Ordinal utility models of decision making under uncertainty
Ordinal utility models of decision making under uncertainty
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不确定性下决策的序数效用模型
DOI：
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发表时间：
1988
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通讯作者：
C. Manski
中科院分区：
文献类型：
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作者：
C. Manski
本文研究了两种不确定性下的理性行为模型，它们的预测在效用的序变换下是不变的。分位数效用模型假设代理人最大化效用分布的某个分位数。“效用质量”模型假设获得效用高于某个固定临界值的结果的概率最大化。这两个模型都满足弱随机优势。词典式的改进满足了强优势。对这些效用模型的研究表明对风险和风险偏好的传统观念的重大概括。我们定义一个行动比另一个行动风险更大，如果后者的效用分布从下面穿过前者。单交叉属性等价于随机变量的“最小最大分布”。在相对风险由单一交叉准则定义的情况下，分位数效用最大化者的风险偏好随着他最大化的效用分布分位数而增加。效用质量最大化者的风险偏好随着他的临界效用值的增加而增加。
This paper studies two models of rational behavior under uncertainty whose predictions are invariant under ordinal transformations of utility. The ‘quantile utility’ model assumes that the agent maximizes some quantile of the distribution of utility. The ‘utility mass’ model assumes maximization of the probability of obtaining an outcome whose utility is higher than some fixed critical value. Both models satisfy weak stochastic dominance. Lexicographic refinements satisfy strong dominance.The study of these utility models suggests a significant generalization of traditional ideas of riskiness and risk preference. We define one action to be riskier than another if the utility distribution of the latter crosses that of the former from below. The single crossing property is equivalent to a ‘minmax spread’ of a random variable. With relative risk defined by the single crossing criterion, the risk preference of a quantile utility maximizer increases with the utility distribution quantile that he maximizes. The risk preference of a utility mass maximizer increases with his critical utility value.