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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Published in | Decision analysis Vol. 12; no. 2; pp. 96 - 103 |
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Main Authors | , , , |
Format | Journal Article |
Language | English |
Published |
Linthicum
INFORMS
01.06.2015
Institute for Operations Research and the Management Sciences |
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Abstract | 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. |
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AbstractList | 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. |
Audience | Trade |
Author | Klimack, William K Kloeber, Jr., Jack M Oxley, Mark E Bauer, Kenneth W |
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Cites_doi | 10.1287/mnsc.28.8.875 10.1017/CBO9781139174084 10.1287/opre.27.4.810 10.1287/mnsc.31.10.1213 10.1109/TSMC.1985.6313413 10.1287/deca.1120.0263 |
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SubjectTerms | decision analysis Decision-making multiobjective Probability Risk aversion risk aversion/tolerance Utility functions value theory/functions |
Title | An Empirical Examination of Multiple Objective Risk Attitudes |
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