Utility Theory

utility theory Utility theory
Utility theory
Utility Theory utility theory

Utility Theory
(Utility & Prospect & Decision Theories)

(working papers mainly)
See also Utility Theory metadata (articles mainly)

Contents   (in new windows)

1.   Utility Theory News.   Quarter News.
        Quarter Events:
  January     2016   December   November   October  
2.   Utility Theory Items. Events:       2016     December   November  
        October   September   August   July   June   May   April   March   February  
            2016 Undated     2015 Undated         Archive     2014     2013     2012    
            2011     2010     2009     2008     2007
3.   Utility Theory Years 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,  
        "Four-Fold-Pattern"   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 "Four-Fold-Pattern"  
        of Shape of Probability Weighting Function,   of Ellsberg Paradox)

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1. Utility Theory News
Quarter News (2016 quarter 4)

Top institutions in the field of Utility Models & Prospect Theory:

      1. (1,34)   Department of Ec-cs, Harvard University    

      2. (3,80)   Department of Ec-cs, Boston University    

      3. (3,94)   Department of Ec-cs, University of California-San Diego


Top authors in the field of Utility Models & Prospect Theory:

      1. (2,13)   Robert J. Barro    

      2. (3,87)   Larry G. Epstein    

      3. (4,67)   Harry M. Markowitz


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

Optimal consumption and investment
with Epstein–Zin recursive utility

Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
in Finance and Stochastics
Abstract

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

Demand without Utility: The First Evidence
Drew Zhu
from Job Market Papers
Abstract     Text

Dual Random Utility Maximisation
Paola Manzini and Marco Mariotti
from Department of Economics, University of St. Andrews
Abstract     Text

Top
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2. Utility Theory Events
See also
Top authors in NEP-UPT (Utility Models & Prospect Theory)

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

2016

December

Nash equilibrium with discontinuous utility functions:
Reny's approach extended

Nikolai Kukushkin
from University Library of Munich, Germany
Abstract     Text

Aquila non captat muscas: Homo Economicus between exploration and exploitation
Thomas Friedrich
from University Library of Munich, Germany
Abstract     Text

A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework
Diederik Aerts, Emmanuel Haven and Sandro Sozzo
from arXiv.org
Abstract     Text

Learning and dynamic choices under uncertainty: from weighted regret and rejoice to expected utility
F. Zagonari
from Dipartimento Scienze Economiche, Universita' di Bologna
Abstract     Text

Top
November

An inconsistency between certain outcomes and uncertain incentives within behavioral methods
Alexander Harin
from University Library of Munich, Germany
Abstract     Text

Demand without Utility: The First Evidence
Drew Zhu
from Job Market Papers
Abstract     Text

Ordinal Space, Utility, and Consumer Demand: A Clarifying Note
C-Rene Dominique
from University Library of Munich, Germany
Abstract     Text

Afriat in the Lab
Jan Heufer and Paul van Bruggen
from Tinbergen Institute
Abstract     Text

Dual Random Utility Maximisation
Paola Manzini and Marco Mariotti
from Department of Economics, University of St. Andrews
Abstract     Text

Top
October

EXPECTED UTILITY MAXIMISATION FOR EXPONENTIAL LEVY MODELS WITH OPTION AND INFORMATION PROCESSES
Lioudmila Vostrikova
from HAL
Abstract     Text

Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets
Kin Lam, Hooi Hooi Lean and Wing-Keung Wong
from University Library of Munich, Germany
Abstract     Text

Sparse Mean-Variance Portfolios: A Penalized Utility Approach
David Puelz, P. Richard Hahn and Carlos M. Carvalho
from arXiv.org
Abstract     Text

Robust Optimal Investment in Discrete Time for Unbounded Utility Function
Robust Optimal Investment in Discrete Time for Unbounded Utility Function
from arXiv.org
Abstract     Text

Exponential utility maximization under model uncertainty for unbounded endowments
Daniel Bartl
from arXiv.org
Abstract     Text

Robust Utility Maximization in Discrete-Time Markets with Friction
Ariel Neufeld and Mario Sikic
from arXiv.org
Abstract     Text


Top
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Year   2016
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3. Utility Theory Years 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 Ec-cs, University of California-San 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
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2016

December

Nash equilibrium with discontinuous utility functions:
Reny's approach extended

Nikolai Kukushkin
from University Library of Munich, Germany
Abstract     Text

Aquila non captat muscas: Homo Economicus between exploration and exploitation
Thomas Friedrich
from University Library of Munich, Germany
Abstract     Text

A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework
Diederik Aerts, Emmanuel Haven and Sandro Sozzo
from arXiv.org
Abstract     Text

Learning and dynamic choices under uncertainty: from weighted regret and rejoice to expected utility
F. Zagonari
from Dipartimento Scienze Economiche, Universita' di Bologna
Abstract     Text

