THEORETICAL NOTE On the Composition of Risk Preference and Belief (2008)
Prospect theory assumes nonadditive decision weights for preferences over risky gambles. Such decision weights generalize additive probabilities. This article proposes a decomposition of decision...
The power family, also known as the family of constant relative risk aversion (CRRA), is the most widely used parametric family for fitting utility functions to data. Its characteristics have,...
Although the techniques of conjoint measurement have been around for 40 years now, they haven't been used to the full to study time preferences. We introduce standard sequences in the time dimension,...
Journal of Economic Literature Classification Number D81. (2007)
ABSTRACT. This paper proposes a new updating method that preserves dynamic consistency in nonexpected utility. Given nonseparability of disjoint events, preferences conditional on an observed event...
Running title: Utility of stroke Address for correspondence: (2007)
Anne M. Stiggelbout, Peter P. Wakker, Piet N. Post, Piet N. Post
1 Background and Purpose. To be able to perform decision analyses that include stroke as one of the possible health states, the utility of stroke states have to be determined. We reviewed the...
Veronika Köbberling, Peter P. Wakker
This paper introduces a new preference condition that can be used to justify (or criticize) expected utility. It is based on a method for deriving "comparisons of tradeoffs" from ordinal...
Han Bleichrodt, Jose Luis Pinto, Peter P. Wakker
This paper proposes a quantitative modification of standard utility measurement procedures, such as the probability and certainty equivalence methods, to correct for commonly observed violations of...
Measuring Attribute Utilities when Attributes Interact (2007)
Peter P. Wakker, Anne M. Stiggelbout
This paper introduces a new method for measuring attribute utilities in multiattribute utility theory. The novelty of our method lies in the use of anchor levels, i.e. levels of attributes the value...
A Theory of the Gambling Effect (2007)
Enrico Diecidue, Ulrich Schmidt, Peter P. Wakker
This paper presents a model for the "gambling effect," i.e., the effect that risky gambles are evaluated differently than riskless outcomes due to an intrinsic utility (or disutility) of...
Cumulative Dominance and Probabilistic Sophistication (2007)
Rakesh Sarin, Peter P. Wakker, Peter Wakker
Machina and Schmeidler gave preference conditions for probabilistic sophistication, i.e., decision making where uncertainty can be expressed in terms of (subjective) probabilities without commitment...
ATheoryoftheGamblingE®ect (2007)
Enrico Diecidue, Ulrich Schmidt, Peter P. Wakker, Peterp. Wakkert
t: CentER,TilburgUniversity,TheNetherlands k: InstitutfÄurFinanzwissenschaftundSozialpolitik, Christian-Albrechts-UniversitÄatzuKiel,Germany September28,1999 This paper presents a model for the...
Causes of Ambiguity Aversion: Known versus Unknown Preferences (2007)
Stefan T. Trautmann, Ferdinand M. Vieider, Peter P. Wakker
with parts of the study conducted at the University of Maastricht. Ambiguity aversion appears to have subtle psychological causes. Curley, Yates, and Abrams found that the fear of negative evaluation...
In most economic decisions where agents face uncertainties, no probabilities are available. This point was first emphasized by Keynes (1921) and Knight (1921), and was reiterated by Greenspan (2004):...
An Index of Loss Aversion (2005)
Veronika Köbberling, Peter P. Wakker
Under prospect theory, three components in‡uence the risk atti-tude of a decision maker: the utility function, the probability weight-ing function, and loss aversion. Loss aversion re‡ects the...
On the Composition of Risk Preference and Belief (2004)
ABSTRACT. This paper proposes a decomposition of nonadditive decision weights into a component reflecting risk attitude and a component depending on belief. The decomposition is based solely on...
The Data of Levy and Levy (2002), “Prospect Theory (2003)
violate prospect theory. They suggest that prospect theory’s hypothesis of an S-shaped value function, concave for gains and convex for losses, is incorrect. However, all the data of Levy and Levy...
