prüfungsschriften 15 Collection of articles written by one author 13 Sammlung 13 Commentary 11 Kommentar 11 Article 10 Collection of articles of several authors 10 Sammelwerk 10 Conference paper 9 Konferenzbeitrag 9 Aufsatzsammlung 8 Konferenzschrift 5 Systematic review 5 Übersichtsarbeit 5 Conference proceedings 4 Lehrbuch 4 Mehrbändiges Werk 3 Multi-volume publication 3 Textbook 3 Amtsdruckschrift 2 Book Part 2 Case study 2 Fallstudie 2 Government document 2 Rezension 2 Bibliografie 1 Conference Paper 1 Congress Report 1
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Language
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English 3,284 Undetermined 256 German 141 French 26 Spanish 5 Italian 3 Czech 1 Hungarian 1 Portuguese 1 Russian 1 Swedish 1
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Author
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Grant, Simon 76 Schmidt, Ulrich 55 Karni, Edi 52 Eichberger, Jürgen 50 Kelsey, David 48 Dillenberger, David 37 Quiggin, John C. 32 Wakker, Peter P. 31 Blavatskyy, Pavlo R. 28 Chateauneuf, Alain 27 Gollier, Christian 27 Zimper, Alexander 24 Hey, John Denis 23 Mukerji, Sujoy 23 Segal, Uzi 21 Morone, Andrea 20 Marinacci, Massimo 19 Kajii, Atsushi 18 Ortoleva, Pietro 18 Polak, Ben 18 Tallon, Jean-Marc 18 Diecidue, Enrico 17 Klibanoff, Peter 17 Maccheroni, Fabio 17 Polisson, Matthew 17 Postlewaite, Andrew 17 Bleichrodt, Han 16 Chambers, Robert G. 16 Dominiak, Adam 16 Pope, Robin 16 Schmeidler, David 16 Booij, Adam S. 15 Eeckhoudt, Louis R. 15 Machina, Mark J. 15 Schipper, Burkhard 15 Zank, Horst 15 Cerreia-Vioglio, Simone 14 Epstein, Larry G. 14 Felder, Stefan 14 Gilboa, Itzhak 14
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Institution
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National Bureau of Economic Research 16 HAL 13 Johns Hopkins University / Department of Economics 13 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 9 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 8 Department of Economics and Business, Universitat Pompeu Fabra 7 EconWPA 7 Australian National University 6 Department of Agricultural and Resource Economics, University of California-Berkeley 6 Australian National University / Faculty of Economics and Commerce 5 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 5 Cowles Foundation for Research in Economics, Yale University 5 Tinbergen Instituut 5 Agricultural and Applied Economics Association - AAEA 3 Boston College / Department of Economics 3 CESifo 3 Econometric Society 3 Tinbergen Institute 3 Universität Hannover / Wirtschaftswissenschaftliche Fakultät 3 Alfred-Weber-Institut für Sozial- und Staatswissenschaften <Heidelberg> 2 Center for Economic Research <Tilburg> 2 Center for Intergenerational Studies, Institute of Economic Research 2 Centro de Estudios Andaluces, Government of Andalusia 2 Centro de Estudios Monetarios y Financieros (CEMFI) 2 Department of Econometrics and Business Statistics, Monash Business School 2 Department of Economics and Related Studies, University of York 2 Department of Economics, Leicester University 2 Department of Economics, University of Oregon 2 Department of Economics, University of Pennsylvania 2 European Association of Agricultural Economists - EAAE 2 Faculty of Economics, University of Cambridge 2 Institut für Angewandte Betriebswirtschaftslehre, Unternehmensführung <Karlsruhe> 2 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 2 Institut für Weltwirtschaft (IfW) 2 Institute of Economic Research, Kyoto University 2 Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät 2 Luxembourg Institute of Socio-Economic Research (CEPS/INSTEAD) 2 Max-Planck-Institut für Ökonomik <Jena> - Abteilung für Strategische Interaktion 2 Max-Planck-Institut für Ökonomik, Max-Planck-Gesellschaft 2 Rodney L. White Center for Financial Research 2
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Published in...
