An Empirical Examination of Multiple Objective Risk Attitudes

We experimentally examined the relationships between the measurable value and utility functions of a nonmonetary multidimensional decision situation for a number of subjects. We found that value and utility were not equivalent constructs. We tested five families of functions and found the sigmoid fu...

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Bibliographic Details
Published inDecision analysis Vol. 12; no. 2; pp. 96 - 103
Main Authors Klimack, William K, Kloeber, Jr., Jack M, Bauer, Kenneth W, Oxley, Mark E
Format Journal Article
LanguageEnglish
Published Linthicum INFORMS 01.06.2015
Institute for Operations Research and the Management Sciences
Subjects
decision analysis
Decision-making
multiobjective
Probability
Risk aversion
risk aversion/tolerance
Utility functions
value theory/functions
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Summary:We experimentally examined the relationships between the measurable value and utility functions of a nonmonetary multidimensional decision situation for a number of subjects. We found that value and utility were not equivalent constructs. We tested five families of functions and found the sigmoid function performed best as a transform from value to utility. Constant relative risk aversion was not observed. The methods of probability equivalent and certainty equivalent utility elicitation provided similar results, which differs from previous work using economic decisions.
ISSN:1545-8490
1545-8504
DOI:10.1287/deca.2015.0312