
Utility Theory
(Utility & Prospect & Decision Theories) (working papers mainly) See also Utility Theory metadata (articles mainly)
Contents (in new windows)
1. Utility Theory News. Quarterly News. 1.1. Institutions 1.2. Authors 1.3. Works 2. Utility Theory Items. Events: December November October September August July June May April March February January 2016 Undated 2015 Undated Archive 2014 2013 2012 2011 2010 2009 2008 2007 3. Utility Theory yearly Rankings 2016 2015 2014 4. Utility Theory Reviews & Analyses 5. Utility Theory Past, Timeless Events 6. Utility Theory Problems (St. Petersburg Paradox, Allais Paradox Equity Premium Puzzle, Risk Aversion, Gains and Losses Loss Aversion, Overweighting of low Probabilities Underweighting of high Probabilities, "FourFoldPattern" Shape of Probability Weighting Function, Ellsberg Paradox) 7. New Approach. Principle of Uncertain Future 8. Solution of Utility Theory Problems (of St. Petersburg Paradox, of Allais Paradox, of Equity Premium Puzzle, of Risk Aversion, of Gains and Losses, of Loss Aversion, of Overweighting of low Probabilities, of Underweighting of high Probabilities, of "FourFoldPattern" of Shape of Probability Weighting Function, of Ellsberg Paradox)

1. Utility Theory News
Quarterly News (2017 quarter 4)
1.1. Top institutions in the field of Utility Models & Prospect Theory: 1. (1,32) Department of Eccs, Harvard University 2. (3,65) Department of Eccs, University of CaliforniaSan Diego 3. (4,61) Department of Eccs, Boston University 1.2. Top authors in the field of Utility Models & Prospect Theory: 1. (1,94) Robert J. Barro 2. (2,92) Larry G. Epstein 3. (4,16) Edi Karni 1.3. Works in the field of Utility Models & Prospect Theory: Nash equilibrium with discontinuous utility functions: Reny's approach extended Nikolai Kukushkin from University Library of Munich, Germany Abstract Text An inconsistency between certain outcomes and uncertain incentives within behavioral methods Alexander Harin from University Library of Munich, Germany Abstract Text Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions Nathaniel Wilcox from University Library of Munich, Germany Abstract Text Utilitarianism with and without expected utility David McCarthy, Kalle Mikkola and Teruji Thomas from University Library of Munich, Germany Abstract Text Dynamic consistency of expected utility under nonclassical(quantum) uncertainty Vladimir Ivanovitch Danilov, Ariane LambertMogiliansky and Vassili Vergopoulos from HAL Abstract Text Ellsberg Rerevisited: An Experiment Disentangling Model Uncertainty and Risk Aversion Loic Berger and Valentina Bosetti from Fondazione Eni Enrico Mattei (FEEM) Abstract Text Top

Utility Theory yearly Rankings. Year 2016
Top 2016 institutions in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,82) Department of Economics, Harvard University 2. (5,18) Department of Eccs, University of CaliforniaSan Diego 3. (5,37) Department of Economics, Boston University 4. (7,32) Department of Economics, Columbia University 5. (8,25) Paris School of Economics 6. (9,98) Department of Economics, New York University 7. (10,51) National Bureau of Economic Research (NBER) 8. (12,14) Toulouse School of Economics (TSE) 9. (13,96) Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 10. (14,48) School of Economics, University of Nottingham Top 2016 authors in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (3,81) Larry G. Epstein 2. (4,83) Harry M. Markowitz 3. (5,14) Edi Karni 4. (5,23) Olivier J Blanchard 5. (7,51) Edmund S. Phelps 6. (7,56) Peter P. Wakker 7. (8,99) David A. Hensher 8. (12,82) Glenn W. Harrison 9. (13,93) Massimo Marinacci 10. (14,58) Andrei Shleifer Top

