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An Empirical Examination of Multiple Objective Risk Attitudes

Author

Listed:
  • William K. Klimack

    (Strategic Decision Analytics, The Woodlands, Texas 77354)

  • Jack M. Kloeber

    (Kromite LLC, Lambertville, New Jersey 08530)

  • Kenneth W. Bauer

    (Department of Operational Sciences, Air Force Institute of Technology, Wright-Patterson Air Force Base, Ohio 45433)

  • Mark E. Oxley

    (Department of Mathematics and Statistics, Air Force Institute of Technology, Wright-Patterson Air Force Base, Ohio 45433)

Abstract

We experimentally examined the relationships between the measurable value and utility functions of a nonmonetary multidimensional decision situation for a number of subjects. We found that value and utility were not equivalent constructs. We tested five families of functions and found the sigmoid function performed best as a transform from value to utility. Constant relative risk aversion was not observed. The methods of probability equivalent and certainty equivalent utility elicitation provided similar results, which differs from previous work using economic decisions.

Suggested Citation

  • William K. Klimack & Jack M. Kloeber & Kenneth W. Bauer & Mark E. Oxley, 2015. "An Empirical Examination of Multiple Objective Risk Attitudes," Decision Analysis, INFORMS, vol. 12(2), pages 96-103, June.
    • Handle: RePEc:inm:ordeca:v:12:y:2015:i:2:p:96-103
    DOI: 10.1287/deca.2015.0312
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    References listed on IDEAS

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    1. James S. Dyer & Rakesh K. Sarin, 1982. "Relative Risk Aversion," Management Science, INFORMS, vol. 28(8), pages 875-886, August.
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    3. John C. Hershey & Paul J. H. Schoemaker, 1985. "Probability Versus Certainty Equivalence Methods in Utility Measurement: Are they Equivalent?," Management Science, INFORMS, vol. 31(10), pages 1213-1231, October.
    4. James S. Dyer & Rakesh K. Sarin, 1979. "Measurable Multiattribute Value Functions," Operations Research, INFORMS, vol. 27(4), pages 810-822, August.
    5. Robert A. Dees & Scott T. Nestler & Robert Kewley, 2013. "WholeSoldier Performance Appraisal to Support Mentoring and Personnel Decisions," Decision Analysis, INFORMS, vol. 10(1), pages 82-97, March.
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