Utility & Prospect & Decision Theories
Metadata
News   Events   Reviews   Analysis


Utility (& Prospect & Decision Theories)  
Metadata
(refereed articles mainly)
See also Utility items

Contents   (in new windows)

1.   News
2.   Events
  ( December   November   October   September   August   July   June   May   April   March   February   January  
2010 Undated   2009 Undated   2008 Undated   2007 Undated )
3.   Utility 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   Preference Reversals )
4.   New Approach.   Principle of Uncertain Future
5.   Solution of 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   of Preference Reversals )


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Utility & Prospect & Decision Theories   Metadata  
1. News

Cumulative prospect theory
challenges traditional expected utility theory

Saziye Gazioglu and Nilifer Cal?skan
Applied Financial Economics     2011
Abstract

The evolution of decision and experienced utility
Arthur Robson and Larry Samuelson
Theoretical Economics     2011
Abstract

REGARDS UPON EVOLUTION OF UTILITY THEORY
- THE FUNDAMENTAL ELEMENT IN PRICE ESTABLISHMENT

Viorica Stan
Theoretical and Applied Economics     2011
Abstract

Utility-Based Valuation and Hedging of Basis Risk
With Partial Information

Michael Monoyios
Applied Mathematical Finance     2010
Abstract

Empirical comparative statics under price and output uncertainty
Moawia Alghalith
Journal of Applied Statistics     2009
Abstract

Testing expected utility maximization
under price and quantity risk with a heterogeneous panel

Yucan Liu and C. Richard Shumway
Applied Economics     2009
Abstract

Top
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Utility & Prospect & Decision Theories   Metadata
2. Events
Metadata added/revised in December

Econometric Effects of Utility Order-Preserving Transformations
in Discrete Choice Models

Francisco Javier Amador and Elisabetta Cherchi
Networks and Spatial Economics     2011
Abstract

On intermediate utility functions
Thomas Eichner
Quality & Quantity: International Journal of Methodology     2009
Abstract

Is Expected Utility Theory Applicable?
A Revealed Preference Test

David R. Just and Hikaru Hanawa Peterson
American Journal of Agricultural Economics     2010
Abstract

THE CARDINALIST MANIFESTO:
THE EPISTEMOLOGY OF THE MEASURABILITY OF UTILITY

Jonathan Andreas
Journal of the History of Economic Thought     2011
Abstract

The Individual Taxpayer Utility Function
with Tax Optimization and Fiscal Fraud Environment

Pawe? Pankiewicz
"e-Finanse"     2011
Abstract

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Metadata added/revised in November

A Hayekian Economic Model of Thinking
Coca Veronica
Ovidius University Annals, Economic Sciences Series     2011
Abstract

Can non-expected utility theories explain
the paradox of not voting?

Serge Blondel and Louis LA©vy-garboua
Economics Bulletin     2011
Abstract

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Metadata added/revised in October

Identity, Utility, and Cooperative Behaviour:
An Evolutionary Perspective

Philipp C. Wichardt     2011
Abstract

Precautionary Saving and Endogenous Labor Supply
with and without Intertemporal Expected Utility

Diego Nocetti and William T. Smith
Journal of Money, Credit and Banking     2011
Abstract

Risk-averse asymptotics for reservation prices
Laurence Carassus and Miklos Rasonyi
Annals of Finance     2011
Abstract

A theorem for Bayesian group decisions
Ralph Keeney and Robert Nau
Journal of Risk and Uncertainty     2011
Abstract

Continuity of utility functions representing fuzzy preferences
Louis Fono and Maurice Salles
Social Choice and Welfare     2011
Abstract

Attitudes toward uncertainty and randomization:
an experimental study

Adam Dominiak and Wendelin Schnedler
Economic Theory     2011
Abstract

Dynamic consistency for non-expected utility preferences
Vassili Vergopoulos
Economic Theory     2011
Abstract

Multivariate utility maximization
with proportional transaction costs

Luciano Campi and Mark Owen
Finance and Stochastics     2011
Abstract

Utility indifference valuation for jump risky assets
Claudia Ceci and Anna Gerardi
Decisions in Economics and Finance     2011
Abstract