Top

December
Nonparametric analysis of random utility models Jorg Stoye and Yuichi Kitamura from Centre for Microdata Methods and Practice, Institute for Fiscal Studies Abstract Text Discrete Choice and Rational Inattention: a General Equivalence Result Mogens Fosgerau, Emerson Melo, Andre de Palma and Matthew Shum from University of Copenhagen. Department of Economics Abstract Text Eliciting SecondOrder Beliefs Subir Bose and Arup Daripa from Birkbeck, Department of Economics, Mathematics & Statistics Abstract Text Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities Jaroslav Borovicka and John Stachurski from arXiv.org Abstract Text Robust expected utility maximization with medial limits Daniel Bartl, Patrick Cheridito and Michael Kupper from arXiv.org Abstract Text A Pure Hedonic Theory of Utility and Status: Unhappy but Efficient Invidious Comparisons Pascal Courty and Merwan Engineer from C.E.P.R. Discussion Papers Abstract Text Top
November
Behavioral economics and autoimages of distributions of random variables Alexander Harin from University Library of Munich, Germany Abstract Text Homothetic Preferences Revealed Jan Heufer and Per Hjertstrand from Research Institute of Industrial Economics Abstract Text Optimizing Sshaped utility and implications for risk management John Armstrong and Damiano Brigo from arXiv.org Abstract Text Top
October
Non stationary additive utility and time consistency Nicolas Drouhin from HAL Abstract Text Robust Optimal Investment in Discrete Time for Unbounded Utility Function Laurence Carassus and Romain Blanchard from arXiv.org Abstract Text Utility maximization problem under transaction costs: optimal dual processes and stability Lingqi Gu, Yiqing Lin and Junjian Yang from arXiv.org Abstract Text When experienced and decision utility concur: The case of income comparisons Andrew Clark, Claudia Senik and Katsunori Yamada from HAL Abstract Top
September
Insider Trading With Different Risk Attitudes Wassim Daher, Harun Aydilek and Elias G. Saleeby from University Library of Munich, Germany Abstract Text Revealed preferences over risk and uncertainty Matthew Polisson, John Quah and Ludovic Renou from Department of Economics, University of St. Andrews Abstract Text Axioms for Measuring without mixing apples and Oranges O'Callaghan, Patrick from University Library of Munich, Germany Abstract Text On utility maximization without passing by the dual problem Miklos Rasonyi from arXiv.org Abstract Text Top
August
Representation of strongly independent preorders by vectorvalued functions David McCarthy, Kalle Mikkola and Teruji Thomas from University Library of Munich, Germany Abstract Text July
On The “Scientificity” Of Microeconomics: Individual Demand, And Exchangevalue Determination CRene Dominique from University Library of Munich, Germany Abstract Text The Degree Measure as Utility Function over Positions in Networks Rene (J.R.) van den Brink and Agnieszka Rusinowska from Tinbergen Institute Abstract Text Some estimations of the minimal magnitudes of forbidden zones in experimental data Alexander Harin from University Library of Munich, Germany Abstract Text Utility Maximisation for Exponential Levy Models with option and information processes Lioudmila Vostrikova from arXiv.org Abstract Text Il paradosso di S. Pietroburgo, una rassegna Ruggero Paladini from Istituto di Economia e Finanza, DIGEF, Sapienza University of Rome Abstract Text Back to Bentham, Should We? LargeScale Comparison of Experienced versus Decision Utility Alpaslan Akay, Olivier Bargain and Xavier Jara from Institute for the Study of Labor (IZA) Abstract Text Top
June
Ambiguity aversion under maximumlikelihood updating Daniel Heyen from London School of Economics and Political Science, LSE Library Abstract Text Continuity and completeness of strongly independent preorders David McCarthy and Mikkola Kalle from University Library of Munich, Germany Abstract Text Boundedly Rational Expected Utility Theory Daniel NavarroMartinez, Graham Loomes, Andrea Isoni, David Butler and Larbi Alaoui from University Library of Munich, Germany Abstract Text Economics versus psychology.Risk, uncertainty and the expected utility theory Daniele Schiliro' from University Library of Munich, Germany Abstract Text Dynamic Random Utility Mira Frick, Ryota Iijima and Tomasz Strzalecki from Cowles Foundation for Research in Economics, Yale University Abstract Text Top
May
