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Dissertations / Theses on the topic 'Expected Utility'
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1
Gee, Max. "Rationality and Expected Utility." Thesis, University of California, Berkeley, 2015. http://pqdtopen.proquest.com/#viewpdf?dispub=3733384.
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<p> We commonly make a distinction between what we simply tend to do and what we would have done had we undergone an ideal reasoning process — or, in other words, what we would have done if we were perfectly <i> rational.</i> Formal decision theories, like Expected Utility Theory or Risk-Weighted Expected Utility Theory, have been used to model the considerations that govern rational behavior. </p><p> But questions arise when we try to articulate what this kind of modeling amounts to. Firstly, it is not clear how the components of the formal model correspond to real-world psychological or physical facts that ground judgments about what we ought to do. Secondly, there is a great deal of debate surrounding what an accurate model of rationality would look like. Theorists disagree about how much flexibility a rational agent has in weighing the risk of a loss against the value of potential gains, for example. </p><p> The goal of this project is to provide an interpretation of Expected Utility Theory whereby it explicates or represents the pressure that fundamentally governs how human agents ought to behave. That means both articulating how the components of the formal model correspond to real-world facts, and defending Expected Utility Theory against alternative formal models of rationality. </p>
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Dardanoni, V. "Implications of expected utility maximisation." Thesis, University of York, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.383880.
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Birsel, Murat H. "Expected Utility and Intraalliance War." Thesis, North Texas State University, 1987. https://digital.library.unt.edu/ark:/67531/metadc504224/.
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Widekind, Sven von. "Evolution of non-expected utility preferences." Berlin Heidelberg Springer, 2007. http://d-nb.info/986059773/04.
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Widekind, Sven von. "Evolution of non-expected utility preferences /." Berlin [u.a.] : Springer, 2008. http://www.gbv.de/dms/bs/toc/547648979.pdf.
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Capser, Shawn Patrick Capser. "Assessing the Value of Information for ComparingMultiple, Dependent Design Alternatives." University of Toledo / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1520689318651851.
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Reina, Livia. "From Subjective Expected Utility Theory to Bounded Rationality." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2006. http://nbn-resolving.de/urn:nbn:de:swb:14-1140624885934-50567.
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As mentioned in the introduction, the objective of this work has been to get a more realistic understanding of economic decision making processes by adopting an interdisciplinary approach which takes into consideration at the same time economic and psychological issues. The research in particular has been focused on the psychological concept of categorization, which in the standard economic theory has received until now no attention, and on its implications for decision making. The three experimental studies conducted in this work provide empirical evidence that individuals don not behave according to the perfect rationality and maximization assumptions which underly the SEUT, but rather as bounded rational satisfiers who try to simplify the decision problems they face through the process of categorization. The results of the first experimental study, on bilateral integrative negotiation, show that most of the people categorize a continuum of outcomes in two categories (satisfying/not satisfying), and treat all the options within each category as equivalent. This process of categorization leads the negotiators to make suboptimal agreements and to what I call the ?Zone of Agreement Bias? (ZAB). The experimental study on committees? decision making with logrolling provides evidence of how the categorization of outcomes in satisfying/not satisfying can affect the process of coalition formation in multi-issue decisions. In the first experiment, involving 3-issues and 3-parties decisions under majority rule, the categorization of outcomes leads most of the individuals to form suboptimal coalitions and make Pareto-dominated agreements. The second experiment, aimed at comparing the suboptimizing effect of categorization under majority and unanimity rule, shows that the unanimity rule can lead to a much higher rate of optimal agreements than the majority rule. The third experiment, involving 4-issues and 4-parties decisions provides evidence that the results of experiments 1 and 2 hold even when the level of complexity of the decision problem increases.
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Fennell, John. "An expected utility theory that matches human performance." Thesis, University of Bristol, 2012. http://hdl.handle.net/1983/f1a39859-1cb0-4978-8fcf-d56d0d3fca40.