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Journal of economic theory 110 Theory and decision : an international journal for multidisciplinary advances in decision science 104 Journal of risk and uncertainty : JRU 100 Economic theory : official journal of the Society for the Advancement of Economic Theory 86 Journal of mathematical economics 86 Economics letters 73 Games and economic behavior 50 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 41 Mathematical social sciences 34 Journal of economic behavior & organization : JEBO 32 Insurance / Mathematics & economics 30 Social choice and welfare 25 Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung 24 CESifo working papers 22 European journal of operational research : EJOR 22 Management science : journal of the Institute for Operations Research and the Management Sciences 21 Working paper 20 Working paper / National Bureau of Economic Research, Inc. 20 Experimental economics : a journal of the Economic Science Association 18 Working papers / Penn Institute for Economic Research 18 Mathematical finance : an international journal of mathematics, statistics and financial theory 17 NBER working paper series 17 Decision analysis : a journal of the Institute for Operations Research and the Management Sciences, INFORMS 15 Discussion paper / Center for Mathematical Studies in Economics and Management Science, Northwestern University 15 Discussion paper / Tinbergen Institute 15 Research paper series / Swiss Finance Institute 15 Working papers / Department of Economics, The Johns Hopkins University 15 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 15 Discussion paper 14 Discussion paper series / University of Heidelberg, Department of Economics 14 The American economic review 14 The economic journal : the journal of the Royal Economic Society 14 American journal of agricultural economics 13 Discussion paper / Centre for Economic Policy Research 13 Europäische Hochschulschriften / 5 13 International journal of theoretical and applied finance 13 Mathematics and financial economics 13 Theoretical economics : TE ; an open access journal in economic theory 13 Working paper / Institute for Empirical Research in Economics, University of Zürich 13 Working papers in economics and econometrics 13
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Source
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ECONIS (ZBW) 3,305 RePEc 316 EconStor 50 USB Cologne (EcoSocSci) 23 USB Cologne (business full texts) 15 BASE 7
Showing 1 - 50 of 3,716
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Random rank-dependent expected utility
Kashaev, Nail; Aguiar, Victor H. - In: Games 13 (2022) 1, pp. 1-10
We present a novel characterization of random rank-dependent expected utility for finite datasets and finite prizes. As a byproduct, we obtain a characterization of random expected utility that works for finite datasets. The test lends itself to statistical testing. We apply our test to an...
Persistent link: https://ebtypo.dmz1.zbw/10013172016
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Inference on consensus ranking of distributions
Kaplan, David M. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013393536
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Reverse sensitivity analysis for risk modelling
Pesenti, Silvana M. - In: Risks : open access journal 10 (2022) 7, pp. 1-23
We consider the problem where a modeller conducts sensitivity analysis of a model consisting of random input factors, a corresponding random output of interest, and a baseline probability measure. The modeller seeks to understand how the model (the distribution of the input factors as well as...
Persistent link: https://ebtypo.dmz1.zbw/10013364877
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Attitudes towards success and failure
Alaoui, Larbi; Penta, Antonio - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013365451
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Attitudes towards success and failure
Alaoui, Larbi; Penta, Antonio - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013365735
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Ever since Allais
Dembo, Aluma; Kariv, Shachar; Polisson, Matthew; Quah, … - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012821448
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Ever since Allais
Dembo, Aluma; Kariv, Shachar; Polisson, Matthew; Quah, … - 2021
The Allais critique of expected utility theory (EUT) has led to the development of theories of choice under risk that relax the independence axiom, but which adhere to the conventional axioms of ordering and monotonicity. Unlike many existing labora-tory experiments designed to test...
Persistent link: https://ebtypo.dmz1.zbw/10012583551
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The standard model of rational risky decision-making
Falahati, Kazem - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-22
Expected utility theory (EUT) is currently the standard framework which formally defines rational decision-making under risky conditions. EUT uses a theoretical device called von Neumann-Morgenstern utility function, where concepts of function and random variable are employed in their...
Persistent link: https://ebtypo.dmz1.zbw/10012520657
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The optimal spending rate versus the expected real return of a sovereign wealth fund
Aase, Knut K.; Bjerksund, Petter - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012489878
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The optimal spending rate versus the expected real return of a sovereign wealth fund
Aase, Knut K.; Bjerksund, Petter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-35
We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the fund is significantly less than the fund's expected real rate of return. The...
Persistent link: https://ebtypo.dmz1.zbw/10012628390
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Alternative views on the link between risk aversion and diminishing marginal utility of wealt
Menzl, Vojtěch - In: European financial and accounting journal : EFAJ 16 (2021) 2, pp. 51-72
Although the link between risk aversion and diminishing marginal utility of wealth is academically well established, theoretical discussions concerning its empirical validity remain. The presented, review-type paper aims to briefly examine theoretical roots responsible for the different views on...
Persistent link: https://ebtypo.dmz1.zbw/10012807566
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Ambiguity attitudes in qualitative contexts : the role of prior beliefs
White, Joshua P.; Perfors, Andrew - In: Journal of behavioral decision making 36 (2023) 1, pp. 1-20
Persistent link: https://ebtypo.dmz1.zbw/10013464470
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New developments in revealed preference theory : decisions under risk, uncertainty, and intertemporal choice
Echenique, Federico - In: Annual review of economics 12 (2020), pp. 299-316
This article reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments, subjected expected utility and maxmin expected utility...