Interval scalability of rank-dependent utility
Mikhail V. Sokolov
Theory and Decision     2011
Abstract

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Metadata added/revised in September

Modeling non-monotone risk aversion
using SAHARA utility functions

An Chen, Antoon Pelsser and Michel Vellekoop
Journal of Economic Theory     2011
Abstract

Cumulative prospect theory
challenges traditional expected utility theory

Saziye Gazioglu and Nilifer Cal?skan
Applied Financial Economics     2011
Abstract

Ambiguity, the certainty illusion, and the natural
frequency approach to reasoning with inverse probabilities

John Fountain and Philip Gunby
New Zealand Economic Papers     2011
Abstract

The Distorted Theory of Rank-Dependent Expected Utility
Hui Huang and Shunming Zhang
Annals of Economics and Finance     2011
Abstract

The evolution of decision and experienced utility
Arthur Robson and Larry Samuelson
Theoretical Economics     2011
Abstract

REGARDS UPON EVOLUTION OF UTILITY THEORY
- THE FUNDAMENTAL ELEMENT IN PRICE ESTABLISHMENT

Viorica Stan
Theoretical and Applied Economics     2011
Abstract

Utility-Based Valuation and Hedging of Basis Risk
With Partial Information

Michael Monoyios
Applied Mathematical Finance     2010
Abstract

Empirical comparative statics under price and output uncertainty
Moawia Alghalith
Journal of Applied Statistics     2009
Abstract

Testing expected utility maximization
under price and quantity risk with a heterogeneous panel

Yucan Liu and C. Richard Shumway
Applied Economics     2009
Abstract

Top
Metadata added/revised in August

Philip Schofield, Utility and Democracy:
The Political Thought of Jeremy Bentham

Stephen G. Engelmann
Utilitas     2010
Abstract

J. S. Mill's Conception of Utility
Ben Saunders
Utilitas     2010
Abstract

The creator, human conduct and the maximisation of utility
in Gossen's economic theory

Philippe Steiner
European Journal of the History of Economic Thought     2011
Abstract

Measuring welfare changes in behavioural microsimulation modelling:
Accounting for the random utility component

John Creedy, Nicolas Herault and Guyonne Kalb
Journal of Applied Economics     2011
Abstract

Pricing jump risk with utility indifference
Lixin Wu and Min Dai
Quantitative Finance     2009
Abstract

Is individual rationality essential to market price formation?
The contribution of zero-intelligence agent trading models

Paola Tubaro
Journal of Economic Methodology     2009
Abstract

Information, Expected Utility, and Portfolio Choice
Jun Liu, Ehud Peleg and Avanidhar Subrahmanyam
Journal of Financial and Quantitative Analysis     2010
Abstract

Defining Trust Using Expected Utility Theory
Arai Kazuhiro
Hitotsubashi Journal of Economics     2009
Abstract

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Metadata added/revised in July

Ambiguity, Risk and Portfolio Choice
under Incomplete Information

Jianjun Miao
Annals of Economics and Finance     2009
Abstract

Questions in Decision Theory
Itzhak Gilboa
Annual Review of Economics     2010
Abstract

A Quantitative Measurement of Regret Theory
Han Bleichrodt, Alessandra Cillo and Enrico Diecidue
Management Science     2010
Abstract

Modifying the Mean-Variance Approach
to Avoid Violations of Stochastic Dominance

Pavlo R. Blavatskyy
Management Science     2010
Abstract

Risk Preferences at Different Time Periods:
An Experimental Investigation

Mohammed Abdellaoui, Enrico Diecidue and Ayse Onculer
Management Science     2011
Abstract

Risk aversion for nonsmooth utility functions
Andreas Wurth and Johannes M. Schumacher
Journal of Mathematical Economics     2011
Abstract

The risk premium and the effects of risk on agents utility
Mario Menegatti
Research in Economics     2011
Abstract

Additive Utility in Prospect Theory
Han Bleichrodt, Ulrich Schmidt and Horst Zank
Management Science     2009
Abstract

Probabilistic risk aversion with an arbitrary outcome set
Pavlo R. Blavatskyy
Economics Letters     2011
Abstract

Limited Experienced Happiness or Unlimited Expected Utility,
What About the Differences?

