Fat Tails in Human Judgment: Empirical Evidence and Implications for the Aggregation of Estimates and Forecasts

Published Online:https://doi.org/10.1287/mnsc.2022.04006

References

  • Armstrong JS (2001) Combining forecasts. Armstrong JS, ed. Principles of Forecasting: A Handbook for Researchers and Practitioners (Kluwer Academic Publishers, Norwell, MA), 417–439.CrossrefGoogle Scholar
  • Clemen RT (1989) Combining forecasts: A review and annotated bibliography. Internat. J. Forecasting 5(4):559–583.CrossrefGoogle Scholar
  • Clemen RT, Winkler RL (1993) Aggregating point estimates: A flexible modeling approach. Management Sci. 39(4):501–515.LinkGoogle Scholar
  • Fang LH, Yasuda A (2014) Are stars’ opinions worth more? The relation between analyst reputation and recommendation values. J. Financial Services Res. 46:235–269.CrossrefGoogle Scholar
  • Gelman A (2006) Prior distributions for variance parameters in hierarchical models. Bayesian Anal. 1(3):515–534.CrossrefGoogle Scholar
  • Huber PJ, Ronchetti EM (2009) Robust Statistics. 2nd ed. (John Wiley & Sons, Hoboken, NJ).CrossrefGoogle Scholar
  • Kahneman D (2011) Thinking, Fast and Slow (Farrar, Straus and Giroux, New York).Google Scholar
  • Kotz S, Kozubowski T, Podgórski K (2001) The Laplace Distribution and Generalizations: A Revisit with Applications to Communications, Economics, Engineering, and Finance (Birkhäuser, Boston).CrossrefGoogle Scholar
  • Larrick RP, Soll JB (2006) Intuitions about combining opinions: Misappreciation of the averaging principle. Management Sci. 52(1):111–127.LinkGoogle Scholar
  • Lawrence M, Goodwin P, O’Connor M, Önkal D (2006) Judgmental forecasting: A review of progress over the last 25 years. Internat. J. Forecasting 22(3):493–518.CrossrefGoogle Scholar
  • Lye JN, Martin VL (1993) Robust estimation, nonnormalities, and generalized exponential distributions. J. Amer. Statist. Assoc. 88(421):261–267.CrossrefGoogle Scholar
  • Makridakis S, Winkler RL (1983) Averages of forecasts: Some empirical results. Management Sci. 29(9):987–996.LinkGoogle Scholar
  • Nadarajah S (2005) A generalized normal distribution. J. Appl. Statist. 32(7):685–694.CrossrefGoogle Scholar
  • Nelson DB (1991) Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59(2):347–370.CrossrefGoogle Scholar
  • Palley AB, Satopää VA (2023) Boosting the wisdom of crowds within a single judgment problem: Weighted averaging based on peer predictions. Management Sci. 69(9):5128–5146.LinkGoogle Scholar
  • Palley AB, Soll JB (2019) Extracting the wisdom of crowds when information is shared. Management Sci. 65(5):2291–2309.AbstractGoogle Scholar
  • Rader CA, Soll JB, Larrick RP (2015) Pushing away from representative advice: Advice taking, anchoring, and adjustment. Organ. Behav. Human Decision Processes 130:26–43.CrossrefGoogle Scholar
  • Theodossiou P (1998) Financial data and the skewed generalized t distribution. Management Sci. 44(12):1650–1661.LinkGoogle Scholar
  • Winkler RL, Clemen RT (1992) Sensitivity of weights in combining forecasts. Oper. Res. 40(3):609–614.LinkGoogle Scholar
  • Winkler RL, Makridakis S (1983) The combination of forecasts. J. Roy. Statist. Soc. Ser. A General 146(2):150–157.CrossrefGoogle Scholar
  • Yaniv I (1997) Weighting and trimming: Heuristics for aggregating judgments under uncertainty. Organ. Behav. Human Decision Processes 69(3):237–249.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.