Testing and Characterizing Properties of Nonadditive Measures through Violations of the Sure-Thing Principle

Testing and Characterizing Properties of Nonadditive Measures through Violations of the Sure-Thing Principle

In expected utility theory, risk attitudes are modeled entirely in terms of utility. In the rank-dependent theories, a new dimension is added: chance attitude, modeled in terms of nonadditive measures or nonlinear probability transformations that are independent of utility. Most empirical studies of...

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Veröffentlicht in:Econometrica. - Wiley. - 69(2001), 4, Seite 1039-1059
1. Verfasser: Wakker, Peter P. (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2001
Zugriff auf das übergeordnete Werk:Econometrica
Schlagworte:Risk Attitude Rank-Dependent Comonotonic Choquet Expected Utility Prospect Theory Pessimism Optimism Sure-Thing Principle Behavioral sciences Economics mehr... Philosophy Mathematics
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520 |a In expected utility theory, risk attitudes are modeled entirely in terms of utility. In the rank-dependent theories, a new dimension is added: chance attitude, modeled in terms of nonadditive measures or nonlinear probability transformations that are independent of utility. Most empirical studies of chance attitude assume probabilities given and adopt parametric fitting for estimating the probability transformation. Only a few qualitative conditions have been proposed or tested as yet, usually quasi-concavity or quasi-convexity in the case of given probabilities. This paper presents a general method of studying qualitative properties of chance attitude such as optimism, pessimism, and the "inverse-S shape" pattern, both for risk and for uncertainty. These qualitative properties can be characterized by permitting appropriate, relatively simple, violations of the sure-thing principle. In particular, this paper solves a hitherto open problem: the preference axiomatization of convex ("pessimistic" or "uncertainty averse") nonadditive measures under uncertainty. The axioms of this paper preserve the central feature of rank-dependent theories, i.e. the separation of chance attitude and utility. 
540 |a Copyright 2001 Econometric Society 
650 4 |a Risk Attitude 
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650 4 |a Philosophy  |x Logic  |x Paradoxes 
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650 4 |a Mathematics  |x Pure mathematics  |x Geometry  |x Geometric properties  |x Convexity 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Financial markets  |x Market conditions  |x Economic uncertainty 
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650 4 |a Behavioral sciences  |x Psychology  |x Personality psychology  |x Personality  |x Personality traits  |x Optimism 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial management  |x Financial risk 
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773 0 8 |i Enthalten in  |t Econometrica  |d Wiley  |g 69(2001), 4, Seite 1039-1059  |w (DE-627)270425721  |w (DE-600)1477253-X  |x 14680262  |7 nnns 
773 1 8 |g volume:69  |g year:2001  |g number:4  |g pages:1039-1059 
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