Representation of strongly independent preorders by sets of scalarvalued functions David McCarthy, Kalle Mikkola and Teruji Thomas from University Library of Munich, Germany Abstract Text Revealed Price Preference: Theory and Stochastic Testing Rahul Deb, Yuichi Kitamura, John Quah and Jorg Stoye from University of Toronto, Department of Economics Abstract Text Concave utility and individual demand Yakar Kannai from Center for Mathematical Economics, Bielefeld University Abstract Text Sensitivity analysis of the utility maximization problem with respect to model perturbations Oleksii Mostovyi and Mihai S\^irbu from arXiv.org Abstract Text Subjective Mean Variance Preferences Without Expected Utility Xiangyu Qu from HAL Abstract Top
April
About the minimal magnitudes of measurement’s forbidden zones. Version 1 Alexander Harin from University Library of Munich, Germany Abstract Text Random Lottery Incentive Mechanism in Dynamic Choice Experiments Maria J. Ruiz Martos from Department of Economic Theory and Economic History of the University of Granada. Abstract Text Discrete Choice and Rational Inattention: A General Equivalence Result Mogens Fosgerau, Emerson Melo, Andre de Palma and Matthew Shum from HAL Abstract Text Conditionally Additive Utility Representations Weizhi Qin and Hendrik Rommeswinkel from University Library of Munich, Germany Abstract Text Existence of a utility on a topological semigroup Hans Werner Gottinger from Center for Mathematical Economics, Bielefeld University Abstract Text Semiparametric Estimation of the Random Utility Model with RankOrdered Choice Data Jin Yan and Hong Il Yoo from Durham University Business School Abstract Text Cardinal Utility Representation Separating Ambiguous Beliefs and Utility Mayumi Horie from Kyoto University, Institute of Economic Research Abstract Text Top
March
Individual Dynamic Choice Behaviour and the Common Consequence Effect Maria J. Ruiz Martos from Department of Economic Theory and Economic History of the University of Granada. Abstract Text The TwoMoment Decision Model with Additive Risks Xu Guo, Andreas Wagener, WingKeung Wong and Lixing Zhu from University Library of Munich, Germany Abstract Text Dual Random Utility Maximisation Paola Manzini and Marco Mariotti from Department of Economics, University of St. Andrews Abstract Text Subjective expected utility representations for Savage preferences on topological spaces Marcus Pivato and Vassili Vergopoulos from University Library of Munich, Germany Abstract Text Maximizing expected utility in the Arbitrage Pricing Model Miklos Rasonyi from arXiv.org Abstract Text Singular recursive utility Kristina R. Dahl and Bernt {\O}ksendal from arXiv.org Abstract Text Hard evidence and ambiguity aversion Mehdi Ayouni and Frederic Koessler from HAL Abstract Preferences Over all Random Variables: Incompatibility of Convexity and Continuity Hirbod Assa and Alexander Zimper from University of Pretoria, Department of Economics Abstract Text Egoutility and Endogenous Information Acquisition; An Experimental Study Tomas Miklanek from The Center for Economic Research and Graduate Education  Economics Institute, Prague Abstract Text Top
February
Preferences: Neither Behavioural nor Mental Francesco Guala from Department of Economics, Management and Quantitative Methods at Universita degli Studi di Milano Abstract Text Sensitivity analysis for expected utility maximization in incomplete Brownian market models Julio Backhoff Veraguas and Francisco Silva from arXiv.org Abstract Text Incomplete stochastic equilibria for dynamic monetary utility Constantinos Kardaras, Hao Xing and Gordan \v{Z}itkovi\'c from arXiv.org Abstract Text Separate aggregation of beliefs and values under ambiguity Xiangyu Qu from HAL Abstract Empirical Identification of Time Preferences: Theory and An Illustration Using Convex Time Budgets Antoine Bommier and Bruno Lanz from IRENE Institute of Economic Research Abstract Text Top
January
Can forbidden zones for the expectation explain noise influence in behavioral economics and decision sciences? Alexander Harin from University Library of Munich, Germany Abstract Text Consumption–investment optimization with Epstein–Zin utility in incomplete markets Hao Xing in Finance and Stochastics Abstract Optimal consumption and investment with Epstein–Zin recursive utility Holger Kraft, Thomas Seiferling and Frank Thomas Seifried in Finance and Stochastics Abstract Top


