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 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.