منابع مشابه
1 Stochastic Expected Utility Theory
A new decision theory is proposed to explain the violations of expected utility theory through the role of random errors. The main premise of the new theory is that individuals make random errors when they compute the expected utility of a risky lottery. When being distorted by error, the expected utility of a lottery should neither exceed the utility of the highest possible outcome nor fall be...
متن کاملA Stochastic Expected Utility Theory
This paper proposes a new model that explains the violations of expected utility theory through the role of random errors. The paper analyzes decision making under risk when individuals make random errors when they compute expected utilities. Errors are drawn from the normal distribution, which is truncated so that the stochastic utility of a lottery cannot be greater (lower) than the utility o...
متن کاملInverse stochastic dominance constraints and rank dependent expected utility theory
We consider optimization problems with second order stochastic dominance constraints formulated as a relation of Lorenz curves. We characterize the relation in terms of rank dependent utility functions, which generalize Yaari’s utility functions. We develop optimality conditions and duality theory for problems with Lorenz dominance constraints. We prove that Lagrange multipliers associated with...
متن کاملExpected Uncertain Utility Theory†
We introduce and analyze expected uncertain utility theory (EUU). A prior and an interval utility characterize an EUU decision maker. The decision maker transforms each uncertain prospect into an interval-valued prospect that assigns an interval of prizes to each state. She then ranks prospects according to their expected interval utilities. We define uncertainty aversion for EUU, use the EUU m...
متن کاملNon-expected Utility Theory
The expected utility/subjective probability model of risk preferences and beliefs has long been the preeminent model of individual choice under conditions of uncertainty. It exhibits a tremendous flexibility in representing aspects of attitudes toward risk, has a well-developed analytical structure, and has been applied to the analysis of gambling, games of strategy, incomplete information, ins...
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ژورنال
عنوان ژورنال: Journal of Risk and Uncertainty
سال: 2007
ISSN: 0895-5646,1573-0476
DOI: 10.1007/s11166-007-9009-6