Jan Ott
Journal of Happiness Studies     2011
Abstract

Dynamic Investment Strategies to Reaction–Diffusion Systems
Based upon Stochastic Differential Utilities

Akira Kashiwabara and Nobuhiro Nakamura
Asia-Pacific Financial Markets     2011
Abstract

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Metadata added/revised in June

Pleasures of Benthamism:
Victorian Literature, Utility, Political Economy

Kathleen Blake
OUP Catalogue from Oxford University Press     2009
Abstract

Utility and Democracy:
The Political Thought of Jeremy Bentham

Philip Schofield
OUP Catalogue from Oxford University Press     2009
Abstract

Human needs and utility maximization
Katherine B. Freeman
International Journal of Social Economics     2011
Abstract

Measuring welfare changes in behavioural microsimulation modelling:
Accounting for the random utility component

John Creedy, Nicolas Herault and Guyonne Kalb
Journal of Applied Economics     2011
Abstract

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Metadata added/revised in May

Uncertainty and measurement error in welfare models for risk changes
Mary Riddel
Journal of Environmental Economics and Management     2011
Abstract

Personality and the marginal utility of income:
Personality interacts with increases in household income
to determine life satisfaction

Christopher J. Boyce and Alex M. Wood
Journal of Economic Behavior & Organization     2011
Abstract

Mixture models of choice under risk
Anna Conte, John Hey and Peter G. Moffatt
Journal of Econometrics     2011
Abstract

A value function that explains the magnitude and sign effects
Ali al-Nowaihi and Sanjit Dhami
Economics Letters     2009
Abstract

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Metadata added/revised in April

Utility Maximization Subject to Multiple Constraints
Jamal Nazrul Islam, Haradhan Kumar Mohajan and Pahlaj Moolio
Indus Journal of Management & Social Science (IJMSS)     2010
Abstract

Pleasures of Benthamism:
Victorian Literature, Utility, Political Economy

Kathleen Blake
OUP Catalogue from Oxford University Press     2009
Abstract

Utility and Democracy: The Political Thought of Jeremy Bentham
Philip Schofield
OUP Catalogue from Oxford University Press     2009
Abstract

Pricing of the time-change risks
Ivan Shaliastovich and George Tauchen
Journal of Economic Dynamics and Control     2011
Abstract

A new existence result for quadratic BSDEs with jumps
with application to the utility maximization problem

Marie-Amelie Morlais
Stochastic Processes and their Applications     2010
Abstract

Endogenous discounting and the domain of the felicity function
Ingmar Schumacher
Economic Modelling     2011
Abstract

The hunt for a descriptive theory of choice under risk
-- A view from the road not taken

Jonathan W. Leland
The Journal of Socio-Economics     2010
Abstract

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Metadata added/revised in March

Subadditivity, patience, and utility:
The effects of dividing time intervals

Patrick McAlvanah
Journal of Economic Behavior & Organization     2010
Abstract

An additively separable representation in the Savage framework
Brian Hill
Journal of Economic Theory     2010
Abstract

Rank-ordering of risk preferences with conventional
and discrete measures

Joseph G. Eisenhauer
The Quarterly Review of Economics and Finance     2010
Abstract

Power utility maximization under partial information:
Some convergence results

D. Covello and M. Santacroce
Stochastic Processes and their Applications     2010
Abstract

Information and preference reversals in lotteries
Niyazi Onur BakIr and Georgia-Ann Klutke
European Journal of Operational Research     2011
Abstract

The reasoning-based expected utility procedure
Robin Cubitt and Robert Sugden
Games and Economic Behavior     2011
Abstract

Decision principles derived from risk measures
Marc J. Goovaerts, Rob Kaas and Roger J.A. Laeven
Insurance: Mathematics and Economics     2010
Abstract

Preferences with frames: A new utility specification
that allows for the framing of risks

