Incremental Decision Making Under Risk with the Weighted Expected Utility Model
نویسندگان
چکیده
This paper deals with decision making under risk with the Weighted Expected Utility (WEU) model, which is a model generalizing expected utility and providing stronger descriptive possibilities. We address the problem of identifying, within a given set of lotteries, a (near-)optimal solution for a given decision maker consistent with the WEU theory. The WEU model is parameterized by two real-valued functions. We propose here a new incremental elicitation procedure to progressively reduce the imprecision about these functions until a robust decision can be made. We also give experimental results showing the practical efficiency of our method.
منابع مشابه
Incremental Preference Elicitation for Decision Making Under Risk with the Rank-Dependent Utility Model
This work concerns decision making under risk with the rank-dependent utility model (RDU), a generalization of expected utility providing enhanced descriptive possibilities. We introduce a new incremental decision procedure, involving monotone regression spline functions to model both components of RDU, namely the probability weighting function and the utility function. First, assuming the util...
متن کاملRisk premiums and certainty equivalents of loss-averse newsvendors of bounded utility
Loss-averse behavior makes the newsvendors avoid the losses more than seeking the probable gains as the losses have more psychological impact on the newsvendor than the gains. In economics and decision theory, the classical newsvendor models treat losses and gains equally likely, by disregarding the expected utility when the newsvendor is loss-averse. Moreover, the use of unbounded utility to m...
متن کاملRational Choice Theory: A Cultural Reconsideration
Economists have heralded the formulation of the expected utility theorem as a universal method of choice under uncertainty. In their seminal paper, Stigler and Becker (Stigler & Becker, 1977) declared that “human behavior can be explained by a generalized calculus of utility-maximizing behavior” (p.76). The universality of the rational choice theory has been widely criticized by psychologists, ...
متن کاملEffect of Cognitive Biases on Rationality of Economic Decision Making under Risk among Students of Shahid Beheshti University
The purpose of this study is to determine the quality of individual economic decision making under risk and uncertainty. The research method is a quasi-experiment with single group and a post-test. The total population of the students of Shahid Beheshti University in 97 was 8.700 and due to non-normal distribution, we should use non-parametric Wilcoxon test, with sample of 180. The tool used to...
متن کاملTowards a Constructive Approach toAct - Conditional Subjective Expected Utility
In structuring a decision problem under uncertainty, the uncertain environment may be a ected by the choice of an act. In decision making, the decision maker evaluates subjective probabilities and utilities with auxiliary references separately, and then combines the two components together consistently as the index of his preference over decision alternatives. Based on these two considerations,...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2017