Year 2016
Top

2016 Undated
Nash equilibrium with discontinuous utility functions: Reny's approach extended Nikolai Kukushkin from University Library of Munich, Germany Abstract Text An inconsistency between certain outcomes and uncertain incentives within behavioral methods Alexander Harin from University Library of Munich, Germany Abstract Text Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions Nathaniel Wilcox from University Library of Munich, Germany Abstract Text Utilitarianism with and without expected utility David McCarthy, Kalle Mikkola and Teruji Thomas from University Library of Munich, Germany Abstract Text Dynamic consistency of expected utility under nonclassical(quantum) uncertainty Vladimir Ivanovitch Danilov, Ariane LambertMogiliansky and Vassili Vergopoulos from HAL Abstract Text Ellsberg Rerevisited: An Experiment Disentangling Model Uncertainty and Risk Aversion Loic Berger and Valentina Bosetti from Fondazione Eni Enrico Mattei (FEEM) Abstract Text Recursive utility maximization under partial information Shaolin Ji and Xiaomin Shi from arXiv.org Abstract Text Explaining rankdependent utility with regret and rejoicing Christian Gollier from Toulouse School of Economics (TSE) Abstract Text Strategic behavior of nonexpected utility players in games with payoff uncertainty T. Florian Kauffeldt from University of Heidelberg, Department of Economics Abstract Text Multivariate Stochastic Dominance for Risk Averters and Risk Seekers Xu Guo and WingKeung Wong from University Library of Munich, Germany Abstract Text Expected utility for nonstochastic risk Victor Ivanenko and Illia Pasichnichenko from University Library of Munich, Germany Abstract Text Utility maximization problem with random endowment and transaction costs: when wealth may become negative Yiqing Lin and Junjian Yang from arXiv.org Abstract Text Recent Developments in the Experimental Elicitation of Time Preference Stephen Cheung from Institute for the Study of Labor (IZA) Abstract Text The Ellsberg paradox: A challenge to quantum decision theory? Ali alNowaihi and Sanjit Dhami from Department of Economics, University of Leicester Abstract Text A General Optimal Investment Model in the Presence of Background Risk Moawia Alghalith, Xu Guo, WingKeung Wong and Lixing Zhu from University Library of Munich, Germany Abstract Text Dual Random Utility Maximisation Paola Manzini and Marco Mariotti from Department of Economics, University of St. Andrews Abstract Text Measuring utility without mixing apples and oranges and eliciting beliefs about stock prices O'Callaghan, Patrick from University Library of Munich, Germany Abstract Text Dual Random Utility Maximisation Paola Manzini and Marco Mariotti from Department of Economics, University of St. Andrews Abstract Text Non stationary additive utility and time consistency Nicolas Drouhin from HAL Abstract Text Choice  Based Cardinal Utility. A Tribute to Patrick Suppes Philippe Mongin and Jean Baccelli from HEC Paris Abstract Text Ambiguity Framed Mark Schneider, Jonathan Leland and Nathaniel Wilcox from Chapman University, Economic Science Institute Abstract Text Measuring loss aversion under ambiguity: a method to make prospect theory completely observable Mohammed Abdellaoui, Han Bleichrodt, Olivier L'Haridon and Van Dolder Dennie from HAL Abstract Text


