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. Quarterly News.
1.1. Institutions 1.2. Authors 1.3. Works
2. Utility Theory Items. Events: June May April
March February January
2019 December November October September August July
2019 Undated 2018 Undated 2017 Undated
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,
"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

Quarterly News (2020 quarter 2)

From Prospect Theory to Behavioural Welfare Economics
Ivan Mitrouchev
from HAL
Abstract

Time will tell: recovering preferences when choices are noisy
Carlos Alos-Ferrer, Ernst Fehr and Nick Netzer
from Department of Economics - University of Zurich
Abstract Text

On the concept of common utility
Gilbert Giacomoni
from HAL
Abstract Text

Introduction to sub-interval analysis. Estimations for the centers of gravity
Alexander Harin
from University Library of Munich, Germany
Abstract Text

All probabilities are equal, but some probabilities are more equal than others
Christina Letsou, Shlomo Naeh and Uzi Segal
from Boston College Department of Economics
Abstract Text

A Test of Information Aversion
Christopher Kops and Illia Pasichnichenko
from University of Heidelberg, Department of Economics
Abstract Text

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

June

From Prospect Theory to Behavioural Welfare Economics
Ivan Mitrouchev
from HAL
Abstract

Rational Choice Hypothesis as X-point of Utility Function and Norm Function
Takeshi Kato, Yasuyuki Kudo, Junichi Miyakoshi, Jun Otsuka, Hayato Saigo, Kaori Karasawa, Hiroyuki Yamaguchi and Yasuo Deguchi
from arXiv.org
Abstract Text

Relative utility bounds for empirically optimal portfolios
Dmitry B. Rokhlin
from arXiv.org
Abstract Text

A Systematic Test of the Independence Axiom Near Certainty
Ritesh Jain and Kirby Nielsen
from Institute of Economics, Academia Sinica, Taipei, Taiwan
Abstract Text

Time will tell: recovering preferences when choices are noisy
Carlos Alos-Ferrer, Ernst Fehr and Nick Netzer
from Department of Economics - University of Zurich
Abstract Text

May

On the concept of common utility
Gilbert Giacomoni
from HAL
Abstract Text

Introduction to sub-interval analysis. Estimations for the centers of gravity
Alexander Harin
from University Library of Munich, Germany
Abstract Text

Relative Net Utility and the Saint Petersburg Paradox
Daniel Muller and Tshilidzi Marwala
from arXiv.org
Abstract Text

Prospect Theory and Stock Market Anomalies
Nicholas C. Barberis, Lawrence Jin and Baolian Wang
from National Bureau of Economic Research, Inc
Abstract Text

April

All probabilities are equal, but some probabilities are more equal than others
Christina Letsou, Shlomo Naeh and Uzi Segal
from Boston College Department of Economics
Abstract Text

A Test of Information Aversion
Christopher Kops and Illia Pasichnichenko
from University of Heidelberg, Department of Economics
Abstract Text

The Aversion to Monetary Incentives for Changing Behavior
Viola S. Ackfeld
from University of Cologne, Department of Economics
Abstract Text

Valuation Risk Revalued
Oliver de Groot, Alexander Richter and Nathaniel Throckmorton
from C.E.P.R. Discussion Papers
Abstract Text

March

A Lot of Ambiguity
Zvi Safra and Uzi Segal
from Boston College Department of Economics
Abstract Text

Behavioral sciences and auto-transformations of functions
Alexander Harin
from University Library of Munich, Germany
Abstract Text

Epstein-Zin Utility Maximization on Random Horizons
Joshua Aurand and Yu-Jui Huang
from arXiv.org
Abstract Text

February

A Rationalization of the Weak Axiom of Revealed Preference
Victor H. Aguiar, Per Hjertstrand and Roberto Serrano
from Research Institute of Industrial Economics
Abstract Text

The political economy theorem
Alessandro Saccal
from University Library of Munich, Germany
Abstract Text

Stability of the indirect utility process
Oleksii Mostovyi
from arXiv.org
Abstract Text