Nicholas Barberis and Ming Huang
Journal of Economic Dynamics and Control     2009
Abstract

Evaluation of similarity models for expected utility violations
David E. Buschena and Joseph A. Atwood
Journal of Econometrics     2011
Abstract

Are CEOs expected utility maximizers?
John List and Charles F. Mason
Journal of Econometrics     2011
Abstract

How loss averse are investors in financial markets?
Soosung Hwang and Steve E. Satchell
Journal of Banking & Finance     2010
Abstract

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Metadata added/revised in February

A Simple Metric for Gauging Risk Aversion
Joseph G. Eisenhauer
Asia-Pacific Journal of Risk and Insurance     2010
Abstract

The Substitution and the Revenue Effects
for a Cobb-Douglas Utility Function

Catalin Angelo Ioan and Gina E. Ioan
Economics and Applied Informatics     2010
Abstract

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Metadata added/revised in January

Efficiency and utility: an evolutionary perspective
Stefan Mann and Henry Wustemann
International Journal of Social Economics     2010
Abstract

Second-Order Ambiguity in Very Low Probability Risks:
Food Safety Valuation

Paul A. Kivi and Jason Shogren
Journal of Agricultural and Resource Economics     2010
Abstract

Recent Developments in the Intertemporal Modeling of Uncertainty
Christian P. Traeger
Annual Review of Resource Economics     2009
Abstract

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Metadata added/revised in 2010 Undated

Finances, in the Light of Utility and Equity Criteria
Mario Pagliacci, Constantin Anghelache and Dan Armeanu
Theoretical and Applied Economics     2008
Abstract

J. S. Mill's Conception of Utility
Ben Saunders
Utilitas     2010
Title

Optimal taxation in the presence of tax evasion:
Expected utility versus prospect theory

Sanjit Dhami and Ali Al-Nowaihi
Journal of Economic Behavior & Organization     2010
Title

On the Utility of Money
Gancho Todorov Ganchev
Economic Studies journal     2010
Abstract

UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
Jan Kallsen and Johannes Muhle-Karbe
International Journal of Theoretical and Applied Finance (IJTAF)     2010
Abstract

Anomalies in intertemporal choice,
time-dependent uncertainty and expected utility - A common approach

Herbert Walther
Journal of Economic Psychology     2010
Abstract

Indeterminacy and expectation-driven fluctuations
with non-separable preferences

Kazuo Nishimura and Alain Venditti
Mathematical Social Sciences     2010
Abstract

Reverse common ratio effect
Pavlo Blavatskyy
Journal of Risk and Uncertainty     2010
Abstract

The Limitations of Prospect Theory and the Expected Utility Theory:
A New Theory

Moawia Alghalith
Atlantic Economic Journal     2010
Abstract

Decision Making by Hybrid Probabilistic - Possibilistic Utility Theory
Endre Pap
Panoeconomicus     2009
Abstract

Expected utility paradoxes
Lindon Robison, Robert Shupp and Robert J. Myers
The Journal of Socio-Economics     2010
Abstract

A Theory of Vague Expected Utility
Paola Manzini and Marco Mariotti
The B.E. Journal of Theoretical Economics     2004
Abstract

Information, evolution and utility
Jeroen Swinkels and Larry Samuelson
Theoretical Economics     2006
Abstract

Beyond Earthquakes: The New Directions of Expected Utility Theory
Felipe Zurita
Latin American Journal of Economics-formerly Cuadernos de Economia     2005
Abstract

Decision, Probability and Utility
Peter Gardenfors and Nils-Eric Sahlin
Cambridge Books from Cambridge University Press     1988
Abstract

THE UTILITY OF THE CONSUMER FROM THE ANCIENTS TO THE CLASSICS
Cristina Gabriela ZAMFIR and Gabriela VIRLAN
EuroEconomica     2009
Abstract

An Explanation of Optimal Each-Way Bets
based on Non-Expected Utility Theory

David A. Peel and Davind Law
Journal of Gambling Business and Economics     2009
Abstract

Rationality on the rise: Why relative risk aversion
increases with stake size

Helga Fehr-Duda, Adrian Bruhin, Thomas Epper and Renate Schubert
Journal of Risk and Uncertainty     2010
Abstract