Top
November

An inconsistency between certain outcomes and uncertain incentives within behavioral methods
Alexander Harin
from University Library of Munich, Germany
Abstract     Text

Demand without Utility: The First Evidence
Drew Zhu
from Job Market Papers
Abstract     Text

Ordinal Space, Utility, and Consumer Demand: A Clarifying Note
C-Rene Dominique
from University Library of Munich, Germany
Abstract     Text

Afriat in the Lab
Jan Heufer and Paul van Bruggen
from Tinbergen Institute
Abstract     Text

Dual Random Utility Maximisation
Paola Manzini and Marco Mariotti
from Department of Economics, University of St. Andrews
Abstract     Text

Top
October

EXPECTED UTILITY MAXIMISATION FOR EXPONENTIAL LEVY MODELS WITH OPTION AND INFORMATION PROCESSES
Lioudmila Vostrikova
from HAL
Abstract     Text

Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets
Kin Lam, Hooi Hooi Lean and Wing-Keung Wong
from University Library of Munich, Germany
Abstract     Text

Sparse Mean-Variance Portfolios: A Penalized Utility Approach
David Puelz, P. Richard Hahn and Carlos M. Carvalho
from arXiv.org
Abstract     Text

Robust Optimal Investment in Discrete Time for Unbounded Utility Function
Robust Optimal Investment in Discrete Time for Unbounded Utility Function
from arXiv.org
Abstract     Text

Exponential utility maximization under model uncertainty for unbounded endowments
Daniel Bartl
from arXiv.org
Abstract     Text

Robust Utility Maximization in Discrete-Time Markets with Friction
Ariel Neufeld and Mario Sikic
from arXiv.org
Abstract     Text

Top
September

Utility maximization problem with random endowment and transaction costs: when wealth may become negative
Yiqing Lin and Junjian Yang
from arXiv.org
Abstract     Text

Macroeconomic Effect of Consumption Tax on ”Dynamic” and ”Myopic” Agents
Seiya Fujisaki
from University Library of Munich, Germany
Abstract     Text

When 0 + 1/3+1/3>2/3, but 0 + 0 +1/3
Krzysztof Kontek and Michael Birnbaum
from Warsaw School of Economics, Collegium of Economic Analysis
Abstract     Text

Goal Setting in the Principal-Agent Model: Weak Incentives for Strong Performance
Brice Corgnet, Joaquin Gomez-Minambres and Roberto Hernan-Gonzalez
from The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham
Abstract     Text

Top
August

Do the Joneses make you financially vulnerable?
Richard Barnett, Joydeep Bhattacharya and Helle Bunzel
from LeBow College of Business, Drexel University
Abstract     Text

Designing Choice Sets to Exploit Focusing Illusion
Linda Dezso, Jonathan Steinhart, Barna Bako and Erich Kirchler
from Corvinus University of Budapest
Abstract     Text

Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions
Nathaniel Wilcox
from University Library of Munich, Germany
Abstract     Text

Beliefs and Utility: Experimental Evidence on Preferences for Information
Armin Falk and Florian Zimmermann
from Institute for the Study of Labor (IZA)
Abstract     Text

July

Stochastic choice, systematic mistakes and preference estimation
Yves Breitmoser
from University Library of Munich, Germany
Abstract     Text

Skewed Noise
David Dillenberger and Uzi Segal
from Boston College Department of Economics
Abstract     Text

Utilitarianism with and without expected utility
David McCarthy, Kalle Mikkola and Teruji Thomas
from University Library of Munich, Germany
Abstract     Text

Sensitivity analysis for expected utility maximization in incomplete brownian market models
Julio Backhoff Veraguas and Francisco Silva
from arXiv.org
Abstract     Text

Utility Indifference Pricing of Insurance Catastrophe Derivatives
Andreas Eichler, Gunther Leobacher and Michaela Szolgyenyi
from arXiv.org
Abstract     Text

Top
June

Nonparametric analysis of random utility models
Yuichi Kitamura and Jorg Stoye
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
Abstract     Text

The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model
Dominique Pepin
from arXiv.org
Abstract     Text

On the optimal investment
Jose Fajardo, Jose Manuel Corcuera and Olivier Menouken Pamen
from University Library of Munich, Germany
Abstract     Text

Conditional Expected Utility Criteria for Decision Making under Ignorance or Objective Ambiguity
Nicolas Gravel, Thierry Marchant and Arunava Sen
from Aix-Marseille School of Economics, Marseille, France
Abstract     Text

Under Uncertainty, Over Time and Regarding Other People: Rationality in 3D
Dorian Jullien
from Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis
Abstract     Text

Top
May

Dynamic consistency of expected utility under non-classical(quantum) uncertainty
Vladimir Ivanovitch Danilov, Ariane Lambert-Mogiliansky and Vassili Vergopoulos
from HAL
Abstract     Text

