Multi-Outcome Lotteries: Prospect Theory vs. Relative Utility

Additive Utility in Prospect Theory

Prospect theory is currently the main descriptive theory of decision under uncertainty. It generalizes expected utility by introducing nonlinear decision weighting and loss aversion. A difficulty in the study of multiattribute utility under prospect theory is to determine when an attribute yields a gain or a loss. One possibility, which has been adopted in the existing theoretical literature on...

Explaining Heterogeneity in Risk Preferences Using a Finite Mixture Model

This paper studies the effect of the space (distance) between lotteries' outcomes on risk-taking behavior and the shape of estimated utility and probability weighting functions. Previously investigated experimental data shows a significant space effect in the gain domain. As compared to low spaced lotteries, high spaced lotteries are associated with higher risk aversion for high probabilities o...

Multiple utility constrained multi-objective programs using Bayesian theory

A utility function is an important tool for representing a DM’s preference. We adjoin utility functions to multi-objective optimization problems. In current studies, usually one utility function is used for each objective function. Situations may arise for a goal to have multiple utility functions. Here, we consider a constrained multi-objective problem with each objective having multiple utili...

Non-expected Utility Theories: Weighted Expected, Rank Dependent, and, Cumulative Prospect Theory Utility

Non-Expected Utility Theories: Weighted Expected, Rank Dependent, and, Cumulative Prospect Theory Utility by