Asymptotic Theory Of Stochastic Choice Functionals For Prospects With Embedded Comotonic Probability Measures
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- McFadden, Daniel, 1980. "Econometric Models for Probabilistic Choice among Products," The Journal of Business, University of Chicago Press, vol. 53(3), pages 13-29, July.
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- Gerard Debreu, 1957. "Stochastic Choice and Cardinal Utility," Cowles Foundation Discussion Papers 39, Cowles Foundation for Research in Economics, Yale University.
- Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521747387.
- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Dagsvik, John K., 2008.
"Axiomatization of stochastic models for choice under uncertainty,"
Mathematical Social Sciences, Elsevier, vol. 55(3), pages 341-370, May.
- John K. Dagsvik, 2006. "Axiomatization of Stochastic Models for Choice under Uncertainty," Discussion Papers 465, Statistics Norway, Research Department.
- Lowenstein, George & Prelec, Drazen, 1991. "Negative Time Preference," American Economic Review, American Economic Association, vol. 81(2), pages 347-352, May.
- Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
- George Wu & Richard Gonzalez, 1999. "Nonlinear Decision Weights in Choice Under Uncertainty," Management Science, INFORMS, vol. 45(1), pages 74-85, January.
- Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555.
- George Wu & Richard Gonzalez, 1996. "Curvature of the Probability Weighting Function," Management Science, INFORMS, vol. 42(12), pages 1676-1690, December.
- Drazen Prelec, 1998. "The Probability Weighting Function," Econometrica, Econometric Society, vol. 66(3), pages 497-528, May.
- Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Li, Baibing & Hensher, David A., 2017. "Risky weighting in discrete choice," Transportation Research Part B: Methodological, Elsevier, vol. 102(C), pages 1-21.
- Galarza, Francisco, 2009.
"Choices under Risk in Rural Peru,"
MPRA Paper
17708, University Library of Munich, Germany.
- Galarza, Francisco B., 2009. "Choices under Risk in Rural Peru," Staff Papers 92247, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
- Galarza, Francisco B., 2009. "Choices under Risk in Rural Peru," Staff Paper Series 542, University of Wisconsin, Agricultural and Applied Economics.
- Francisco Galarza, 2009. "Choices under risk in rural peru," Artefactual Field Experiments 00047, The Field Experiments Website.
- Matthieu De Lapparent & Moshe Ben-Akiva, 2014. "Risk Aversion in Travel Mode Choice with Rank-Dependent Utility," Mathematical Population Studies, Taylor & Francis Journals, vol. 21(4), pages 189-204, December.
- Levon Barseghyan & Francesca Molinari & Ted O'Donoghue & Joshua C. Teitelbaum, 2013.
"The Nature of Risk Preferences: Evidence from Insurance Choices,"
American Economic Review, American Economic Association, vol. 103(6), pages 2499-2529, October.
- Barseghyan, Levon & Molinari, Francesca & O'Donoghue, Ted & Teitelbaum, Joshua C., 2011. "The Nature of Risk Preferences: Evidence from Insurance Choices," Working Papers 11-03, Cornell University, Center for Analytic Economics.
- Levon Barseghyan & Francesca Molinari & Ted O'Donoghue & Joshua C. Teitelbaum, 2012. "The Nature of Risk Preferences: Evidence from Insurance Choices," CESifo Working Paper Series 3933, CESifo.
- Wilcox, Nathaniel T., 2011.
"'Stochastically more risk averse:' A contextual theory of stochastic discrete choice under risk,"
Journal of Econometrics, Elsevier, vol. 162(1), pages 89-104, May.
- Wilcox, Nathaniel, 2007. "Stochastically more risk averse: A contextual theory of stochastic discrete choice under risk," MPRA Paper 11851, University Library of Munich, Germany.
- Andre Palma & Moshe Ben-Akiva & David Brownstone & Charles Holt & Thierry Magnac & Daniel McFadden & Peter Moffatt & Nathalie Picard & Kenneth Train & Peter Wakker & Joan Walker, 2008.
"Risk, uncertainty and discrete choice models,"
Marketing Letters, Springer, vol. 19(3), pages 269-285, December.
- André de Palma & Moshe Ben-Akiva & David Brownstone & Charles Holt & Thierry Magnac & Daniel McFadden & Peter Moffatt & Nathalie Picard & Kenneth Train & Peter Wakker & Joan Walker, 2008. "Risk, Uncertainty and Discrete Choice Models," THEMA Working Papers 2008-02, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Benjamin L. Collier & Daniel Schwartz & Howard C. Kunreuther & Erwann O. Michel‐Kerjan, 2022. "Insuring large stakes: A normative and descriptive analysis of households' flood insurance coverage," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(2), pages 273-310, June.