Reference Dependence in Intertemporal Preference
Zhihua Li and Songfa Zhong
from Department of Economics, University of Birmingham
Abstract Text

January

Long Term Care Insurance with State-Dependent Preferences
Philippe De Donder
from CIRANO
Abstract Text

Endowment Effects and Loss Aversion in the Risky Investment Game
Stein Holden and Mesfin Tilahun
from Norwegian University of Life Sciences, Centre for Land Tenure Studies
Abstract Text

Recover Dynamic Utility from Observable Process: Application to the economic equilibrium
Nicole El Karoui and Mohamed MRad
from HAL
Abstract Text

Prudence and preference for flexibility gain
Daniel Danau
from HAL
Abstract

Deriving utility: consumers’ diligence under externalities and technical progress
Sergey Malakhov
from University Library of Munich, Germany
Abstract Text

Non-stationary additive utility and time consistency
Nicolas Drouhin
from HAL
Abstract

Robust Identification of Investor Beliefs
Xiaohong Chen, Lars Hansen and Peter Hansen
from Becker Friedman Institute for Research In Economics
Abstract Text

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Year 2019

December

Behavioral sciences and auto-transformations. Introduction
Alexander Harin
from University Library of Munich, Germany
Abstract Text

New Results on Entrepreneurship and Risk
Claudio Bonilla, Marcos Vergara and Richard Watt
from University of Canterbury, Department of Economics and Finance
Abstract Text

November

Choquet utility depending on the state of nature
Issouf Abdou, Philibert Andriamanantena, Mamy Raoul Ravelomanana and Rivo Rakotozafy
from HAL
Abstract Text

Singular Perturbation Expansion for Utility Maximization with Order-$\epsilon$ Quadratic Transaction Costs
Andrew Papanicolaou and Shiva Chandra
from arXiv.org
Abstract Text

Irving Fisher, Ragnar Frisch and the Elusive Quest for Measurable Utility
Robert Dimand
from Cowles Foundation for Research in Economics, Yale University
Abstract Text

Knowledge Cycles and Corporate Investment
Maria Cecilia Bustamante, Julien Cujean and Laurent Fresard
from C.E.P.R. Discussion Papers
Abstract Text

October

Market Allocations under Ambiguity: A Survey
Antoine Billot, Sujoy Mukerji and Jean-Marc Tallon
from Queen Mary University of London, School of Economics and Finance
Abstract Text

The Devil is in the Details: Risk Preferences, Choice List Design, and Measurement Error
Stein Holden and Mesfin Tilahun
from Norwegian University of Life Sciences, Centre for Land Tenure Studies
Abstract Text

Foundations of the Rank-Dependent Probability Weighting Function
Matthew Rablen
from Institute of Labor Economics (IZA)
Abstract Text

September

Grammatical mood and ambiguity aversion
Sacha Bourgeois-Gironde, Alda Mari, David Nicolas and David Blunier
from HAL
Abstract Text

The Evolutionary Stability of Optimism, Pessimism, and Complete Ignorance
Burkhard Schipper
from University of California, Davis, Department of Economics
Abstract Text

How Serious is the Measurement-Error Problem in a Popular Risk-Aversion Task?
Fabien Perez, Guillaume Hollard, Radu Vranceanu and Delphine Dubart
from HAL
Abstract Text

Decisions under Risk Dispersion and Skewness
Oben K. Bayrak and John Hey
from CERE - the Center for Environmental and Resource Economics
Abstract Text

August

Not lost in translation: Successfully replicating Prospect Theory in 19 countries
Kai Ruggeri, Sonia Ali, Mari Louise Berge, Giulia Bertoldo, Anna Cortijos-Bernabeu, Ludvig Daae Bjorndal, Clair Davison, Emir Demic, Celia Esteban Serna and Maja Friedemann
from Center for Open Science
Abstract Text

Loss aversion and the zero-earnings discontinuity
Leonidas de la Rosa and Nikolaj Kirkeby Niebuhr
from Department of Economics and Business Economics, Aarhus University
Abstract Text

The Time Importance for Prospect Theory
Jos\'e Cl\'audio do Nascimento
from arXiv.org
Abstract Text

