Stochastic expected utility theory
Stochastic expected utility theory
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DOI：
10.1007/s11166-007-9009-6
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发表时间：
2007-06-01
影响因子：
4.7
通讯作者：
Blavatskyy, Pavlo R.
中科院分区：
文献类型：
--
作者：
Blavatskyy, Pavlo R.
本文提出了一种新的决策理论，研究个体在计算风险彩票的预期效用时如何犯随机错误。当被错误扭曲时，彩票的预期效用永远不会超过（低于）最高（最低）结果的效用。这一假设意味着错误可能会高估（低估）彩票，而预期效用接近最低（最高）结果的效用。所提出的理论解释了许多程式化的经验事实，例如风险态度的四重模式、共同后果效应（阿莱悖论）、共同比率效应和介数违反。理论至少与累积前景理论一样符合十项著名实验研究的数据。
This paper proposes a new decision theory of how individuals make random errors when they compute the expected utility of risky lotteries. When distorted by errors, the expected utility of a lottery never exceeds (falls below) the utility of the highest (lowest) outcome. This assumption implies that errors are likely to overvalue (undervalue) lotteries with expected utility close to the utility of the lowest (highest) outcome. Proposed theory explains many stylized empirical facts such as the fourfold pattern of risk attitudes, common consequence effect (Allais paradox), common ratio effect and violations of betweenness. Theory fits the data from ten well-known experimental studies at least as well as cumulative prospect theory.