Year 2015
Top

2015 Undated
A Strict Stochastic Utility Theorem Matthew Ryan in Economics Bulletin Abstract Text Non stationary additive utility and time consistency Nicolas Drouhin from HAL Abstract Text Risk Aversion in the Small and in the Large under RankDependent Utility Louis R. Eeckhoudt and Roger J. A. Laeven from arXiv.org Abstract Text Monotone Stochastic Choice Models: The Case of Risk and Time Preferences Jose Apesteguia and Miguel Angel Ballester from Barcelona Graduate School of Economics Abstract Text Problems of utility and prospect theories. A “certain–uncertain” inconsistency within their experimental methods Alexander Harin from University Library of Munich, Germany Abstract Text Some (Mis)facts about Myopic Loss Aversion Inigo IturbeOrmaetxe Kortajarene, Giovanni Ponti and Josefa Tomas Lucas from Instituto Valenciano de Investigaciones Economicas, S.A. (Ivie) Abstract Text Monotone stochastic choice models: The case of risk and time preferences Jose Apesteguia and Miguel A. Ballester from Department of Economics and Business, Universitat Pompeu Fabra Abstract Text The limit of discounted utilitarianism Adam Jonsson and Mark Voorneveld from Stockholm School of Economics Abstract Text Stochastic Dominance of Any Type and Any Degree, and Expected Utility: A Unifying Approach Andre Lapidus from HAL Abstract Text An existence theorem for bounds on the expectation of a random variable. Its opportunities for utility theories. V. 2 Alexander Harin from University Library of Munich, Germany Abstract Text Ambiguity, Optimism, and Pessimism in Adverse Selection Models Raphael Giraud and Lionel Thomas from HAL Abstract Text Preference Cloud Theory: Imprecise Preferences and Preference Reversals Oben Bayrak and John Hey from CERE  the Center for Environmental and Resource Economics Abstract Text Shadow price in the power utility case Attila Herczegh and Vilmos Prokaj from arXiv.org Abstract Text Utility maximization in purejump models driven by marked point processes and nonlinear wealth dynamics Mauricio Junca and Rafael Serrano from arXiv.org Abstract Text Utility Maximisation for Exponential Levy Models with option and information processes Lioudmila Vostrikova from arXiv.org Abstract Text The Fundamental Nature of HARA Utility Gadi Perets and Eran Yashiv from Centre for Macroeconomics (CFM) Abstract Text Bridging the AttitudePreferenceGap: A Cognitive Approach To Preference Formation Rebecca Schmitt from University Library of Munich, Germany Abstract Text Revealed preferences over risk and uncertainty Matthew Polisson, John Quah and Ludovic Renou from Institute for Fiscal Studies Abstract Text A BSDE arising in an exponential utility maximization problem in a pure jump market model Carla Mereu and Robert Stelzer from arXiv.org Abstract Text Measurement Scales and Welfarist Social Choice Michael Morreau and John Weymark from Vanderbilt University Department of Economics Abstract Text Stochastic dominance, risk and disappointment: a synthesis Thierry Chauveau from HAL Abstract Text Now you see it, now you don’t: How to make the Allais Paradox appear, disappear, or reverse Pavlo Blavatskyy, Andreas Ortmann and Valentyn Panchenko from School of Economics, The University of New South Wales Abstract Text Is Prelec’s function discontinuous at p = 1? (for the Einhorn Award of SJDM) Alexander Harin from University Library of Munich, Germany Abstract Text An existence theorem for restrictions on the mean in the presence of a restriction on the dispersion Alexander Harin from University Library of Munich, Germany Abstract Text “Luce problem” and discontinuity of Prelec’s function at p = 1 Alexander Harin from University Library of Munich, Germany Abstract Text Sensitivity analysis for expected utility maximization in incomplete brownian market models Julio Backhoff and Francisco Silva from arXiv.org Abstract Text Delay Functions as the Foundation of Time Preference: Testing for Separable Discounted Utility Keith Marzilli Ericson and