Search Results - subject_exact:"Von Neumann-Morgenstern utility function"

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Compressed beliefs

Zihlmann, Christian - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613884

Self-protection and self-insurance in pest management : the role of risk preferences and beliefs

Bougherara, Douadia; Nauges, Céline; Salanié, François; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614466

Risk attitude and complex lotteries

Kim, Jeong Yeol; Castro, Luciano I. de; Galvao, Antonio … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615876

Ambiguity-averse aggregation under heterogeneous beliefs

Norman, Thomas W. L. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015594827

Symmetric expected utility

Preker, Jurek - 2026

We investigate and axiomatize preferences that display indifference between deterministic states, but exhibit strict orderings over lotteries over these states. Such preferences might be due to the ability to adopt to states, or a (dis)taste for uncertainty. We derive a representation theorem...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015588344

Bounding risk aversion

Demuynck, Thomas; Hjertstrand, Per - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637896

The parlay puzzle : expected utility and multi-leg betting

Whelan, Karl - 2026

Multi-leg parlay bets have become hugely popular in the US despite loss rates on stakes that are four times higher than regular bets. This paper shows that even if bettors believe they have an edge, maximization of subjective expected utility requires placing separate bets when per-leg win...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644689

Decision-making when computational complexity drives uncertainty

Bossaerts, Peter L. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652504

Information without rents: mechanism design without expected utility

Rivera Mora, Ernesto; Strack, Philipp - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616759

Source theory : a tractable and positive ambiguity theory

Baillon, Aurélien; Bleichrodt, Han; Li, Chen; Wakker, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015547526

Risk attitudes towards on-demand insurance : an experimental study

Chang, Hsiao-Yin; Schmeiser, Hato - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371452

Multivariate Affine GARCH in portfolio optimization : analytical solutions and applications

Escobar, Marcos; Yang, Yu-Jung; Zagst, Rudi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374358

Expected balanced uncertain utility

Grant, Simon; Roorda, B.; Yang, Jingni - 2025

We introduce and analyze expected balanced uncertain utility (EBUU) theory. A prior and a balanced outcome-set utility characterize an EBUU decision maker. Conditional on a reference or "balancing value," the latter assigns a utility to each outcome-set. The decision maker associates with each...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015332578

Some notes on Savage's representation theorem

Frahm, Gabriel; Hartmann, Lorenz - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333320

The Saint Petersburg paradox and its solution

Mattalia, Claudio - 2025

This article describes the main historical facts concerning the Saint Petersburg paradox, the most important solutions proposed thus far, and the results of new experimental evidence and a simulation of the game that shed light on a solution for this paradox. The Saint Petersburg paradox has...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334556

Stocks as lotteries? : an experimental test of expected utility vs behavioral models

Corgnet, Brice; Kpegli, Yao Thibaut; Magnani, Jacopo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337453

An L-moment approach for portfolio choice under non-expected utility

Fallahgoul, Hasan; Mancini, Loriano; Stoyanov, Stoyan V. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339747

Lotto lotteries : decision making under uncertainty when payoffs are unknown

Schröder, David - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190618

Preferences for drought risk adaptation support in Kenya : evidence from a discrete choice experiment and three decision-making theories

Schrieks, Teun; Botzen, W. J. Wouter; Haer, Toon; … - 2025

Promoting household-level adaptation measures is an important part of climate change adaptation policies to reduce vulnerability to droughts for (agro-)pastoral communities in sub-Saharan Africa. To develop effective supportive policies, it is important to get a better understanding of the needs...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015178207

Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization

Chen, Ya; Liu, Wei; Zhao, Zhen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359797

Portfolio optimization beyond utility maximization : the case of driftless markets

Večeř, Jan; Richard, Mark; Taylor, Stephen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325194

Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity

Carassus, Laurence; Wiesel, Johannes - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394809

Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization

Cesarone, Francesco; Puerto, Justo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417105

The market's implied loss aversion under power-log utility investor preferences

Kale, Jivendra K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418401

A re-consideration of Money Demand Theory

Kapur, Basant - 2025

Portfolio models typically ignore precautionary transactions demands for liquid assets, and models of precautionary demands typically ignore asset rate-of-return risk. If asset-holders are risk-averse, however, both transactions risk and rate-of-return risk affect demands for both liquid and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015420197

Managed Expectations Theory : ex ante likelihoods influence ex post utilities

Zeckhauser, Richard; Viscusi, W. Kip - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591701

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Managed expectations theory : ex ante likelihoods influence ex post utilities

Zeckhauser, Richard; Viscusi, W. Kip - 2025

Book / Working Paper

The economics of risk sharing in discrete time with translation invariant recursive utility

Aase, Knut K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015473078

Antimonotonicity for preference axioms : the natural counterpart to comonotonicity

Principi, Giulio; Wakker, Peter P.; Wang, Ruodu - 2025

Comonotonicity (''same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (''opposite variation''; abbreviated ''AC''), the natural counterpart to comonotonicity....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455276

