Are Universal Preferences Possible? Calibration Results for Non-Expected Utility Theories

经济学和管理学中的标准模型认为，组织的原子是以其天赋(财富、技能、知识)和偏好为特征的单位(个人、家庭、公司)。当从彩票菜单中进行选择时，决策者将根据这些偏好来选择最好的彩票。最近，拉宾发现，在预期效用理论中，对小额彩票的适度风险厌恶(例如，拒绝中奖110美元或输掉100美元的机会)会导致对大额彩票的荒谬程度的风险厌恶(例如，拒绝中奖1200万美元或输掉2000美元的机会)。对拉宾的结果的一种可能的解释是，这是另一种反对期望效用理论的论点。拟议研究的目的是表明，类似的论点适用于所有已知的风险下决策模型(即概率已知的彩票)，在一定程度上甚至适用于不确定(概率未知)下的决策模型。这样的结果将对过去25年发展的模型提出理论上的挑战，在这些模型中，标准假设是每个决策者都具有一种普遍的优先于彩票的关系。这项拟议研究的一个可能含义是，每个经济主体都应该有一套这样的偏好，至少在风险和不确定性下做出决策时是这样。尽管这一观点在心理学中广为人知，但它还没有被经济学家完全接受。这项拟议的研究将为这一直观的想法提供数学支持。

Standard models in Economics and Managerial Sciences consider atoms of organizations as units (individuals, families, firms) who are characterized by their endowments (wealth, skills, knowledge) and by their preferences. When choosing from a menu of lotteries, a decision maker will choose the best lottery according to these preferences. Recently, Rabin discovered that within expected utility theory, a moderate level of risk aversion with respect to small lotteries (e.g., a rejection of an even chance to win $110 or lose $100) results in absurd degree of risk aversion with respect to large lotteries (for example, rejection of an even chance to win $12 million or lose $2,000). A possible interpretation of Rabin's results is that it is yet another argument against expected utility theory. The aim of the proposed research is to show that similar arguments hold against all known models of decision making under risk (that is, lotteries with known probabilities), and to a certain extent, even against models of decision making under uncertainty (where probabilities are unknown). Such results will present a theoretical challenge to the models that were developed in the last 25 years, where the standard assumption is that each decision maker is possessed with one, universal preference relation over lotteries. One possible implication of the proposed research is that each economic agent should be characterized by a set of such preferences, at least when making decision under risk and uncertainty. Although this idea is well known in psychology, it is not yet fully acceptable by economists. The proposed research will give a mathematical support for this intuitive idea.