Is Ellsberg behavior evidence of ambiguity aversion?
Christoph Kuzmics, Brian W. Rogers and Xiannong Zhang
from University of Graz, Department of Economics
Abstract Text

Eliciting Utility Curvature in Time Preference
Stephen Cheung
from Institute of Labor Economics (IZA)
Abstract Text

Risk and Rationality:The Relative Importance of Probability Weighting and Choice Set Dependence
Adrian Bruhin, Maha Manai and Luis Santos-Pinto
from Universite de Lausanne, Faculte des HEC, Departement d’economie
Abstract Text

Gain/Loss Asymmetric Stochastic Differential Utility
Yuki Shigeta
from Graduate School of Economics, Kyoto University
Abstract Text

July

On Attitudes to Choice: Some Experimental Evidence on Choice Aversion
Fabrice Le Lec and Benoit Tarroux
from HAL
Abstract

Valuation Risk Revalued
Oliver de Groot, Alexander Richter and Nathaniel Throckmorton
from University of Liverpool, Department of Economics
Abstract Text

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2019 Undated

The Problem of State-Dependent Utility: A Reappraisal
Jean Baccelli
from HAL
Abstract Text

Savage's theorem with atoms
Thai Ha-Huy
from University Library of Munich, Germany
Abstract Text

Individual attitudes and market dynamics towards imprecision
Christoph Huber and Julia Rose
from Faculty of Economics and Statistics, University of Innsbruck
Abstract Text

Non stationary additive utility and time consistency
Nicolas Drouhin
from HAL
Abstract Text

Revealed preferences over risk and uncertainty
Matthew Polisson, John Quah and Ludovic Renou
from School of Economics and Finance, University of St Andrews
Abstract Text

The Relation between Behavior under Risk and over Time
Anujit Chakraborty, Yoram Halevy and Kota Saito
from University of Toronto, Department of Economics
Abstract Text

What is risk aversion?
Richard Bradley and H. Orii Stefansson
from London School of Economics and Political Science, LSE Library
Abstract Text

The Total Risk Premium Puzzle
Oscar Jorda, Moritz Schularick and Alan Taylor
from C.E.P.R. Discussion Papers
Abstract Text

Upper Bounds on Risk Aversion under Mean-variance Utility
Kevin Denny
from School of Economics, University College Dublin
Abstract Text

Behavioral Economics versus Traditional Economics: Are They Very Different?
Kuo-Ping Chang
from University Library of Munich, Germany
Abstract Text

Forbidden zones for the expectations of measurement data and problems of behavioral economics
Alexander Harin
from University Library of Munich, Germany
Abstract Text

Beyond Uncertainty Aversion
Brian Hill
from HAL
Abstract

Adam Smith on lotteries: an interpretation and formal restatement
Laurie Breban and Andre Lapidus
from HAL
Abstract Text

Pure rank preferences and variation in risk-taking behavior
Oded Stark, Wiktor Budzinski and Marcin Jakubek
from University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics
Abstract Text

Risk aversion, prudence and temperance: an experiment in gain and loss
Marielle Brunette and Julien Jacob
from HAL
Abstract Text

History of Utility Theory
Ivan Moscati
from BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
Abstract Text

Salience and skewness preferences
Markus Dertwinkel-Kalt and Mats Koster
from University of Dusseldorf, Dusseldorf Institute for Competition Economics (DICE)
Abstract Text

The new models of decision in risk: A review of the critical literature
Mohamed Ali Trabelsi
from University Library of Munich, Germany
Abstract Text

A Bias Aggregation Theorem
Mark Schneider
from Chapman University, Economic Science Institute
Abstract Text

Time-Varying Risk Aversion and the Predictability of Bond Premia
Oguzhan Cepni, Riza Demirer, Rangan Gupta and Christian Pierdzioch
from University of Pretoria, Department of Economics
Abstract

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Year 2018

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2018 Undated

Inequalities and zones. New mathematical results for behavioral and social sciences
Alexander Harin
from University Library of Munich, Germany
Abstract Text

