We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Parameter-Free Elicitation of Utility and Probability Weighting Functions.
- Authors
Abdellaoui, Mohammed
- Abstract
This paper proposes a two-step method to successively elicit utility functions and decision weights under rank-dependent expected utility theory and its "more descriptive" version: cumulative prospect theory. The novelty of the method is that it is parameter-free, and thus elicits the whole individual preference functional without imposing any prior restriction. This method is used in an experimental study to elicit individual utility and probability weighting functions for monetary outcomes in the gain and loss domains. Concave utility functions are obtained for gains and convex utility functions for losses. The elicited weighting functions satisfy upper and lower subadditivity and are consistent with previous parametric estimations. The data also show that the probability weighting function for losses is more "elevated" than for gains.
- Subjects
UTILITY theory; UTILITY functions; MATHEMATICAL models of decision making; PROBABILITY theory; STATISTICAL weighting; DECISION making; PROSPECT theory; PROFIT; MATHEMATICAL models
- Publication
Management Science, 2000, Vol 46, Issue 11, p1497
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.46.11.1497.12080