Theory of Generalized Risk Attitudes

Published Online:https://doi.org/10.1287/deca.2015.0322

References

  • Abbas AE (2007) Invariant utility functions and certain equivalent transformations. Decision Anal. 4(1):17–31.LinkGoogle Scholar
  • Abbas AE (2011) Decomposing the cross derivatives of a multiattribute utility function. Decision Anal. 8(2):103–116.LinkGoogle Scholar
  • Allais M (1953) Le comportement de l’homme rationnel devant le risque: Critique des postulats et axiomes de l’ecole Americaine. Econometrica 21(4):503–546.CrossrefGoogle Scholar
  • Allais M (1979) The foundations of a positive theory of choice involving risk and a criticism of the postulates and axioms of the American school. Allais M, Hagen O, eds. Expected Utility Hypotheses and the Allais Paradox (Reidel, Dordrecht), 27–145. [Translated into English from Allais, M (1953) Fondements d’une Théorie Positive des Choix Comportant un Risque et Critique des Postulats et Axiomes de L’Ecole Americaine. Colloques Internationaux du Centre National de la Recherche Scientifique (Econométrie) 40:257–332.]CrossrefGoogle Scholar
  • Amihud Y (1979) Critical examination of the new foundation of utility. Allais M, Hagen O, eds. Expected Utility Hypotheses and the Allais Paradox (Reidel, Dordrecth, Netherlands), 149–160.CrossrefGoogle Scholar
  • Bell DE, Raiffa H (1982) Marginal value and intrinsic risk attitude. Kunreuther H, ed. Risk: A Seminar Series (International Institute for Applied Systems Analysis, Laxenburg, Austria), 325–349.Google Scholar
  • Bernoulli D (1954) The exposition of a new theory on the measurement of risk. Econometrica 22(1):23–36. [Translated into English from Bernoulli, D. (1738). Specimen Theoriae Novae de Mensura Sortis. Commentarii Academiae Scientiarum Imperialis Petropolitanae 5:175–192.]CrossrefGoogle Scholar
  • Campión MJ, Candeal JC, Induráin E, Mehta GB (2012) Continuous order representability properties of topological spaces and algebraic structures. J. Korean Math. Soc. 49(3):449–473.CrossrefGoogle Scholar
  • Davey BA, Priestley HA (2002) Introduction to Lattices and Order, 2nd ed. (Cambridge University Press, Cambridge, UK).CrossrefGoogle Scholar
  • Dudley RM (2002) Real Analysis and Probability, 2nd ed. (Cambridge University Press, Cambridge, UK).CrossrefGoogle Scholar
  • Durrett R (2010) Probability: Theory and Examples, 4th ed. (Cambridge University Press, New York).CrossrefGoogle Scholar
  • Dyer JS, Sarin RK (1979) Measurable multiattribute value functions. Oper. Res. 27(4):810–822.LinkGoogle Scholar
  • Dyer JS, Sarin RK (1982) Relative risk aversion. Management Sci. 28(8):875–886.LinkGoogle Scholar
  • Fréchet M (1948) Les éléments aléatoires de nature quelconque dans un espace distancié. Annales de l’Institut Henri Poincaré 10(4):215–310.Google Scholar
  • French S (1986) Decision Theory—An Introduction to the Mathematics of Rationality (John Wiley & Sons, New York).Google Scholar
  • Jevons WS (1970) The Theory of Political Economy (Penguin Books, Harmondsworth, UK). [Originally published in (1871) by MacMillan.]Google Scholar
  • Jia J, Dyer JS (1996) A standard measure of risk and risk-value models. Management Sci. 42(12):1691–1705.LinkGoogle Scholar
  • Kahneman D, Tversky A (1979) Prospect theory: An analysis of decision under risk. Econometrica 47(2):263–291.CrossrefGoogle Scholar
  • Keeney RL, Raiffa H (1976) Decisions with Multiple Objectives: Preferences and Value Tradeoffs (John Wiley & Sons, New York).Google Scholar
  • Konno H, Yamazaki H (1991) Mean-absolute deviation portfolio optimization and its applications to the tokyo stock market. Management Sci. 37(5):519–531.LinkGoogle Scholar
  • Krantz DH, Luce RD, Suppes P, Tversky A (1971) Foundations of Measurement—Volume I: Additive and Polynomial Representations (Academic Press, New York).Google Scholar
  • Köbberling V (2006) Strength of preference and cardinal utility. Econom. Theory 27:375–391.CrossrefGoogle Scholar
  • Luce RD, Raiffa H (1957) Games and Decisions (John Wiley & Sons, New York).Google Scholar
  • Machina M (1982) “Expected utility” theory without the independence Axiom. Econometrica 50:277–323.CrossrefGoogle Scholar
  • Machina M (1987) Choice under uncertainty: Problems solved and unsolved. J. Econom. Perspect. 1(1):121–154.CrossrefGoogle Scholar
  • Machina M (1989) Dynamic consistency and non-expected utility models of choice under uncertainty. J. Econom. Lit. 27(4):1622–1668.Google Scholar
  • Markowitz HM (1952) Portfolio selection. J. Finance 7(1):77–91.Google Scholar
  • Markowitz HM (1959) Portfolio Selection: Efficient Diversification of Investments (John Wiley & Sons, New York).Google Scholar
  • Markowitz HM (1987) Mean-Variance Analysis in Portfolio Choice and Capital Markets (Basil Blackwell, New York).Google Scholar
  • Matheson JE, Abbas AE (2005) Utility transversality: A value-based approach. J. Multicriteria Decision Anal. 13:229–238.CrossrefGoogle Scholar
  • Ogryczak W, Ruszczyński A (1999) From stochastic dominance to mean-risk models: Semideviations as risk measures. Eur. J. Oper. Res. 116(1):33–50.CrossrefGoogle Scholar
  • Ogryczak W, Ruszczyński A (2001) On consistency of stochastic dominance and mean-semideviation models. Math. Program. Series B 89(2):217–232.CrossrefGoogle Scholar
  • Quiggin J (1982) A theory of anticipated utility. J. Econom. Behav. 3(4):323–343.CrossrefGoogle Scholar
  • Quiggin J (1993) Generalized Expected Utility Theory (Kluwer, Dordrecht, Netherlands).CrossrefGoogle Scholar
  • Samuelson PA (1952) Probability, utility and the independence axiom. Econometrica 20(4):670–678.CrossrefGoogle Scholar
  • Sarin RK (1982) Strength of preference and risky choice. Oper. Res. 30(5):982–997.LinkGoogle Scholar
  • Smidts A (1997) The relationship between risk attitude and strength of preference: A test of intrinsic risk attitude. Management Sci. 43(3):357–370.LinkGoogle Scholar
  • Starmer C (2000) Developments in non-expected utility theory: The hunt for a descriptive theory of choice under risk. J. Econom. Lit. 37:332–382.CrossrefGoogle Scholar
  • Sugden R (1986) New developments in the theory of choice under uncertainty. B. Econom. Res. 38(1):1–24.CrossrefGoogle Scholar
  • von Neumann J, Morgenstern O (1947) Theory of Games and Economic Behavior, 2nd ed. (Princeton University Press, Princeton).Google Scholar
  • Yaari ME (1987) The dual theory of choice under risk. Econometrica 55(1):95–115.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.