Effects of gain-loss frames on advantageous inequality aversion
Effects of gain-loss frames on advantageous inequality aversion
from HAL
Abstract

Ambiguity Aversion and Variance Premium
Jianjun Miao, Bin Wei and Hao Zhou
from Federal Reserve Bank of Atlanta
Abstract Text

Climatic Roots of Loss Aversion
Oded Galor and Viacheslav Savitskiy
from National Bureau of Economic Research, Inc
Abstract Text

Expected Utility Preferences versus Prospect Theory Preferences in Bargaining
Abhimanyu Khan
from University Library of Munich, Germany
Abstract Text

Quantum Structures in Human Decision-making: Towards Quantum Expected Utility
Sandro Sozzo
from arXiv.org
Abstract Text

Conditional expected utility criteria for decision making under ignorance or objective ambiguity
Nicolas Gravel, Thierry Marchant and Arunava Sen
from HAL
Abstract Text

Robustness of Experimental Risk and Time Preferences to Intertemporal Asset Integration
Christoph Heinzel and Aj Allen Bostian
from HAL
Abstract

Nonparametric Analysis of Random Utility Models
Yuichi Kitamura and Jorg Stoye
from arXiv.org
Abstract Text

The Allais Paradox: What It Became, What It Really Was, What It Now Suggests to Us
Philippe Mongin
from HAL
Abstract

Dynamic Random Subjective Expected Utility
Jetlir Duraj
from arXiv.org
Abstract Text

Random Expected Utility Theory with a Continuum of Prizes
Wei Ma
from University of Pretoria, Department of Economics
Abstract Text

Utility maximization for Levy switching models
Lioudmila Vostrikova and Yuchao Dong
from HAL
Abstract Text

Three Layers of Uncertainty: an Experiment
Ilke Aydogan, Lo?c Berger, Valentina Bosetti and Ning Liu
from Fondazione Eni Enrico Mattei
Abstract Text

The St. Petersburg Paradox Despite Risk-seeking Preferences: An Experimental Study
James Cox, Eike B. Kroll, Marcel Lichters, Vjollca Sadiraj and Bodo Vogt
from Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University
Abstract Text

Sequential Common Consequence Effect and Incentives
Maria J. Ruiz Martos
from Department of Economic Theory and Economic History of the University of Granada.
Abstract Text

Approximate Expected Utility Rationalization
Federico Echenique, Taisuke Imai and Kota Saito
from CRC TRR 190 Rationality and Competition
Abstract Text

Measuring Risk Aversion Using Indirect Utility Functions: A Laboratory Experiment
Seyyed Ali Zeytoon Nejad Moosavian, Robert Hammond and Barry Goodwin
from Agricultural and Applied Economics Association
Abstract Text

Time Lotteries and Stochastic Impatience
Patrick DeJarnette, David Dillenberger, Daniel Gottlieb and Pietro Ortoleva
from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
Abstract Text

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

The Allais Paradox: What It Became, What It Really Was, What It Now Suggests to Us
Philippe Mongin
from HEC Paris
Abstract Text

Psychophysical Foundations of the Cobb-Douglas Utility Function
Rossella Argenziano and Itzhak Gilboa
from HAL
Abstract

Forbidden zones for the expectation. New mathematical results for behavioral and social sciences
Alexander Harin
from University Library of Munich, Germany
Abstract Text

Subjective expected utility with topological constraints
Marcus Pivato and Vassili Vergopoulos
from University Library of Munich, Germany
Abstract Text

Measurement Error in Prospect Theory Field Elicitations
Thomas W. Sproul and Clayton P. Michaud
from SCC-76: Economics and Management of Risk in Agriculture and Natural Resources
Abstract Text

Forbidden zones and biases for the expectation of a random variable. Version 2
Alexander Harin
from University Library of Munich, Germany
Abstract Text

THE ROLE OF THE UTILITY FUNCTION IN THE ESTIMATION OF PREFERENCE PARAMETERS
Daria Pignalosa
from Department of Economics - University Roma Tre
Abstract

Forbidden zones for the expectation of a random variable. New version 1
Alexander Harin
from University Library of Munich, Germany
Abstract Text

