Making descriptive use of prospect theory to improve the prescriptive use of expected utility
Making descriptive use of prospect theory to improve the prescriptive use of expected utility
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DOI：
10.1287/mnsc.47.11.1498.10248
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发表时间：
2001-11-01
影响因子：
5.4
通讯作者：
Wakker, PP
中科院分区：
文献类型：
--
作者：
Bleichrodt, H;Pinto, JL;Wakker, PP
本文提出了对标准效用启发程序的定量修改，例如概率和确定性方法，以纠正通常观察到的违反预期效用的行为。传统上，决策分析不仅为了计算最佳决策的规定目的，而且出于启发公用事业的描述目的，就假定了预期的效用。但是，描述性违反了预期的效用偏见效用。当发现在预期的效用下应产生相同的实用性的不同效用启发方法之间发现系统差异时，这种偏见是有效的。由于尚不清楚如何在没有进一步了解它们的大小或性质的情况下纠正这些偏见，因此大多数效用仍通过预期的效用公式计算公用事业。本文通过使用前景理论提出的概率转化和损失厌恶厌恶的定量评估来推测偏见及其大小。它为概率和确定性等效方法提供了定量校正。如果不可能纠正交互式会话，则作者建议在最佳决策处方中使用校正的实用程序，而不是未校正的实用程序。在一个实验中，作者的建议消除了概率和确定性等效方法之间的差异。
This paper proposes a quantitative modification of standard utility elicitation procedures, such as the probability and certainty equivalence methods, to correct for commonly observed violations of expected utility. Traditionally, decision analysis assumes expected utility not only for the prescriptive purpose of calculating optimal decisions but also for the descriptive purpose of eliciting utilities. However, descriptive violations of expected utility bias utility elicitations. That such biases are effective became clear when systematic discrepancies were found between different utility elicitation methods that, under expected utility, should have yielded identical utilities. As it is not clear how to correct for these biases without further knowledge of their size or nature, most utility elicitations still calculate utilities by means of the expected utility formula. This paper speculates on the biases and their sizes by using the quantitative assessments of probability transformation and loss aversion suggested by prospect theory. It presents quantitative corrections for the probability and certainty equivalence methods. If interactive sessions to correct for biases are not possible, then the authors propose to use the corrected utilities rather than the uncorrected ones in prescriptions of optimal decisions. In an experiment, the discrepancies between the probability and certainty equivalence methods are removed by the authors' proposal.