Hey, John D. and Lotito, Gianna and Maffioletti, Anna (2007) Choquet OK? [Discussion Paper]. Discussion Papers in Economics (Submitted)
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Official URL: http://www.york.ac.uk/media/economics/documents/di...
There is a large theoretical literature in both economics and psychology on decision making under ambiguity (as distinct from risk) and many preference functionals proposed in this literature for describing behaviour in such contexts. However, the empirical literature is scarce and largely confined to testing between various proposed functionals. Using a new design, in which we create genuine ambiguity in the laboratory and can control the amount of ambiguity, we generate data which enables us to estimate several of the proposed preference functionals. In particular, we fit Subjective Expected Utility, Prospect Theory, Choquet Expected Utility, Maximin, Maximax, and Minimum Regret preference functionals, and examine how the fit changes when we vary the ambiguity. We find that the Choquet formulation performs best overall, though it is clear that different decision makers have different functionals. We also identify new decision rules which are not explicitly modelled in the literature.
|Item Type:||Report / Paper (Discussion Paper)|
|Research documents and activity classification:||Working Papers > Non-Refereed Working Papers / of national relevance only|
|Divisions:||Department of Business and Management|
|Uncontrolled Keywords:||Ambiguity, Subjective Expected Utility, Prospect Theory, Choquet Expected Utility, Decision Making, Maximin, Maximax, Minimum Regret, Bingo Blower.|
|MIUR Scientific Area:||Area 13 - Economics and Statistics > SECS-P/01 Political Economy|
|Deposited By:||Maria Teresa Nistico|
|Deposited On:||03 Dec 2010 16:14|
|Last Modified:||19 Apr 2013 23:04|
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