An Essay on the Origin of the Rational Utility Maximization Hypothesis
and a Suggested Modification

Ken McCormick
Eastern Economic Journal     1997
Abstract

An Allais paradox for generalized expected utility theories?
Laetitia Placido and Olivier l'Haridon
Economics Bulletin     2008
Abstract

The valuation of decision and individual welfare: a Humean approach
Andre Lapidus
European Journal of the History of Economic Thought     2010
Abstract

On probabilities and loss aversion
Horst Zank
Theory and Decision     2010
Abstract

What is Utility?
D. W. Haslett
Economics and Philosophy     1990
Abstract

Utility: Ideas and Terminology
Amartya Sen
Economics and Philosophy     1991
Abstract

A utility representation theorem with weaker continuity condition
Tomoki Inoue
Journal of Mathematical Economics     2010
Abstract

The Public Finances, the Utility of the Taxpayer and the Public Services
– towards a New Connecting Model?

Marcel Ioan Bolos
Theoretical and Applied Economics     2007
Abstract

Portfolio selection in stochastic markets with HARA utility functions
Ethem Canakoglu and Suleyman Ozekici
European Journal of Operational Research     2010
Abstract

The Dissociation Between Monetary Assessment and Predicted Utility
On Amir, Dan Ariely and Ziv Carmon
Marketing Science     2008
Abstract

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Metadata added/revised in 2009 Undated

Comparison of Mean-Variance Theory and
Expected-Utility Theory through a Laboratory Experiment

Andrea Morone
Economics Bulletin     2008
Abstract

The shape of the utility function under risk
in the loss domain and the "ruinous losses" hypothesis:
some experimental results

Nathalie Etchart-Vincent
Economics Bulletin     2009
Abstract

A simple test for the violation of the non-satiation axiom
under uncertainty: The theory

Robert Sproule and Calin Valsan
Economics Bulletin     2009
Abstract

A Note on Utility Maximization with Unbounded Random Endowment
Keita Owari
Institute of Economic Research, Hitotsubashi Unive...     2009-10
Abstract

The origin of utility: Sexual selection and conspicuous consumption
Gianni De Fraja
Journal of Economic Behavior & Organization     2009
Abstract

How Sapient is Homo Economicus?
The Evolutionary Origins of Trade,
Ethics and Economic Rationality

Kaushik Basu
esocialsciences.com     2009
Abstract

Robust Exponential Hedging in a Brownian Setting
Keita Owari
Institute of Economic Research, Hitotsubashi Unive...     2009-09
Abstract

Utility-Based Utility
David Cass
Penn Institute for Economic Research, Department o...     2008
Abstract

Distortion of probability and outcome information
in risky decisions

Michael L. DeKay, Patino-Echeverri, Dalia and Paul S. Fischbeck
Organizational Behavior and Human Decision Process...     2009
Abstract

Elementary non-Archimedean utility theory
Frederik S. Herzberg
Mathematical Social Sciences     2009
Abstract

Decision Making and Trade without Probabilities
Jack Douglas Stecher, Radhika Lunawat, Kira Pronin
and John DIckhaut
CIRANO     2007
Abstract

A CLOSER LOOK AT UTILITY MAXIMISED BY ECONOMIC AGENTS
Michal Skorepa
Politicka ekonomie     2008
Abstract

Vector Expected Utility and Attitudes Toward Variation
Marciano Siniscalchi
Econometrica     2009
Abstract

THE UTILITY OF THE CONSUMER FROM THE ANCIENTS TO THE CLASSICS
Cristina Gabriela ZAMFIR and Gabriela VIRLAN
EuroEconomica     2009
Abstract

A simple model of cumulative prospect theory
Ulrich Schmidt and Horst Zank
Journal of Mathematical Economics     2009
Abstract

A More General Non-expected Utility Model
as an Explanation of Gambling Outcomes
for Individuals and Markets

