A Note on the Utility Function Under Prospect Theory PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Note on the Utility Function Under Prospect Theory PDF full book. Access full book title A Note on the Utility Function Under Prospect Theory by Ali al-Nowaihi. Download full books in PDF and EPUB format.
Author: Ali al-Nowaihi
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
Get Book Here
Book Description
We show that preference-homogeneity and loss-aversion are necessary and sufficient for the value function to have the power form with identical powers for gains and losses and for the probability weighting functions for gains and losses to be identical.
Author: Ali al-Nowaihi
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
Get Book Here
Book Description
We show that preference-homogeneity and loss-aversion are necessary and sufficient for the value function to have the power form with identical powers for gains and losses and for the probability weighting functions for gains and losses to be identical.
Author: Paul W. Glimcher
Publisher: Academic Press
ISBN: 0123914698
Category : Psychology
Languages : en
Pages : 606
Get Book Here
Book Description
In the years since it first published, Neuroeconomics: Decision Making and the Brain has become the standard reference and textbook in the burgeoning field of neuroeconomics. The second edition, a nearly complete revision of this landmark book, will set a new standard. This new edition features five sections designed to serve as both classroom-friendly introductions to each of the major subareas in neuroeconomics, and as advanced synopses of all that has been accomplished in the last two decades in this rapidly expanding academic discipline. The first of these sections provides useful introductions to the disciplines of microeconomics, the psychology of judgment and decision, computational neuroscience, and anthropology for scholars and students seeking interdisciplinary breadth. The second section provides an overview of how human and animal preferences are represented in the mammalian nervous systems. Chapters on risk, time preferences, social preferences, emotion, pharmacology, and common neural currencies—each written by leading experts—lay out the foundations of neuroeconomic thought. The third section contains both overview and in-depth chapters on the fundamentals of reinforcement learning, value learning, and value representation. The fourth section, “The Neural Mechanisms for Choice, integrates what is known about the decision-making architecture into state-of-the-art models of how we make choices. The final section embeds these mechanisms in a larger social context, showing how these mechanisms function during social decision-making in both humans and animals. The book provides a historically rich exposition in each of its chapters and emphasizes both the accomplishments and the controversies in the field. A clear explanatory style and a single expository voice characterize all chapters, making core issues in economics, psychology, and neuroscience accessible to scholars from all disciplines. The volume is essential reading for anyone interested in neuroeconomics in particular or decision making in general. Editors and contributing authors are among the acknowledged experts and founders in the field, making this the authoritative reference for neuroeconomics Suitable as an advanced undergraduate or graduate textbook as well as a thorough reference for active researchers Introductory chapters on economics, psychology, neuroscience, and anthropology provide students and scholars from any discipline with the keys to understanding this interdisciplinary field Detailed chapters on subjects that include reinforcement learning, risk, inter-temporal choice, drift-diffusion models, game theory, and prospect theory make this an invaluable reference Published in association with the Society for Neuroeconomics—www.neuroeconomics.org Full-color presentation throughout with numerous carefully selected illustrations to highlight key concepts
Author: Daniel Kahneman
Publisher:
ISBN:
Category : Utility theory
Languages : en
Pages : 27
Get Book Here
Book Description
Author: Leonard C. MacLean
Publisher: World Scientific
ISBN: 9814417351
Category : Business & Economics
Languages : en
Pages : 941
Get Book Here
Book Description
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Author: Hilda Kammoun
Publisher:
ISBN:
Category :
Languages : en
Pages : 255
Get Book Here
Book Description
This work elicits the utility functions of financial practitioners and measures their loss aversion coefficients under prospect theory (1992) using the parameter-free method of Abdellaoui et al. (2006). The measurements in the field corroborate the latter's measurements in the laboratory regarding the concavity of the utility function for gains and convexity for losses. However, although loss aversion exists in the aggregate, the median practitioner is found to be less loss averse than the median student. Conditions that characterize a real market experience but are difficult to realize in the artificial context of the laboratory may account for the behavioral difference. Among them are the schooling in the assessment of prospects, the volatility of the market and the Wall Street's compensation incentives. An important proviso is that the preferences of the students/practitioners analyzed following another method reflect consistent preferences. The qualitative investigation of the preferences of MBA students using the parameter-free method developed by Baucells and Heukamp (2006) supports the results of Abdellaoui et al.'s (2006) for students. A noteworthy result is the strong tendency to shift from loss aversion to gain seeking for the higher overall probability of gain or the higher probability of maximal gain combined with a limited extreme loss.
