Cumulative Prospect Theory for Parametric and Multiattribute Utilities

Cumulative Prospect Theory for Parametric and Multiattribute Utilities

Different attitudes towards gains and losses are a prominent feature of cumulative prospect theory for decision under uncertainty. In particular, decision weights for uncertain events can depend on whether the events involve gains or losses, and the shape of the utility function can reveal loss aver...

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Veröffentlicht in:Mathematics of Operations Research. - Institute for Operations Research and the Management Sciences. - 26(2001), 1, Seite 67-81
1. Verfasser: Zank, Horst (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2001
Zugriff auf das übergeordnete Werk:Mathematics of Operations Research
Schlagworte:Cumulative prospect theory Constant absolute (proportional) risk aversion Multiattribute utility theory Economics Behavioral sciences Mathematics Philosophy
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520 |a Different attitudes towards gains and losses are a prominent feature of cumulative prospect theory for decision under uncertainty. In particular, decision weights for uncertain events can depend on whether the events involve gains or losses, and the shape of the utility function can reveal loss aversion. Decision analyses concentrate on event capacities, which determine decision weights, and on the shape of the utility function. The present paper focuses on linear/exponential, power-function and multilinear utility models for decision under uncertainty. We begin with straightforward preference axioms for a representation by a cumulative prospect theory functional. The axioms include weak ordering, continuity, monotonicity and tail independence. We show that in their presence constant absolute (proportional) risk aversion implies linear/exponential (power) utility. Then, for the multiattribute case, (mutual) utility independence leads to a utility function that is (additive/multiplicative) multilinear. 
540 |a Copyright 2001 Institute for Operations Research and the Management Sciences 
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650 4 |a Multiattribute utility theory 
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