Jawwad Noor from National Bureau of Economic Research, Inc Abstract Text Singular recursive utility Kristina R. Dahl and Bernt {\O}ksendal from arXiv.org Abstract Text A conceptual foundation for the theory of risk aversion Yonatan Aumann from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem 2015 Abstract Text Recursive utility using the stochastic maximum principle Knut Aase from Department of Business and Management Science, Norwegian School of Economics Abstract Text Skewed Noise David Dillenberger and Uzi Segal from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Abstract Text Optimism and Pessimism with Expected Utility, Fifth Version David Dillenberger, Andrew Postlewaite and Kareen Rozen from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Abstract Text Back to Bentham: should we? Largescale comparison of decision versus experienced utility for incomeleisure preferences Alpaslan Akay, Olivier Bargain and Holguer Xavier Jara Tamayo from Institute for Social and Economic Research Abstract Text Revealed preferences over risk and uncertainty John Quah, Matthew Polisson and Ludovic Renou from University of Oxford, Department of Economics Abstract Text Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation Salvatore Federico, Paul Gassiat and Fausto Gozzi from arXiv.org Abstract Text Eliciting utility curvature and time preference Stephen Cheung from University of Sydney, School of Economics Abstract Text Memory Utility Itzhak Gilboa, Andrew Postlewaite and Larry Samuelson from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Abstract Text Dimensional Analysis of Production and Utility Functions in Economics Minseong Kim from University Library of Munich, Germany Abstract Text An axiomatization of Choquet expected utility with cominimum independence Takao Asano and Hiroyuki Kojima in Theory and Decision Abstract Text Tailored proper scoring rules elicit decision weights Arthur Carvalho in Judgment and Decision Making Abstract Text Dynamic portfolio selection with mispricing and model ambiguity Bo Yi, Frederi Viens, Baron Law and Zhongfei Li in Annals of Finance Abstract Text Do Respondents Adjust Their Expected Utility in the Presence of an Outcome Certainty Attribute in a Choice Experiment? John Rolfe and Jill Windle in Environmental & Resource Economics Abstract Text General dual measures of riskiness Klaas Schulze in Theory and Decision Abstract Text A class of symmetric and quadratic utility functions generating Giffen demand Massimiliano Landi in Mathematical Social Sciences Abstract Text Does ambiguity matter? Estimating asset pricing models with a multiplepriors recursive utility Daehee Jeong, Hwagyun Kim and Joon Y. Park in Journal of Financial Economics Abstract Text Entropy Man John Bryant from Economic Consultancy, Vocat International Abstract Text Choice theory when agents can randomize Jorg Stoye in Journal of Economic Theory Abstract Text ParadoxProof Utility Functions for HeavyTailed Payoffs: Two Instructive TwoEnvelope Problems Michael Powers in Risks Abstract Text The effects of uncertainty on the WTA–WTP gap Robert Reilly and Douglas Davis in Theory and Decision Abstract Text Tractable valuations under uncertainty Jozsef Sakovics in Economics Letters Abstract Text A rankdependent utility model of uncertain lifetime Nicolas Drouhin in Journal of Economic Dynamics and Control Abstract Text Sharing ambiguous risks Surajeet Chakravarty and David Kelsey in Journal of Mathematical Economics Abstract Text Piecewise Additivity for Nonexpected Utility Craig Webb from Economics, The University of Manchester Abstract Text Dynamic Consistent alphaMaxmin Expected Utility Patrick Bei?ner and Qian Lin from Bielefeld University, Center for Mathematical Economics Abstract Text Decision making in phantom spaces Yehuda Izhakian and Zur Izhakian in Economic Theory Abstract Text The Implementation Duality Georg Noldeke and Larry Samuelson from Faculty of Business and Economics  University of Basel Abstract Text Top