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Maximising expected utility has long been accepted as a valid model of rational behaviour, however, it "has limited descriptive accuracy sim- ply because, in practice, people do not always behave in the prescribed way. This is considered evidence that either people are not rational, expected utility is not an appropriate characterisation of rationality, or combination of these. This thesis proposes that a modified form of expected utility hypothesis is normative, suggesting how people ought to behave and descriptive of how they actually do behave, provided that: a) most utility has no meaning unless it is in the presence of potential competitors; b) there is uncertainty in the nature of com- petitors; c) statements of probability are associated with uncertainty; d) utility is marginalised over uncertainty, with framing effects pro- viding constraints; and that e) utility is sensitive to risk, which, taken with reward and uncertainty suggests a three dimensional representa- tion. The first part of the thesis investigates the nature of reward in four experiments and proposes that a three dimensional reward struc- ture (reward, risk, and uncertainty) provides a better description of utility than reward alone. It also proposes that the semantic differ- ential, a well researched psychological instrument, is a representation or description of the reward structure. The second part of the thesis provides a mathematical model of a value function and a probabil- ity weighting function, testing them together against extant problem cases for decision making. It is concluded that utility, perhaps more accurately described as advantage in the present case, when construed as three dimensions and the result of a competition, provides a good explanation of many of the problem cases that are documented in the decision making literature.
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Sundgren, David. "Distribution of expected utility in second-order decision analysis." Licentiate thesis, Kista : Data- och systemvetenskap, Kungliga Tekniska högskolan, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-4442.
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Tanaka, Hiroyuki. "Essays on Comparative Statics on Non-expected Utility Models." Kyoto University, 2019. http://hdl.handle.net/2433/242455.
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Oliver, Adam. "Valuing health outcomes under conditions of risk : foundations, flaws and some suggestions for the future." Thesis, University of Newcastle Upon Tyne, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275407.
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Calford, Evan M. "Essays on strategic uncertainty with non-subjective expected utility agents." Thesis, University of British Columbia, 2016. http://hdl.handle.net/2429/58445.
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This thesis contains three distinct chapters that contribute to our understanding of how people respond, both theoretically and in controlled experimental environments, to uncertainty that results from the strategic decisions of others. The standard framework for studying strategic interactions involves agents with Subjective Expected Utility preferences (Savage, 1954) interacting in an environment where, in equilibrium, all strategies are known to all agents. This thesis studies the effects of relaxing preferences to allow for ambiguity aversion, regret minimization, and approximate optimization.
The first chapter experimentally investigates the role of uncertainty aversion in normal form games. Theoretically, risk aversion will affect the utility value assigned to realized outcomes while ambiguity aversion affects the evaluation of strategies. In practice, however, utilities over outcomes are unobservable and the effects of risk and ambiguity are confounded. This chapter introduces a novel methodology for identifying the effects of risk and ambiguity preferences on behaviour in games in a laboratory environment. Furthermore, we also separate the effects of a subject's beliefs over her opponent's preferences from the effects of her own preferences.
The second chapter studies, experimentally, a simple dynamic entry game in both continuous and discrete time. We introduce new laboratory methods that allow us to eliminate natural inertia in subjects' decisions in continuous time experiments. Using our novel continuous time setting and the standard discrete time setting as benchmarks, we study the effects of inertia (caused by naturally occurring reaction lags) on behaviour. We demonstrate that the observed patterns of behaviour are consistent with standard models of decision making under uncertainty, and that the degree of inertia affects subject responses to strategic uncertainty.
The third chapter examines, theoretically, the role of mixed strategies for agents with ambiguity averse preferences. This chapter demonstrates how a well known result from cooperative game theory, that a non-additive measure over a set of states can be equivalently represented by an additive measure over the set of events, can be used to introduce mixed strategies (in an equilibrium preserving fashion) to existing pure strategy equilibrium concepts.<br>Arts, Faculty of<br>Vancouver School of Economics<br>Graduate
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Werner, Katarzyna Maria. "Essays on non-expected utility theory and individual decision making under risk." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-nonexpected-utility-theory-and-individual-decision-making-under-risk(e73bd3eb-8031-45f9-b34d-e5e9edb78e03).html.