- Filiz-Ozbay, Emel & Guryan, Jonathan & Hyndman, Kyle & Kearney, Melissa & Ozbay, Erkut Y., 2015.
"Do lottery payments induce savings behavior? Evidence from the lab,"
Journal of Public Economics, Elsevier, vol. 126(C), pages 1-24.
- Emel Filiz-Ozbay & Jonathan Guryan & Kyle Hyndman & Melissa Schettini Kearney & Erkut Y. Ozbay, 2013. "Do Lottery Payments Induce Savings Behavior: Evidence from the Lab," NBER Working Papers 19130, National Bureau of Economic Research, Inc.
- Aurélien Baillon & Han Bleichrodt & Umut Keskin & Olivier l’Haridon & Chen Li, 2018.
"The Effect of Learning on Ambiguity Attitudes,"
Management Science, INFORMS, vol. 64(5), pages 2181-2198, May.
- Aurélien Baillon & Han Bleichrodt & Umut Keskin & Olivier L’haridon & Chen Li, 2018. "The Effect of Learning on Ambiguity Attitudes," Post-Print halshs-01525391, HAL.
- Anna Conte & Peter G Moffatt & Mary Riddel, 2019. "The Multivariate Random Preference Estimatorfor Switching Multiple Price List Data," University of East Anglia School of Economics Working Paper Series 2019-04, School of Economics, University of East Anglia, Norwich, UK..
- Laurent Denant-Boemont & Olivier L’Haridon, 2013.
"La rationalité à l'épreuve de l'économie comportementale,"
Revue française d'économie, Presses de Sciences-Po, vol. 0(2), pages 35-89.
- Laurent Denant-Boèmont & Olivier l'Haridon, 2013. "La rationalité à l’épreuve de l’économie comportementale," Economics Working Paper Archive (University of Rennes & University of Caen) 201323, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
- Laurent Denant-Boèmont & Olivier L’haridon, 2013. "La rationalité à l'épreuve de l'économie comportementale," Post-Print halshs-00921070, HAL.
- Ferdinand M. Vieider & Clara Villegas-Palacio & Peter Martinsson & Milagros Mejía, 2016.
"Risk Taking For Oneself And Others: A Structural Model Approach,"
Economic Inquiry, Western Economic Association International, vol. 54(2), pages 879-894, April.
- Vieider, Ferdinand M. & Villegas-Palacio, Clara & Martinsson, Peter & Mejía, Milagros, 2015. "Risk taking for oneself and others: A structural model approach," Discussion Papers, WZB Junior Research Group Risk and Development SP II 2015-401, WZB Berlin Social Science Center.
- Qian Wu & Monique Vanerum & Anouk Agten & Andrés Christiansen & Frank Vandenabeele & Jean-Michel Rigo & Rianne Janssen, 2021. "Certainty-Based Marking on Multiple-Choice Items: Psychometrics Meets Decision Theory," Psychometrika, Springer;The Psychometric Society, vol. 86(2), pages 518-543, June.
- Michael Kilka & Martin Weber, 2001.
"What Determines the Shape of the Probability Weighting Function Under Uncertainty?,"
Management Science, INFORMS, vol. 47(12), pages 1712-1726, December.
- Kilka, Michael & Weber, Martin, 1998. "What Determines the Shape of the Probability Weighting Function under Uncertainty?," Sonderforschungsbereich 504 Publications 98-11, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Martina Nardon & Paolo Pianca, 2019. "Behavioral premium principles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 229-257, June.
- José Lara Resende & George Wu, 2010. "Competence effects for choices involving gains and losses," Journal of Risk and Uncertainty, Springer, vol. 40(2), pages 109-132, April.
- Ranoua Bouchouicha & Ferdinand M. Vieider, 2017.
"Accommodating stake effects under prospect theory,"
Journal of Risk and Uncertainty, Springer, vol. 55(1), pages 1-28, August.
- Ranoua Bouchouicha & Ferdinand Vieider, 2016. "Accommodating Stake Effects under Prospect Theory," Economics Discussion Papers em-dp2016-03, Department of Economics, University of Reading.
- Martina Nardon & Paolo Pianca, 2019. "European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions," Computational Management Science, Springer, vol. 16(1), pages 249-274, February.
- Martina Nardon & Paolo Pianca, 2014. "European option pricing with constant relative sensitivity probability weighting function," Working Papers 2014:25, Department of Economics, University of Venice "Ca' Foscari".
- Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv, Center for Open Science.
More about this item
Keywords
monotone class theorem; stochastic choice functional; embedded probability; comonotonic probability; isomorphism;All these keywords.
JEL classification:
- D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2010-05-02 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:22380. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.