Persistent link: https://ebtypo.dmz1.zbw/10012404579
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Inference on consensus ranking of distributions
Kaplan, David M. - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012390824
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Measuring and comparing two kinds of rationalizable opportunity cost in mixture models
Bland, James R. - In: Games 11 (2020) 1/1, pp. 1-27
In experiments of decision-making under risk, structural mixture models allow us to take a menu of theories about decision-making to the data, estimating the fraction of people who behave according to each model. While studies using mixture models typically focus only on how prevalent each of...
Persistent link: https://ebtypo.dmz1.zbw/10012168616
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Random rank-dependent expected utility
Kashaev, Nail; Aguiar, Victor H. - In: Games 13 (2022) 1, pp. 1-10
We present a novel characterization of random rank-dependent expected utility for finite datasets and finite prizes. As a byproduct, we obtain a characterization of random expected utility that works for finite datasets. The test lends itself to statistical testing. We apply our test to an...
Persistent link: https://ebtypo.dmz1.zbw/10013200170
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Closed-form portfolio optimization under GARCH models
Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...
Persistent link: https://ebtypo.dmz1.zbw/10012880259
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Prerationality as avoiding predictably regrettable consequences
Hammond, Peter J. - 2022 - Prepublication version: 2022 August 29th
Persistent link: https://ebtypo.dmz1.zbw/10013205233
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A simple axiomatization of neo-additive choquet expected utility theory on a finite state space
Asano, Takao; Kojima, Hiroyuki; Miyagishima, Kaname - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013281064
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Strategy under ambiguity, and a new type of decision dilemma
Arend, Richard J. - In: Administrative Sciences : open access journal 12 (2022) 2, pp. 1-17
In this exploratory study, we challenge real decision makers to make choices in strategic games involving ambiguity, and to rationalize those choices. Such games are unique because they are not optimizable; however, the challenge such decisions represent-making choices over irreversible resource...
Persistent link: https://ebtypo.dmz1.zbw/10013202954
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Decisions with several objectives under uncertainty : sufficient conditions for multivariate almost stochastic dominance
Müller, Alfred; Scarsini, Marco; Tsetlin, Ilia; … - 2022 - Revised version of 2021/26/DSC
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A stress-test of economic rationality
Nitsch, Felix Jan - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013186527
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Composition rules in original and cumulative prospect theory
Gonzalez, Richard J.; Wu, George - In: Theory and decision : an international journal for … 92 (2022) 3/4, pp. 647-675
Persistent link: https://ebtypo.dmz1.zbw/10013192426
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Production under uncertainty and choice under uncertainty in the emergence of generalized expected utility theory
Quiggin, John C. - In: Theory and decision : an international journal for … 92 (2022) 3/4, pp. 717-729
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Experimental evidence on the relationship between perceived ambiguity and likelihood insensitivity
Henkel, Luca - 2022
Observed individual behavior in the presence of ambiguity is characterized by insufficient responsiveness to changes in subjective likelihoods. Such likelihood insensitivity under ambiguity is integral to theoretical models and predictive of behavior in many important domains such as financial...
Persistent link: https://ebtypo.dmz1.zbw/10013163191
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On multiple discount rates and present bias
Dong Xuan Bach; Bich, Philippe; Wigniolle, Bertrand - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013473198
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An Ellsberg paradox for ambiguity aversion
Kuzmics, Christoph; Rogers, Brian; Zhang, Xiannong - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013473408
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Farmers' risk preferences in eleven European farming systems : a multi-country replication of Bocquého et al. (2014)
Rommel, Jens; Sagebiel, Julian; Baaken, Marieke Cornelia; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013473911
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Caution under Ambiguity and Blowups
Bakshi, Gurdip; Crosby, John; Gao, Xiaohui - 2022
We develop a way of ranking and scoring actively managed funds and investment strategies. Our performance measure accounts for the feature that investors may exhibit caution, via the mechanism of ambiguity aversion, when evaluating investment strategies. Linking developed theory to data, we...
Persistent link: https://ebtypo.dmz1.zbw/10013403587
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Financing Innovation under Ambiguity and Skewness
Cao, Wenbin; Duan, Xiaoman; Liu, Hening - 2022
We examine a real option model with governance friction and optimal investment and financing decisions when an entrepreneur facing ambiguity considers investing in an innovation project. The novel features of our model are the introduction of jumps in the returns to innovation and investors’...
Persistent link: https://ebtypo.dmz1.zbw/10013404942
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Testing Expected Utility
Ozbek, Kemal - 2022
In this paper, we provide two novel representation theorems for the expected utility model by suitably adjusting independence and continuity. Our representation results suggest that an analyst can refute choice by expected utility whenever violations of weak forms of independence are observed,...
Persistent link: https://ebtypo.dmz1.zbw/10013405145
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Optimal Insurance under Maxmin Expected Utility
Birghila, Corina; Boonen, Tim J.; Ghossoub, Mario - 2022
We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Schmeidler (1989), whereas the insurer is a (risk-averse or risk-neutral) Expected-Utility maximizer. We characterize...