Time Lotteries, Second Version
Patrick DeJarnette, David Dillenberger, Daniel Gottlieb and Pietro Ortoleva
from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
Abstract Text

An axiomatic foundation of entropic preferences under Knightian uncertainty
Stefan Baumgartner and John-Oliver Engler
from Verein fur Socialpolitik / German Economic Association
Abstract Text

Framing and repetition effects on risky choices: A behavioral approach
Noemi Herranz-Zarzoso and Gerardo Sabater-Grande
from Economics Department, Universitat Jaume I, Castellon (Spain)
Abstract Text

Utility as economic meaning
Yves Meinard and Jean-Sebastien Gharbi
from HAL
Abstract

Varieties of risk elicitation
Daniel Friedman, Sameh Habib, Duncan James and Sean Crockett
from WZB Berlin Social Science Center
Abstract Text

The time interpretation of expected utility theory
Ole Peters and Alexander Adamou
from arXiv.org
Abstract Text

Risk Attitudes in Axiomatic Decision Theory: a Conceptual Perspective
Jean Baccelli
from HAL
Abstract Text

Threshold Luce rules
Sean Horan
from Universite de Montreal, Departement de sciences economiques
Abstract Text

News-driven uncertainty fluctuations
Dongho Song and Jenny Tang
from Federal Reserve Bank of Boston
Abstract Text

A New Keynesian Model with Wealth in the Utility Function
Pascal Michaillat and Emmanuel Saez
from Society for Economic Dynamics
Abstract

Quantum Decision Theory and the Ellsberg Paradox
Ali al-Nowaihi, Sanjit Dhami and Mengxing Wei
from CESifo
Abstract Text

Ambiguity aversion is not universal
Martin Kocher, Amrei Marie Lahno and Stefan Trautmann
from University of Munich, Department of Economics
Abstract

Off the Charts: Massive Unexplained Heterogeneity in a Global Study of Ambiguity Attitudes
Olivier l’Haridon, Ferdinand Vieider, Diego Aycinena and Agustinus Bandur
from HAL
Abstract

Promises, Expectations & Causation
Giovanni Di Bartolomeo, Martin Dufwenberg, Stefano Papa and Francesco Passarelli
from BAFFI CAREFIN, Centre for Applied Research on International
Abstract Text

Subjective expected utility with state-dependent but action/observation-independent preferences
Jacques H. Dreze
from Universite catholique de Louvain, Center for Operations Research and Econometrics (CORE)
Abstract

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Year 2017

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2017 Undated

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

Robust expected utility maximization with medial limits
Daniel Bartl, Patrick Cheridito and Michael Kupper
from arXiv.org
Abstract Text

Behavioral economics and auto-images 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 S-shaped utility and implications for risk management
John Armstrong and Damiano Brigo
from arXiv.org
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 The “Scientificity” Of Microeconomics: Individual Demand, And Exchange-value Determination
C-Rene Dominique
from University Library of Munich, Germany
Abstract Text

Some estimations of the minimal magnitudes of forbidden zones in experimental data
Alexander Harin
from University Library of Munich, Germany
Abstract Text

Back to Bentham, Should We? Large-Scale Comparison of Experienced versus Decision Utility
Alpaslan Akay, Olivier Bargain and Xavier Jara
from Institute for the Study of Labor (IZA)
Abstract Text

Boundedly Rational Expected Utility Theory
Daniel Navarro-Martinez, Graham Loomes, Andrea Isoni, David Butler and Larbi Alaoui
from University Library of Munich, Germany
Abstract Text

Subjective Mean Variance Preferences Without Expected Utility
Xiangyu Qu
from HAL
Abstract

About the minimal magnitudes of measurement’s forbidden zones. Version 1
Alexander Harin
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

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

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

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Year 2016

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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 non-classical(quantum) uncertainty
Vladimir Ivanovitch Danilov, Ariane Lambert-Mogiliansky and Vassili Vergopoulos
from HAL
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

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

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

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

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

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Year 2015

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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

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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 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

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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

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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.

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.

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.

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.

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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 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.

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