David Peel and David Law
Economica     2009
Abstract

Nozick, Ramsey, and Symbolic Utility
Wesley Cooper
Utilitas     2008
Abstract

Comparing Fuzzy and Probabilistic Approaches
to Preference Uncertainty in Non-Market Valuation

Lili Sun and G. Kooten
Environmental & Resource Economics     2009
Title

Pricing jump risk with utility indifference
Lixin Wu and Min Dai
Quantitative Finance     2009
Abstract

A reformulation of the maxmin expected utility model
with application to agency theory

Edi Karni
Journal of Mathematical Economics     2009
Abstract

Debreu-like properties of utility representations
A. Caserta, A. Giarlotta and S. Watson
Journal of Mathematical Economics     2008
Abstract

Something for nothing: A model of gambling behavior
John Nyman, John W. Welte and Bryan E. Dowd
The Journal of Socio-Economics     2008
Abstract

Decentralized trade, random utility
and the evolution of social welfare

Michihiro Kandori, Roberto Serrano and Oscar Volij
Journal of Economic Theory     2008
Abstract

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Metadata added/revised in 2008 Undated

Explaining the characteristics of the power (CRRA) utility family
Peter P. Wakker
Health Economics     2008
Abstract

Asymmetric or symmetric time preference and discounting
in many facets of economic theory: A miscellany

Paul Samuelson
Journal of Risk and Uncertainty     2008
Title

A Geometric Measure for the Violation of Utility Maximization
Jan Heufer
Rheinisch-Westfalisches Institut fur Wirtschaftsfo...     2008-09
Abstract     Text

Ranking completely uncertain decisions
by the uniform expected utility criterion

Nicolas Gravel, Thierry Marchant and Arunava Sen
Institut d'economie publique (IDEP), Marseille, Fr...     2007-07
Abstract     Text

Calibration Results for Non-Expected Utility Theories
Zvi Safra and Uzi Segal
Econometrica     2008
Abstract

How can a psychologist inform economics?
The strange case of Sidney Siegel

Alessandro Innocenti
Department of Economic Policy, Finance and Develop...     2008-07
Abstract

An Experimental Investigation of Alternatives
to Expected Utility Using Pricing Data

Andrea Morone and Ulrich Schmidt
Economics Bulletin     2008
Abstract     Text

A new approach to modeling decision-making under uncertainty
Edi Karni
Economic Theory     2007
Title

A tractable method to measure utility and loss aversion
under prospect theory

Mohammed Abdellaoui, Han Bleichrodt and Olivier L’Haridon
Journal of Risk and Uncertainty     2008
Title

Utility of gambling II: risk, paradoxes, and data
R. Luce, C. Ng, A. Marley and Janos Aczel
Economic Theory     2008
Title

Walrasian Solutions Without Utility Functions
C-Rene Dominique
University Library of Munich, Germany     2008
Abstract     Text

Non-classical expected utility theory
with application to type indeterminacy

Vladimir I. Danilov and Ariane Lambert-Mogiliansky
PSE (Ecole normale superieure)     2007
Abstract     Text

Decision Making and Trade without Probabilities
Jack Douglas Stecher, Radhika Lunawat, Kira Pronin and John Dickhaut
CIRANO     2007-10
Abstract     Text

Expected utility inequalities: theory and applications
Eduardo Zambrano
Economic Theory     2008
Title

Economics is philosophy, economics is not science
Rupert Read
International Journal of Green Economics     2007
Abstract

Relativity, Rank and the Utility of Income
Matthew D. Rablen
Economic Journal     2008
Abstract

Great Expectations. Part I:
On the Customizability of Generalized Expected Utility

Francis Chu and Joseph Halpern
Theory and Decision     2008
Title

On Ordinal Utility, Cardinal Utility and Random Utility
Richard Batley
Theory and Decision     2008
Title

Risk preferences and changes in background risk
Donald Keenan, Donald Rudow and Arthur Snow
Journal of Risk and Uncertainty     2008
Title

Generalized expected utility, heteroscedastic error,
and path dependence in risky choice

David Buschena and David Zilberman
Journal of Risk and Uncertainty     2008
Title

Utility function of fuzzy preferences on a countable set
under max-*-transitivity