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This thesis investigates the choices under risk in the framework of non-expected utility theories. One of the key contributions of this thesis is providing an approach that allows for a complete characterisation of Cumulative Prospect Theory (CPT) preferences without prior knowledge of the reference point. The location of the reference point that separates gains from losses is derived endogenously, thus, without any additional assumptions on the decision makers risk behaviour. This is different to the convention used in the literature, according to which, the reference point is preselected. The problem arising from imposing the location of the reference point is that the underlying preference conditions might not be alligned with the predictions made by the model. Consequently, it is difficult to verify such a model or to test it empirically. The present contribution offers a set of normatively and descriptively appealing preference conditions, which enable the elicitation of the reference point from the decision makers behaviour. Since these conditions are derived using objective probabilities, they can also be applied to settings such as health or insurance, where the continuity of the utility function is not required. As a result, the obtained representation theorem is not only the most general foundation for CPT currently available, but it also provides further support for the use of CPT as a modelling tool in decision theory and fi
nance. Another contribution that this thesis can be credited with is an application of rank-dependent utility theory (RDU) to the problem of insurance demand in the monopoly market affected by adverse selection. The present approach extends the classical model of Stiglitz (1977) by accounting for an additional component of heterogeneity among consumers, the heterogeneity in risk perception. Speci
fically, consumers employ distinctive probability weighting functions to assess the likelihood of risky events. This aspect of consumers' behaviour highlights the importance that the probabilistic risk attitudes within the RDU framework, such as optimism and pessimism, have for the choice of insurance contract. The analysis yields a separating equilibrium, with full insurance for a sufficiently pessimistic decision maker. An important implication of this result is that any low-risk individual who sufficiently overestimates his probability of loss will induce the uninformed insurer to o¤er him full coverage, thereby, affecting the high-risk type adversely. This outcome is consistent with the recent empirical puzzle regarding the correlation between ex-post risk and insurance coverage, according to which, agents with low exposure to risk receive a larger amount of compensation. By providing an explanation of this pattern of individual behaviour, the current work demonstrates that theory and practice of insurance demand can be reconciled to a greater extent. The paper also provides a behavioural rationale for policy intervention in the market with RDU agents, where the initial distortions in contracts due to unobservable risks are aggravated by the non-linear weighting of probability of a risky event.
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Dankyi, Daniel K. "Analysis of life insurance lapses and utility-maximization of shareholders' expected profit." Thesis, City University London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.367262.
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Vairo, David L. "Elaborations on Multiattribute Utility Theory Dominance." VCU Scholars Compass, 2019. https://scholarscompass.vcu.edu/etd/5726.
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ELABORATIONS ON MULTIATTRIBUTE UTILITY THEORY DOMINANCE
By David L. Vairo
A dissertation submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy at Virginia Commonwealth University.
Virginia Commonwealth University, 2019.
Major Director: Dissertation director’s name, Dr. Jason Merrick, Supply Chain Management and Analytics
Multiattribute Utility Theory (MAUT) is used to structure decisions with more than one factor (attribute) in play. These decisions become complex when the attributes are dependent on one another. Where linear modeling is concerned with how factors are directly related or correlated with each other, MAUT is concerned with how a decision maker feels about the attributes. This means that direct elicitation of value or utility functions is required. This dissertation focuses on expanding the types of dominance forms used within MAUT. These forms reduce the direct elicitation needed to help structure decisions. Out of this work comes support for current criticisms of gain/loss separability that is assumed as part of Prospect Theory. As such, an alternative to Prospect Theory is presented, derived from within MAUT, by modeling the probability an event occurs as an attribute.
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Graves, Gregory Howard. "Analytical foundations of physical security system assessment." Texas A&M University, 2006. http://hdl.handle.net/1969.1/4166.
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Physical security systems are intended to prevent or mitigate potentially catastrophic
loss of property or life. Decisions regarding the selection of one system or
configuration of resources over another may be viewed as design decisions within a
risk theoretic setting. The problem of revealing a clear preference among design alternatives,
using only a partial or inexact delineation of event probabilities, is examined.
In this dissertation, an analytical framework for the assessment of the risk associated
with a physical security system is presented. Linear programming is used
to determine bounds on the expected utility of an alternative, and conditions for
the separation of preferences among alternatives are shown. If distinguishable preferences
do not exist, techniques to determine what information may help to separate
preferences are presented. The linear programming approach leads to identification
of vulnerabilities in a security system through an examination of the solution to the
dual problem.