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Inferring Robustness of Implementations of Probabilistic (Formulations of) Expected Utility Theory : Some Standard Conditions
Obrimah, Oghenovo A. - 2022
Necessarily, new technical change is facilitated by the development of new technical proficiencies. Whenever the claim to `new technical change' is robust, the accompanying `new technical proficiencies' facilitate an `outcome', in respect of which `old technical proficiencies' are intractable....
Persistent link: https://ebtypo.dmz1.zbw/10013405428
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Rank dependent weighted average utility models for decision making under ignorance or objective ambiguity
Gravel, Nicholas; Marchant, Thierry - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013407624
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A critical reinterpretation of Shacklean decision theory
Kwak, Se Ho - 2022
Shackle was one of the representative critics of probability calculus. His alternative decision theory was mathematically reformalized by Katzner till 1990s. Following the Katzner's reformalized framework, this paper presents a new interpretation of Shacklean theory by focusing on the common...
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Chance theory : a separation of riskless and risky utility
Schmidt, Ulrich; Zank, Horst - In: Journal of risk and uncertainty 65 (2022) 1, pp. 1-32
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Risk and rationality : the relative importance of probability weighting and choice set dependence
Bruhin, Adrian; Manai, Maha; Santos-Pinto, Luís - In: Journal of risk and uncertainty 65 (2022) 2, pp. 139-184
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Efficient allocations under ambiguous model uncertainty
Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013454494
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Optimal incentives without expected utility
Gonzalez Jimenez, Victor H. - 2022
This paper investigates the optimal design of incentives when agents distort probabilities. We show that the type of probability distortion displayed by the agent and its degree determine whether an incentivecompatible contract can be implemented, the strength of the incentives included in the...
Persistent link: https://ebtypo.dmz1.zbw/10013460007
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Risk aversion over finite domains
Baccelli, Jean; Schollmeyer, Georg; Jansen, Christoph - In: Theory and decision : an international journal for … 93 (2022) 2, pp. 371-397
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Caution and reference effects
Cerreia-Vioglio, Simone; Dillenberger, David; Ortoleva, … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013384788
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Efficient allocations under ambiguous model uncertainty
Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2022
We investigate consequences of ambiguity on efficient allocations in an exchange economy. Ambiguity is embodied in the model uncertainty perceived by the consumers: they are unsure what would be the appropriate probability measure to apply to evaluate consumption and keep in consideration a set...
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Optimal Insurance for a Prudent Decision-Maker Under Heterogeneous Beliefs
Ghossoub, Mario; Jiang, Wenjun; Ren, Jiandong - 2022
In this paper we extend some of the results in the literature on optimal insurance under heterogeneous beliefs in the presence of the no-sabotage condition, by allowing the likelihood ratio to be non-monotone. Under the assumption of prudence and a mild smoothness condition on the likelihood...
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Betrayal Aversion under Sources of Uncertainty
Hashidate, Yosuke - 2022
In this study, we present a behavioral definition of betrayal aversion with sources of uncertainty and develop a framework for various trust games, including context dependence, communication, and pressure. In our framework, attitudes toward betrayal aversion depend on the perception of...
Persistent link: https://ebtypo.dmz1.zbw/10013313176
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Downside risk aversion vs decreasing absolute risk aversion : an intuitive exposition
Hammitt, James K. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013367239
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Measuring price risk aversion through indirect utility functions : a laboratory experiment
Zeytoon-Nejad, Ali - In: Games 13 (2022) 4, pp. 1-43
The present paper introduces a theoretical framework through which the degree of risk aversion with respect uncertain prices can be measured through the context of the indirect utility function (IUF) using a lab experiment. First, the paper introduces the main elements of the duality theory (DT)...
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Dynamic consistency and rectangularity for the smooth ambiguity model
Savochkin, Andrei; Shklyaev, Alexander; Galatenko, Alexey - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013262656
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Ambiguity and Informativeness of (Non-)Trading
Chu, Yinxiao - 2022
We study a sequential trading mechanism with ambiguity-averse agents modeled by multiple prior preferences. Informed traders employ mixed trading strategies, and their trading probability decreases with the level of ambiguity. If agents are sufficiently ambiguous, informed traders do not trade,...
Persistent link: https://ebtypo.dmz1.zbw/10013290090
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Expected Utility and the Michaud Efficient Frontier
Michaud, Richard O. - 2022
For most of the second half of the 20th century, modern neoclassical finance, and more generally much of social science, has been based on the von Neumann and Morgenstern (VM) (1944) game theory expected utility axioms as a prescription for rational decision making under uncertainty. Traditional...
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Precautionary saving against correlation under risk and ambiguity
Asano, Takao; Osaki, Yusuke - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013184018
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