Louis Fono and Nicolas Andjiga
Social Choice and Welfare     2007
Title

ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS
AS APPROXIMATIONS OF BAYESIAN DECISION MAKING

Timothy Cogley and Thomas Sargent
International Economic Review     2008
Abstract

A Model of Utility Smoothing
Katsutoshi Wakai
Econometrica     2008
Abstract

Interpretations Of Utility And Their Implications For The Valuation Of Health
Paul Dolan and Daniel Kahneman
Economic Journal     2008
Abstract

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Metadata added/revised in 2007 Undated

Non-classical expected utility theory
with application to type indeterminacy

Vladimir I. Danilov and Ariane Lambert-Mogiliansky
PSE (Ecole normale superieure)     2007
Abstract     Text

Comparison of Mean-Variance Theory and Expected-Utility Theory
through a Laboratory Experiment

Andrea Morone
Dipartimento di Scienze Economiche - Universita di...     2007-10
Abstract     Text

Institutions for Intuitive Man
Engel Christoph
Max Planck Institute for Research on Collective Go...     2007-08
Abstract     Text

Parametric Weighting Functions
Enrico Diecidue, Ulrich Schmidt and Horst Zank
Christian-Albrechts-University of Kiel, Department...     2007
Abstract     Text

An Experimental Investigation of Alternatives
to Expected Utility Using Pricing Data

Andrea Morone and Ulrich Schmidt
Christian-Albrechts-University of Kiel, Department...     2006
Abstract     Text

Risk Aversion, Wealth, and Background Risk
Luigi Guiso and Monica Paiella
European University Institute     2007
Abstract     Text

What Determines the Shape of the Probability Weighting Function?
Fehr-Duda, Helga, Marc Schurer and Renate Schubert
CER-ETH - Center of Economic Research (CER-ETH) at...     2006
Abstract     Text

Explaining the anomalies of the exponential discounted utility model
Ali al-Nowaihi and Sanjit Dhami
Department of Economics, University of Leicester     2007-09
Abstract     Text

Imprecision as an Account of the Preference Reversal Phenomenon
David J. Butler and Graham C. Loomes
American Economic Review    2007
Abstract
About: "... any successful descriptive theory
of choice and valuation will need to allow in some way for the
imprecision ..."



A New Method of Estimating Risk Aversion
Raj Chetty
American Economic Review     2006
Abstract

Prospect-theory’s Diminishing Sensitivity
Versus Economics’ Intrinsic Utility of Money:
How the Introduction of the Euro can be Used
to Disentangle the Two Empirically

Peter Wakker, Veronika Kobberling and Christiane Schwieren
Theory and Decision     2007
Abstract

Risk aversion and expected-utility theory: A calibration exercise
Laura Schechter
Journal of Risk and Uncertainty   2007
Abstract

Valuing A Risky Prospect Less Than Its Worst Outcome:
Uncertainty Effect or Task Ambiguity?

Andreas Ortmann, Alexandra Prokosheva, Ondrej Rydval and Ralph Hertwig
Friedrich-Schiller-University Jena, Max-Planck-Ins...   2007-07-18
Abstract     Text

The Origin of Utility
Gianni De Fraja
C.E.P.R. Discussion Papers   2006
Abstract

Experienced Utility as a Standard of Policy Evaluation
Daniel Kahneman and Robert Sugden
Environmental & Resource Economics   2005
Abstract

The Behavioralist Meets the Market:
Measuring Social Preferences and Reputation Effects
in Actual Transactions

John A. List
Journal of Political Economy   2006
Abstract     Text of the corresponding Working Paper

On the Paradigm of Loss Aversion
Horst Zank
School of Economics, The University of Manchester   2007
Title

Would You Be Happier If You Were Richer? A Focusing Illusion
Daniel Kahneman, Alan Krueger, David Schkade, Norbert Schwarz and Arthur Stone
Princeton University, Department of Economics, Cen...   2006
Abstract     Text


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3. Utility 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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4. 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.

4.1. 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

4.2. 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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5. Solution of Problems (more)    

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

Solution & Explanation
of the 4-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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