A Two-Ball Ellsberg Paradox

Jabarian, Brian; Lazarus, Simon - 2025 - This Version: Mai 2025

We introduce a novel experimental framework, the two-ball Ellsberg gamble, which allows us to explore a wider range of possible drivers of ambiguity attitudes than usually considered by the literature. In an incentivized experiment on a representative sample from the US with 708 participants, we...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015409569

Extending the demand system approach to asset pricing

Gehrig, Thomas; Sögner, Leopold; Westerkamp, Arne - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437401

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Extending the demand system approach to asset pricing

Gehrig, Thomas; Sögner, Leopold - 2022

Book / Working Paper

Stochastic impatience and the separation of time and risk preferences

Dillenberger, David; Gottlieb, Daniel; Ortoleva, Pietro - 2025

We study how the separation of time and risk preferences relates to a property called Stochastic Impatience. We show that, within a broad class of models, Stochastic Impatience holds if and only if risk aversion and the inverse elasticity of intertemporal substitution are sufficiently close. In...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459574

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Stochastic impatience and the separation of time and risk preferences

Dillenberger, David; Gottlieb, Daniel; Ortoleva, Pietro - 2020 - This version: July 5, 2020

Edition: This version: July 5, 2020

Book / Working Paper

Stochastic impatience and the separation of time and risk preferences

Dillenberger, David; Gottlieb, Daniel; Ortoleva, Pietro - 2018 - This version: September 8, 2018

Edition: This version: September 8, 2018

Book / Working Paper

Stochastic Impatience and the Separation of Time and Risk Preferences

Dillenberger, David - 2020

Book / Working Paper

Stochastic Impatience and the Separation of Time and Risk Preferences

Dillenberger, David - 2020

Book / Working Paper

Choquet expected utility and never best choice

Kops, Christopher; Peters, Hans; Vermeulen, Dries - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561406

Stochastic choice and noisy beliefs in games

Friedman, Evan; Ward, Jeremy - 2025 - First version: 15th November 2019, current version: 7th December 2025

We elicit subjects' beliefs over opponents' behavior multiple times for a given game without feedback. A large majority of subjects have stochasticity in their belief reports, which we argue cannot be explained by learning or measurement error, suggesting significant noise in subjects'...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562810

Difference in time and risk preferences : physicians and general population across genders

Kasahara, Shingo; Kato, Hirotaka; Gotō, Rei - 2025

Background The alignment of preferences between physicians and patients can cause variations in treatment decision-making, thereby affecting health outcomes. However, research on the differences in preferences between physicians and the general population is scarce. This study examines the risk...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609652

Universal choice spaces and expected utility : a Banach-type functorial fixed point

Arvanitis, Stelios - 2025

This paper utilizes a Banach-type fixed point theorem in a functorial context to develop Universal Choice Spaces for addressing decision problems, focusing on expected utility and preference uncertainty. This generates an infinite sequence of optimal selection problems involving probability...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615144

Optimal portfolios with anticipating information on the stochastic interest rate

D’Auria, Bernardo; Salmeron, José A. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593585

On Specimen Theoriae Novae de Mensura Sortis of Daniel Bernoulli

Modesti, Paola - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593617

Convexity under ambiguity

Dong, Xueqi; Liu, Shuo Li - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015594820

The concept of a behavioral model of decision-making under risk

Falkiewicz, Ewa - 2025

This study outlines the decision-making process under risk considering the psychological aspects of the decision-maker. The aim is to construct a principle of an optimal decision for an individual decision-maker. The study considers a finite, d iscrete s et o f a cceptable decisions, a set of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015596308

Avoiding risks behind the veil of ignorance

Weithman, Paul - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550287

First-order prudence and its implications for precautionary savings and the risk-free rate

Ebert, Sebastian; Karehnke, Paul - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015551485

Dynamic consistency in games without expected utility

Perea, Andrés - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015578262

Does ambiguity drive the disposition effect?

Iwaki, Hideki; Yoshikawa, Daisuke - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604229

Dynamic consistency and rectangularity for the smooth ambiguity model

Savochkin, Andrei; Shklyaev, Alexander; Galatenko, Alexey - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015574722

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Dynamic consistency and rectangularity for the smooth ambiguity model

Savochkin, Andrei; Shklyaev, Alexander; Galatenko, Alexey - 2022

Book / Working Paper

Scalarized utility-based multi-asset risk measures

Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534482

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Scalarized utility-based multi-asset risk measures

Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - 2021

Book / Working Paper

Contests with ambiguous prizes

Deck, Cary A.; Hathaway, Aidan; Henry, Emma Kate; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015560802

Obvious representations

Hartmann, Lorenz; Baccelli, Jean - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561294

Eliciting ambiguity with mixing bets

Schmidt, Patrick W. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015403392

Pay all subjects or pay only some? : an experiment on decision-making under risk and ambiguity

Aydogan, Ilke; Berger, Loïc; Théroude, Vincent - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015063912

The von Neumann-Morgenstern curve and bank capital adequacy penalties : an empirical analysis

Draper, Thomas; Cavagnetto, Stefano - 2024

The risk of lending money collected from savers is that it leaves banks liable to default with depositors if events (and hence repayment demands) become "abnormal". Even though international and national regulation has been introduced to ensure that a certain level of capital is retained by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636041