Author: Daniel Friedman
Publisher: Routledge
ISBN: 1317821238
Category : Business & Economics
Languages : en
Pages : 171
Get Book Here
Book Description
For several decades, the orthodox economics approach to understanding choice under risk has been to assume that each individual person maximizes some sort of personal utility function defined over purchasing power. This new volume contests that even the best wisdom from the orthodox theory has not yet been able to do better than supposedly naïve models that use rules of thumb, or that focus on the consumption possibilities and economic constraints facing the individual. The authors assert this by first revisiting the origins of orthodox theory. They then recount decades of failed attempts to obtain meaningful empirical validation or calibration of the theory. Estimated shapes and parameters of the "curves" have varied erratically from domain to domain (e.g., individual choice versus aggregate behavior), from context to context, from one elicitation mechanism to another, and even from the same individual at different time periods, sometimes just minutes apart. This book proposes the return to a simpler sort of scientific theory of risky choice, one that focuses not upon unobservable curves but rather upon the potentially observable opportunities and constraints facing decision makers. It argues that such an opportunities-based model offers superior possibilities for scientific advancement. At the very least, linear utility – in the presence of constraints - is a useful bar for the "curved" alternatives to clear.
Author: Fouad Sabry
Publisher: One Billion Knowledgeable
ISBN:
Category : Business & Economics
Languages : en
Pages : 280
Get Book Here
Book Description
What is Prospect Theory Prospect theory is a theory of behavioral economics, judgment, and decision making that was established by Daniel Kahneman and Amos Tversky in 1979. Prospect theory was named after the aforementioned scholars. The theory was taken into consideration when Kahneman was selected to receive the Nobel Memorial Prize in Economics in the year 2002. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Prospect theory Chapter 2: Behavioral economics Chapter 3: Risk aversion Chapter 4: Decision theory Chapter 5: Loss aversion Chapter 6: Expected utility hypothesis Chapter 7: Mental accounting Chapter 8: Allais paradox Chapter 9: Stochastic dominance Chapter 10: Cumulative prospect theory Chapter 11: Merton's portfolio problem Chapter 12: Rank-dependent expected utility Chapter 13: Lévy-Prokhorov metric Chapter 14: Choquet integral Chapter 15: Von Neumann-Morgenstern utility theorem Chapter 16: Certainty effect Chapter 17: End-of-the-day betting effect Chapter 18: Mean-field game theory Chapter 19: Risk aversion (psychology) Chapter 20: Priority heuristic Chapter 21: Uncertainty effect (II) Answering the public top questions about prospect theory. (III) Real world examples for the usage of prospect theory in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Prospect Theory.
Author: Salvador Barbera
Publisher: Springer Science & Business Media
ISBN: 9781402077142
Category : Business & Economics
Languages : en
Pages : 652
Get Book Here
Book Description
The main purpose of the Handbook of Utility Theory is to make more widely available some recent developments in the area. The editors selected a list of topics that seemed ripe enough to be covered by review articles. Then they invited contributions from researchers whose expert work had come to their attention. So the list of topics and contributors is largely the editors' responsibility. Each contributor's chapter has been refereed, and revised according to the referees' remarks. Whereas Volume I of the Handbook of Utility Theory is largely concentrated on basic theory, the present volume is concerned with extensions and applications to other branches of economic theory. Taken together, these first two volumes contain all the purely theoretical material that the editors planned to cover. The chapters on experimental and empirical research on utility and the chapters on the history of utility theory will appear in Volume III.
Author: Peter P. Wakker
Publisher: Cambridge University Press
ISBN: 1139489100
Category : Business & Economics
Languages : en
Pages : 519
Get Book Here
Book Description
Prospect Theory: For Risk and Ambiguity, provides a comprehensive and accessible textbook treatment of the way decisions are made both when we have the statistical probabilities associated with uncertain future events (risk) and when we lack them (ambiguity). The book presents models, primarily prospect theory, that are both tractable and psychologically realistic. A method of presentation is chosen that makes the empirical meaning of each theoretical model completely transparent. Prospect theory has many applications in a wide variety of disciplines. The material in the book has been carefully organized to allow readers to select pathways through the book relevant to their own interests. With numerous exercises and worked examples, the book is ideally suited to the needs of students taking courses in decision theory in economics, mathematics, finance, psychology, management science, health, computer science, Bayesian statistics, and engineering.
Author: Songsak Sriboonchita
Publisher: CRC Press
ISBN: 9781420082678
Category : Business & Economics
Languages : en
Pages : 455
Get Book Here
Book Description
Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