On the Composition of Risk Preference and Belief (2000)
. This paper proposes a decomposition of nonadditive decision weights into a component reflecting risk attitude and a component depending on belief. The decomposition is based solely on observable...
Comonotonic Book-Making with Nonadditive Probabilities (2000)
Enrico Diecidue, Peter P. Wakker
This paper shows how de Finetti's book-making principle, commonly used to justify additive subjective probabilities, can be modified to agree with some nonexpected utility models. More...
Dempster-Belief Functions Are Based On The Principle Of Complete Ignorance (2000)
This paper shows that a "principle of complete ignorance" plays a central role in decisions based on Dempster belief functions. Such belief functions occur when, in a first stage, a random...
ABSTRACT. As yet, no general agreement has been reached on whether the Bayesian or the frequentist (Neyman-Pearson, NP) approach to statistics is to be preferred. Whereas Bayesians adhere to...
The zero condition: A simplifying assumption in QALY measurement and multiattribute utility (1998)
John M. Miyamoto, Peter P. Wakker, Han Bleichrodt
This paper studies the implications of the ‘‘zero-condition’ ’ for multiattribute utility theory. The zero-condition simplifies the measurement and derivation of the Quality Adjusted Life...
The zero-condition : a simplifying assumption in QALY measurement and multiattribute utility (1996)
Miyamoto, John M., Wakker, Peter P., Bleichodt, Han, Peters, Hans J.M.
On the Intuition of Rank-Dependent Utility.
Diecidue, Enrico, Wakker, Peter P
Among the most popular models for decision under risk and uncertainty are the rank-dependent models, introduced by Quiggin and Schmeidler. Central concepts in these models are rank-dependence and...
Revealed Likelihood and Knightian Uncertainty.
Sarin, Rakesh, Wakker, Peter P
Nonadditive expected utility models were developed for explaining preferences in settings where probabilities cannot be assigned to events. In the absence of probabilities, difficulties arise in the...
Wakker, Peter P, Thaler, Richard H, Tversky, Amos
Probabilistic insurance is an insurance policy involving a small probability that the consumer will not be reimbursed. Survey data suggest that people dislike probabilistic insurance and demand more...
In expected utility theory, risk attitudes are modeled entirely in terms of utility. In the rank-dependent theories, a new dimension is added: chance attitude, modeled in terms of nonadditive...
Dynamic Choice and NonExpected Utility.
Sarin, Rakesh, Wakker, Peter P
This paper explores how some widely studied classes of nonexpected utility models could be used in dynamic choice situations. A new 'sequential consistency' condition is introduced for single-stage...
Veronika K–bberling, Peter P. Wakker
This paper introduces a new preference condition that can be used to justify (or criticize) expected utility. The approach taken in this paper is an alternative to Savage's, and is accessible to...
The Utility of Gambling Reconsidered
Enrico Diecidue, Ulrich Schmidt, Peter P. Wakker
The utility of gambling, which entails an intrinsic utility or disutility of risk, has been alluded to in the economics literature for over a century. This paper demonstrates that any utility of...
Back to Bentham? Explorations of Experienced Utility.
Kahneman, Daniel, Wakker, Peter P, Sarin, Rakesh
Two core meanings of 'utility' are distinguished. 'Decision utility' is the weight of an outcome in a decision. 'Experienced utility' is a hedonic quality, as in J. Bentham's usage. Experienced...
Explaining the characteristics of the power (CRRA) utility family
The power family, also known as the family of constant relative risk aversion (CRRA), is the most widely used parametric family for fitting utility functions to data. Its characteristics have,...
Non-hyperbolic time inconsistency
Bleichrodt, Han, Rohde, Kirsten I.M., Wakker, Peter P.
The commonly used hyperbolic and quasi-hyperbolic discount functions have been developed to accommodate decreasing impatience, which is the prevailing empirical finding in intertemporal choice, in...
A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes-super-*
THEO OFFERMAN, JOEP SONNEMANS, PETER P. WAKKER
Proper scoring rules provide convenient and highly efficient tools for incentive-compatible elicitations of subjective beliefs. As traditionally used, however, they are valid only under expected...