3. Utility Theory yearly Rankings
Year 2016
Top 2016 institutions in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,82) Department of Economics, Harvard University 2. (5,18) Department of Eccs, University of CaliforniaSan Diego 3. (5,37) Department of Economics, Boston University 4. (7,32) Department of Economics, Columbia University 5. (8,25) Paris School of Economics 6. (9,98) Department of Economics, New York University 7. (10,51) National Bureau of Economic Research (NBER) 8. (12,14) Toulouse School of Economics (TSE) 9. (13,96) Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 10. (14,48) School of Economics, University of Nottingham Top 2016 authors in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (3,81) Larry G. Epstein 2. (4,83) Harry M. Markowitz 3. (5,14) Edi Karni 4. (5,23) Olivier J Blanchard 5. (7,51) Edmund S. Phelps 6. (7,56) Peter P. Wakker 7. (8,99) David A. Hensher 8. (12,82) Glenn W. Harrison 9. (13,93) Massimo Marinacci 10. (14,58) Andrei Shleifer Top

Year 2015
Top 2015 institutions in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,43) Department of Economics, Harvard University 2. (4,09) Department of Economics, Boston University 3. (4,23) Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 4. (4,29) Department of Eccs, University of CaliforniaSan Diego 5. (6,17) Paris School of Economics 6. (7,14) Department of Economics, Oxford University 7. (7,88) Department of Economics, New York University 8. (7,97) National Bureau of Economic Research (NBER) 9. (12,18) London School of Economics (LSE) 10. (12,45) School of Economics, University of Nottingham Top 2015 authors in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (2,30) Peter P. Wakker 2. (3,36) Larry G. Epstein 3. (4,25) Harry M. Markowitz 4. (6,23) Edi Karni 5. (8,34) Glenn W. Harrison 6. (11,12) Andrei Shleifer 7. (13,46) Robert Sugden 8. (14,06) Tim Bollerslev 9. (14,16) Charles F. Manski 10. (14,25) David Easley Top

Year 2014
Top 2014 institutions in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,46) Department of Economics, Harvard University 2. (3,29) Department of Economics, Boston University 3. (3,40) Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 4. (3,57) Department of Economics, Oxford University 5. (4,93) Department of Economics, University of CaliforniaSan Diego 6. (5,48) Paris School of Economics 7. (5,73) National Bureau of Economic Research (NBER) 8. (12,20) Toulouse School of Economics (TSE) 9. (14,52) London School of Economics (LSE) 10. (14,65) Anderson Graduate School of Management, University of CaliforniaLos Angeles (UCLA) Top 2014 authors in the field of Utility Models & Prospect Theory (#, (rank), name): 1. (1,56) Peter P. Wakker 2. (2,88) Larry G. Epstein 3. (5,48) Harry M. Markowitz 4. (7,50) Andrei Shleifer 5. (8,32) Peter E. Rossi 6. (9,43) Edi Karni 7. (9,68) Robert Sugden 8. (10,25) Charles F. Manski 9. (11,24) Glenn W. Harrison 10. (11,80) Colin Camerer Top

4. Utility Theory Reviews & Analyses
The Foundations of Behavioral Economic Analysis Sanjit Dhami Kindle Edition 2016 Abstract Annotated references on decisions and uncertainty (thousands of references and comments (AH)) Peter P. Wakker Erasmus School of Economics, Behavioral Economics, Peter P. Wakker personal page. Refs: 19212015. Abstract Text Thirty Years of Prospect Theory in Economics: A Review and Assessment Nicholas C. Barberis Journal of Economic Perspectives 2013 Abstract Text Is There A Plausible Theory for Risky Decisions? James C. Cox, Vjollca Sadiraj, Bodo Vogt and Utteeyo Dasgupta Experimental Economics Center, Andrew Young School... 200706 Abstract Text Economists and uncertainty John Quiggin and Robert G. Chambers Risk and Sustainable Management Group, University ... 2005 Title Text Investigating Generalizations of Expected Utility Theory Using Experimental Data John Hey and Chris Orme Econometrica 1994 Abstract The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations Paul J H Schoemaker Journal of Economic Literature 1982 Title Top

Utility Theory
Events 5. Past, Timeless Anomalies: Utility Maximization and Experienced Utility Daniel Kahneman and Richard H. Thaler Journal of Economic Perspectives 2006 Abstract Text of the corresponding Working Paper Advances in Prospect Theory: Cumulative Representation of Uncertainty Amos Tversky and Daniel Kahneman Journal of Risk and Uncertainty 1992 Title Prospect Theory: An Analysis of Decision under Risk Daniel Kahneman and Amos Tversky Econometrica 1979 Title Risk, Ambiguity, and the Savage Axioms Daniel Ellsberg The Quarterly Journal of Economics 1961 Abstract Le comportement de l'homme rationnel devant le risque: critique des postulats et axiomes de l'Ecole Americaine Maurice Allais Econometrica 1953 Title Theory of Games and Economic Behavior John von Neumann and Oskar Morgenstern Princeton University Press 1944 Table of contents Text (txt 1.6 MB) Text (pdf 33 MB) An Introduction to the Principles of Morals and Legislation Jeremy Bentham The Online Library of Liberty 1823 Contents Text Exposition of a New Theory on the Measurement of Risk Daniel Bernoulli Commentarii Academiae Scientiarum Imperialis Petropolitanae 1738 Title Top