Security of a hypothetical military forward operating base is considered as an
illustrative example. For two alternative security schemes, the uncertainty inherent in
the scenario is represented using probability assessments consisting of bounds on event
probabilities and exact probability assignments. Application of the framework reveals
no separation of preferences between the alternatives. Examination of the primal and dual solutions to the linear programming problems, however, reveals insights into
information which, if obtained, could lead to a separation of preferences as well as
information on vulnerabilities in one of the alternative security postures.
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Christopoulos, G. "Neural correlates of basic decision parameters : expected value, risk, risk aversion and utility." Thesis, University of Cambridge, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.597667.
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According to economic decision theory, the basic decision parameters involved in the evaluation of a risky option are its expected value, the objective (statistical) risk and the subjective risk perception. Here, the use of functional magnetic resonance imaging shows increasing blood-oxygenation-level-dependent (BOLD) responses with increasing expected value in the ventral striatum and with increasing objective, risk-attitude independent risk in the dorsal anterior cingulated (dACC). By contrast, risk-related responses in inferior frontal gyrus (IFG) correlate significantly with individual risk aversion (subjective risk). Importantly, all these responses are independent from pure preferences (utility). Risk can be further defined in either absolute or relative terms. Formally, absolute risk refers to the deviation from the mean, whereas relative risk is the deviation from the mean normalised by the (average) change in total wealth. Again, encoding of objective risk by dACC and of subjective risk by IFG was found, but only for absolute risk. On the contrary, relative risk aversion was encoded by medial orbitofrontal cortex (mOFC). By integrating the decision parameters, the agent attaches a subjective value (or utility) to each option: subsequently, a choice is based on comparing the utilities of each alternative. By definition, between two options, the one with higher expected value has higher utility, <i>ceteris paribus</i>; in addition, higher risk aversion means lower utility for the same increase in risk. The response of an area in lateral prefrontal cortex was found, in a number of separate tests, to concurrently satisfy both conditions for utility encoding. The present results emphasize the importance of adopting a parametric approach (isolating the basic decision parameters and incorporating formal behavioural measurements of risk-attitudes) in the analysis of the neural basis of decision making under risk.
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Hartmann, L. "Perceived ambiguity, ambiguity attitude and strategic ambiguity in games." Thesis, University of Exeter, 2019. http://hdl.handle.net/10871/35581.
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This thesis contributes to the theoretical work on decision and game theory when decision makers or players perceive ambiguity. The first article introduces a new axiomatic framework for ambiguity aversion and provides axiomatic characterizations for important preference classes that thus far had lacked characterizations. The second article introduces a new axiom called Weak Monotonicity which is shown to play a crucial role in the multiple prior model. It is shown that for many important preference classes, the assumption of monotonic preferences is a consequence of the other axioms and does not have to be assumed. The third article introduces an intuitive definition of perceived ambiguity in the multiple prior model. It is shown that the approach allows an application to games where players perceive strategic ambiguity. A very general equilibrium existence result is given. The modelling capabilities of the approach are highlighted through the analysis of examples. The fourth article applies the model from the previous article to a specific class of games with a lattice-structure. We perform comparative statics on perceived ambiguity and ambiguity attitude. We show that more optimism does not necessarily lead to higher equilibria when players have Alpha-Maxmin preferences. We present necessary and sufficient conditions on the structure of the prior sets for this comparative statics result to hold. The introductory chapter provides the basis of the four articles in this thesis. An overview of axiomatic decision theory, decision-making under ambiguity and ambiguous games is given. It introduces and discusses the most relevant results from the literature.
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Roberts, Michael James. "The sensitivity of expected utility violations to the experimental design: how context affects risky choice." Thesis, Montana State University, 1994. http://etd.lib.montana.edu/etd/1994/roberts/RobertsM1994.pdf.
