A multiattribute utility function can be represented by a function of single-attribute utility functions if the decision maker’s preference satisfies additive independence or mutually utility independence. Additive independence is a preference condition stronger than mutually utility independence, and the multiattribute utility function is in the additive form if the former condition is satisfi...

Studies of optimal growth in a multisector framework are generally addressed in reduced form models. These are defined by an indirect utility function which summarizes the consumers’ preferences and the technologies. Weak concavity assumptions of the indirect utility function allow one to prove differentiability of optimal solutions and stability of steady state. This paper shows that if the co...

The majority of real-world probabilistic systems are used by more than one user, thus a utility model must be elicited separately for each new user. Utility elicitation is long and tedious , particularly if the outcome space is large and not decomposable. Most research on utility elicitation focuses on making assumptions about the decomposability of the utility function. Here we make no assumpt...

We consider multi-attribute Bayesian optimization, where each design in an optimization problem’s feasible space is associated with a vector of attributes that can be evaluated via a time-consuming computer code, and each vector of attributes is assigned a utility according to a decision-maker’s utility function. A standard Bayesian optimization approach could be applied if the utility function...

The majority of real-world probabilistic systems are used by more than one user, thus a utility model must be elicited separately for each new user. Utility elicitation is long and tedious, particularly if the outcome space is large and not decomposable. Most research on utility elicitation focuses on making assumptions about the decomposability of the utility function. Here we make no assumpti...

We revisit the classical local Expected Utility analysis of Machina [30] and show which is its global behavioral foundation, as an illustration, we compute the local utilities for the Prospect Theory model. JEL classi…cation: D81 Keywords: Local utilities, Risk aversion, Multi–utility representation, Prospect theory 1 Introduction The seminal paper of Machina [30] showed that the global risk av...

This note proves that risk measures obtained by applying the equivalent utility principle in rank-dependent utility are additive if and only if the utility function is linear or exponential and the probability weighting (distortion) function is the identity.

The validity of the utility concept, particularly in an expected utility framework, has been questioned because of its inability to predict revealed behavior. In this paper we focus on the global shape of the utility function instead of the local shape of the utility function. We examine the extent of heterogeneity in the global shape of the utility function of decision makers and test whether ...