The axiomatic foundation of logit and its relation to behavioral welfare
Yves Breitmoser
from University Library of Munich, Germany
Abstract     Text

Ellsberg Re-revisited: An Experiment Disentangling Model Uncertainty and Risk Aversion
Loic Berger and Valentina Bosetti
from Fondazione Eni Enrico Mattei (FEEM)
Abstract     Text

U.S. Farmers’ Insurance Choices under Expected Utility Theory and Cumulative Prospect Theory
Harun Bulut
from Agricultural and Applied Economics Association
Abstract     Text

Recursive utility maximization under partial information
Shaolin Ji and Xiaomin Shi
from arXiv.org
Abstract     Text

Expected Multi-Utility Representations by "Simplex" with Applications
Dino Borie
from Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis
Abstract     Text

Additively Separable Preferences Without the Completeness Axiom: An Algebraic Approach
Dino Borie
from Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis
Abstract     Text

Expected Subjective Value Theory (ESVT): A Representation of Decision Under Risk and Certainty
Paul W. Glimcher and Agnieszka A. Tymula
from University of Sydney, School of Economics
Abstract     Text

Generalized Subjective Lexicographic Expected Utility Representation
Hugo Cruz-Sanchez
from arXiv.org
Abstract     Text

Explaining rank-dependent utility with regret and rejoicing
Christian Gollier
from Toulouse School of Economics (TSE)
Abstract     Text

Top
April

Strategic behavior of non-expected 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 Wing-Keung 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 al-Nowaihi 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, Wing-Keung Wong and Lixing Zhu
from University Library of Munich, Germany
Abstract     Text

Top
March

Dual Random Utility Maximisation
Paola Manzini and Marco Mariotti
from Department of Economics, University of St. Andrews
Abstract     Text

Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
Jorn Sass, Dorothee Westphal and Ralf Wunderlich
from arXiv.org
Abstract     Text

Robust Utility Maximization with L\'evy Processes
Ariel Neufeld and Marcel Nutz
from arXiv.org
Abstract     Text

Single-Crossing Random Utility Models
Jose Apesteguia and Miguel Angel Ballester
from Barcelona Graduate School of Economics
Abstract     Text

Top
February

Measuring utility without mixing apples and oranges and eliciting beliefs about stock prices
O'Callaghan, Patrick
from University Library of Munich, Germany
Abstract     Text

A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality
Lingqi Gu, Yiqing Lin and Junjian Yang
from arXiv.org
Abstract     Text

Recursive Utility and the Solution to the Bellman Equation
Masayuki Yao
from Research Institute for Economics & Business Administration, Kobe University
Abstract     Text

Maximizing expected utility in the Arbitrage Pricing Model
Miklos Rasonyi
from arXiv.org
Abstract     Text

Models of Affective Decision-making: How do Feelings Predict Choice?
Caroline J. Charpentier, Jan-Emmanuel De Neve, Jonathan P. Roiser and Tali Sharot
from Centre for Economic Performance, LSE
Abstract     Text

Top
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2016 Undated

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

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Year   2015
Top
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4. Utility Theory Years Rankings

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 Ec-cs, University of California-San 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
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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 Rank-Dependent 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 Iturbe-Ormaetxe 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 pure-jump 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 Attitude-Preference-Gap: 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? Large-scale comparison of decision versus experienced utility for income-leisure 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 multiple-priors 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

Paradox-Proof Utility Functions for Heavy-Tailed Payoffs: Two Instructive Two-Envelope 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 rank-dependent 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 alpha-Maxmin 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

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 California-San 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 California-Los 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    


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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.   Ref-s: 1921-2015.
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...   2007-06
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

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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


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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.


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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 well-known "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.


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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 well-determined experimental fact is: in similar experiments the obvious majority of people chose the lottery instead of the guaranteed gain.


Four-Fold-Pattern

The well-determined 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.
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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.
Phigh real < Phigh planned
Analogously, but considering the second consequence of the principle (see below),
Low probabilities can increase.
Plow real possible > Plow planned

7.2. The second consequence of the principle

The total probability of unforeseen future events
is more than 0%

Σ Punforeseen real > 0%
Hence,
The present total probability of future events
is less than 100%

Σ Pplanned < 100%
or
The present probability system of future events
is incomplete.


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8. Solution of Utility Theory Problems (more)    

The strongest qualitative test is the 4-Fold-Pattern.

Solution & Explanation
of the Four-Fold-Pattern
(simplified as much as possible)

The well-determined 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 Phigh real ,
the (positive) value of gain as G
and the (negative) value of loss as -G ,
we obtain
Phigh real < Phigh planned

and
G * Phigh real < G * Phigh planned

-G * Phigh real > -G * Phigh 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 Plow real possible
we obtain
Plow real possible > Plow planned

and
G * Plow real possible > G * Plow planned

-G * Plow real possible < -G * Plow 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.


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