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Expected Utility Theory is tested under different question contexts. It is hypothesized that previously cited independence violations may result from experimental biases rather than a shortcoming of the Theory. An experimental survey presents risky choice questions as lotteries and as "real life" scenarios to test the relative frequency of independence violations under different test conditions. Simple proportion-difference test statistics show that some choice pairs elicit significantly different choices under the scenario contexts. A more sophisticated analysis, using logit regression models, finds that the scenario contexts reduce choice biases caused by the similarity of the alternatives. Choices over scenario-contexts are found to be consistent with Expected Utility Theory. Violations of Expected Utility Theory over lottery contexts are attributed to the similarity of the alternatives.
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Rüger, Maximilian [Verfasser], and Mathias [Akademischer Betreuer] Kifmann. "Risk Preferences Beyond Expected Utility Theory: Theoretical and Experimental Approaches / Maximilian Rüger. Betreuer: Mathias Kifmann." Augsburg : Universität Augsburg, 2011. http://d-nb.info/1077700253/34.
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Stutte, Corey. "An Examination of Central Asian Geopolitics Through the Expected Utility Model: The New Great Game." Doctoral diss., University of Central Florida, 2009. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/2513.
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The New Great Game is a geopolitical competition between regional stakeholders over energy resources in Central Asia. The author seeks to use the expected utility voting model based on Black's median voter theorem for forecasting the New Great Game in Central Asia. To judge the external validity of the voting model, the author uses data from the Correlates of War project data set, to formulate three distinct models based only on the numbers in 1992 and 1993. Capabilities and alliance data were used to develop balance of power positions and compare the outcome of 100 simulations to the actual outcome in 2000 based on Correlates of War project data. This allows us to judge whether the emergence of Russia's weak advantage as well as the continuation of the competition in the New Great Game as of 2000 could have been predicted based on what was known in 1992 and 1993. By using only one year's data to forecast the New Great Game, we are able to eliminate historical and researcher bias and judge the applicability of the model in global policy and strategic analysis.<br>Ph.D.<br>Other<br>Health and Public Affairs<br>Public Affairs PhD
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Stutte, Corey T. "An examination of Central Asian geopolitics through the expected utility model the new great game /." Orlando, Fla. : University of Central Florida, 2009. http://purl.fcla.edu/fcla/etd/CFE0002861.
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Sandberg, Thor, and Rebecka Svensson. "Den förväntade nyttan av att inte följa rekommendationer : En tvärsnittsanalys av individens efterlevnad av de allmänna råden och rekommendationerna under COVID-19 pandemin i Sverige." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-435331.
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The purpose of this study is to investigate which groups of individuals are less likely to follow the authorities’ recommendations during the COVID-19 pandemic in Sweden. The thesis aims to explain the decision-making of these individuals during a pandemic based on the theory of Expected Utility. A linear probability model is estimated in addition to a logistic regression. The study finds that the estimated effect of gender and age are significantly different from zero when considering socioeconomic control variables. The results suggest that older individuals’ expected utility is higher when following the recommendations. For men as well as younger individuals, the theory needs an extended analysis including factors from a behavioural economics point of view. This paper is an addition to an increasing number of studies conducted on the COVID-19 pandemic.<br>Syftet med studien är att undersöka vilka individer som är mindre sannolika att följa de allmänna råd och rekommendationer som myndigheter uppmanar till under COVID-19 pandemin i Sverige samt att konkretisera potentiella bakgrunder till varför vissa individer väljer att inte följa de utifrån teorin om förväntad nytta. Tidigare studier har visat att män och yngre individer är mindre benägna att följa restriktioner under andra pandemier. Mot den bakgrunden formulerades uppsatsens hypoteser att män och yngre individer är mer sannolika att inte följa rekommendationer under pandemin i Sverige. En linjär sannolikhetsmodell och en logistisk regression estimerades, där ålder och kön var determinanter mot en binär utfallsvariabel definierad som 0 = följer rekommendationer och 1 = följer inte rekommendationer. Resultatet visade att kön och ålder uppvisade en effekt signifikant skild från noll även efter socioekonomiska kontroller. Utifrån förklaringsmodellen tyder resultatet på att äldre individer har en hög förväntad nytta av att följa rekommendationer. För män och yngre individer behöver teorin hämta stöd från beteendeekonomin. En fördjupande analys av individers riskpreferenser rekommenderas i framtiden för att ge tydliga rekommendationer till olika grupper i samhället.