6. Utility Theory Problems & Paradoxes
(more)
The Allais paradox (modified)
Suppose Mr. Somebody offers you a choice of only one of the following: A guaranteed gain of $99. Or A lottery: The gain of $100 with the probability P(preliminary) = 99% or $0 with the (preliminary) probability 1%. The mathematical expectations of guarantee and lottery outcomes are exactly the same. But people chose the guaranteed gain instead of the lottery. Top
Gains and Losses
Compare two experiments: 1) Mr. Somebody offers you a choice of only one of the following: A guaranteed gain of $99. Or A lottery: The gain of $100 with the probability P(preliminary) = 99% or $0 with the (preliminary) probability 1%. 2) Mr. Somebody offers you a choice of only one of the following: A guaranteed loss of $99. Or A lottery: The loss of $100 with the probability P(preliminary) = 99% or $0 with the (preliminary) probability 1%. The mathematical expectations of the guarantee and lottery outcomes are exactly the same in both experiments. But in similar experiments, the overwhelming majority of people chose:  in the case of gains  the guaranteed gain instead of the lottery one.  in the case of losses  the lottery loss instead of the guaranteed one. The possible wellknown "natural and clear explanation" of gains in the Allais paradox by means of risk aversion cannot supply any uniform explanation for both gains and losses. The result of this explanation is gains' risk aversion and losses' risk seeking. Top
Overweighting of low Probabilities
Suppose Mr. Somebody offers you a choice of only one of the following: A guaranteed gain of $1. Or A lottery: The gain of $100 with the probability P(preliminary) = 1% or $0 with the (preliminary) probability 1%. The mathematical expectations of guarantee and lottery outcomes are exactly the same. But the welldetermined experimental fact is: in similar experiments the obvious majority of people chose the lottery instead of the guaranteed gain.
FourFoldPattern
The welldetermined facts are: For positive (gains) risky prospects, people typically 1) overweight low probabilities but 2) underweight high probabilities. For negative (losses) risky prospects, people typically 3) underweight low probabilities but 4) overweight high probabilities. Top

7. New Approach
(more)
The idea of the approach
Particular consideration of (hidden) uncertainties (noises, fluctuations, measurements' errors, imprecision, etc.)
Principle of Uncertain Future
(simplified as much as possible)
The principle
The probability of a future event contains uncertainty.
7.1. The first consequence of the principle
Suppose we plan to test the probability value, which is equal to 99%. Suppose the probability uncertainty value is equal to 5%. Then, evidently, the real mean value of probability cannot be as high as 99%. Generally, High probabilities will decrease.
P_{high real} < P_{high planned}
Analogously, but considering the second consequence of the principle (see below),
Low probabilities can increase.
P_{low real possible} > P_{low planned}
7.2. The second consequence of the principle
The total probability of unforeseen future events is more than 0%
Σ P_{unforeseen real} > 0%
Hence,
The present total probability of future events is less than 100%
Σ P_{planned} < 100%
or
The present probability system of future events is incomplete. Top

8. Solution of Utility Theory Problems
(more)
The strongest qualitative test is the 4FoldPattern.
Solution & Explanation
of the FourFoldPattern (simplified as much as possible) The welldetermined facts are: For positive (gains) risky prospects, people typically 1) overweight low probabilities but 2) underweight high probabilities. For negative (losses) risky prospects, people typically 3) underweight low probabilities but 4) overweight high probabilities. Denoting the real value of probability, which value is near 100% as P_{high real} , the (positive) value of gain as G and the (negative) value of loss as G , we obtain
P_{high real} < P_{high planned}
and
G * P_{high real} < G * P_{high planned}
G * P_{high real} > G * P_{high planned}
2) the underweight of high probabilities gains and 4) the overweight of high probabilities losses. Denoting the real value of probability, which value is near 0% as P_{low real possible} we obtain
P_{low real possible} > P_{low planned}
and
G * P_{low real possible} > G * P_{low planned}
G * P_{low real possible} < G * P_{low planned}
1) the overweight of low probabilities gains and 3) the underweight of low probabilities losses. Thus, the above facts can be explained naturally and uniformly. Top

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