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Peng, Wei. "Risk Analysis of Adopting Conservation Practices on a Representative Peanut-Cotton Farm in Virginia." Thesis, Virginia Tech, 1997. http://hdl.handle.net/10919/35767.
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The objective of this study is to evaluate the costs of reducing pesticide, nitrogen, phosphorus, and sediment losses of a representative risk-neutral and risk-averse peanut-cotton farmer in Southeast Virginia. Five currently popular rotations and eight alternative conservation rotations are evaluated for the representative farm. The Erosion-Productivity Impact Calculator (EPIC) model is used to simulate pesticide, nitrogen, phosphorus, and soil loss from each rotation using actual rainfall and temperature data from the study area. A Target-MOTAD mathematical programming model, REPVAFARM, is developed and solved with GAMS. The objective of the farmer is to maximize expected net return, while meeting a target income with certain allowable expected shortfall from the income target. The farmer is also constrained by land, labor, peanut quota, and levels of pesticide, nitrogen, phosphorus, and soil losses.
Major findings of this study are: reducing pesticide, nitrogen, phosphorus, and soil losses imposes costs to the farmer regardless of his risk attitude, with costs ranking from high to low in the order of reducing all pollutant losses, reducing nitrogen losses, reducing phosphorus losses, reducing soil losses, and reducing pesticide losses. Costs of reducing pollutant losses are higher for more risk-averse farmers than for less risk-averse and risk-neutral farmers implying that risk-aversion is an obstacle to the adoption of alternative conservation practices. Reducing pesticide losses has little impact on other pollutants. Reducing pesticide and nitrogen losses simultaneously achieves similar reductions in soil loss and phosphorus loss.<br>Master of Science
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Rongiconi, Thomas. "Application du modèle de l'espérance d'utilité au sens de Choquet à quelques préférences atypiques." Thesis, Paris 2, 2015. http://www.theses.fr/2015PA020092.
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Durant les dernières décennies, deux théories a priori contradictoires l’une avec l’autre,prétendent donner un fondement aux comportements des agents économiques. La théorie de la décision axiomatique, la plus ancienne cherche à décrire les comportements à partir du principe de rationalité, alors que l’économie comportementale se base principalement sur une analyse empirique et expérimentale. Cette thèse, prend le parti de réunir ces deux points de vues en mobilisant le concept de préférence incomplète. Leurs fléxibilités capturent de nombreux comportements observés lors des expériences, et leurs structures riches permettent une analyse normative. Dans cette optique, nous développons dans la première partie un modèle d’aversion au risque dynamique, en modélisant la notion de bienêtre par une relation de préférence incomplète. Nous montrons que le bien-être du décideur est représenté par deux psychologies contradictoires. La première traduit l’aversion au risque sur le long terme et, est représentée par le modèle de l’espérance d’utilité, la deuxième décrit une réaction plus émotionnelle face au risque, et est caractérisée par le modèle de l’espérance d’utilité au sens de Choquet. Dans la seconde partie, nous démontrons quelles sont les conditions comportementales, nécessaires et suffisantes permettant à une relation de préférences incomplète d’être représentée par l’intersection d’un ensemble de relation de préférences complètes vérifiant l’axiome de l’indépendance comonotone<br>In recent decades, two theories which seems contradictory, claim that they can provide abasis for the behavior of economic agents, i.e the theory of decision and the behavioral economics. We have tried, in this thesis to unite these two points of view by mobilizing the concept of incomplete preference. We develop in the first part a model of time varying risk aversion: we show that the Decision Maker anticipates that the passage of time will have an effect on him outlook. By modeling the notion of well-being with a incomplete preference,we show that the welfare of the decision maker is represented by two contradictory psychologies. The first reflects the risk aversion in the long term and is represented by the model of expected utility, the second describes a more emotional response to risk, and is characterized by the model of Choquet expected utility. In the second part, we identify the behavioral conditions, both necessary and sufficient, in which an incomplete preference relation could be represented by the intersection of a set of complete and transitive preference relation satisfying the axiom of comonotone independence
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Fagerhierta, Nicklas. "Tidspress och ekonomiskt risktagande." Thesis, Linköpings universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-108759.
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Stress and time pressure is more present in todays labor markets. In financial markets a securities broker is forced to take decisions on investments under high cognitive load and under extreme time pressure. The research of decision under risk gained new ground with the development of the prospect theory and gave us new insights to the decision making of men. Prospect theory has shown that people are risk seekers when dealing with loss decisions and risk avert when dealing with profit decisions. The value function are defined over gains and losses. Losses looms larger then gains. Although much research conducted on the decision making under risk no previous research have been done showing how time pressure affects decision at risk by using skin conductance. This paper aimed through a randomized experiment with 23 participants examine how time pressure affects individuals' decisions related to risk. Furthermore, it intends to analyze whether time pressure mediate a possible effect of stress by using skin conductance. The results show that there is an increase in risk aversion for gains. This risk aversion was also statistically significant at the 1% level when each participant's responses were used and almost at 5% level when the mean values from each participant was used. Upon loss a risk -seeking behavior could be noticed but it was not statistically significant at the 5 % level. Stress levels as measured by skin conductance showed that the time-pressed group showed signs of stress. However, no stress data was significant at the 5 % level.<br>Stress och tidspress är idag allt mer närvarande på arbetsmarknaden. På de finansiella marknaderna kan en värdepappersmäklare tvingas ta beslut om investeringar under hög kognitiv belastning och under en extrem tidspress. Forskningen av beslut under risk har genom prospect theory gett oss nya insikter om vilka beslut vi människor tar. Prospect theory har visat att människor är risksökande vid förlustfrågor och riskaversiva vid vinstfrågor. Prospect theorys värdefunktion är definierad över vinst och förlust. Förluster väger tyngre än vinster. Trots att mycket forskning genomförts på beslut vid risk har ingen tidigare forskning hur tidspress påverkar beslut vid risk med hjälp av hudkonduktans tidigare genomförts. Denna uppsats hade som mål att genom ett randomiserat experiment med 23 deltagare undersöka hur tidspress påverkar individers beslut kopplade till risk. Vidare är syftet att också analysera om upplevd stress medierar en eventuell effekt av tidspress genom att använda hudkonduktans. Resultatet visar att det finns en ökad riskaversion vid vinstfrågor. Denna riskaversion var även statistiskt säkerställd på 1% nivå när varje deltagares svar användes och nästan på 5% nivå då medelvärden från varje deltagare användes. Vid förlustfrågor fanns ett risksökande beteende men den var ej statistiskt säkerställd på 5% nivå. Stressnivåerna som uppmättes med hudkonduktans visade att den tidspressade gruppen blev stressade. Dock var inga stressdata signifikanta på 5% nivå.
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Eftekhari, Zahra. "Preana: Game-theory Based Prediction with Reinforcement Learning." OpenSIUC, 2014. https://opensiuc.lib.siu.edu/theses/1552.
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We have developed a game-theory based prediction tool, named Preana, based on a promising model developed by Professor Bruce Beuno de Mesquita. The first part of this work is dedicated to exploration of the specifics of Mesquita's algorithm and reproduction of the factors and features that have not been revealed in literature. In addition, we have developed a learning mechanism to model the players' reasoning ability when it comes to taking risks. Preana can predict the outcome of any issue with multiple stake-holders who have conflicting interests in economic, business, and political sciences. We have utilized game theory, expected utility theory, Median voter theory, probability distribution and reinforcement learning. We were able to reproduce Mesquita's reported results and have included two case studies from his publications and compared his results to that of Preana. We have also applied Preana on Iran's 2013 presidential election to verify the accuracy of the prediction made by Preana.
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Zhang, Yumeng. "Optimal plan design and dynamic asset allocation of defined contribution pension plans : lessons from behavioural finance and non-expected utility theories." Thesis, City University London, 2009. http://openaccess.city.ac.uk/12031/.
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The question of optimal asset allocation strategy for defined contribution (DC) pension plans is addressed. A primary motivation for this study is provided by the recent literature on behavioural finance and intertemporal life-cycle investment theory. In this thesis two alternative utility forms are considered: loss aversion and Epstein-Zin recursive utility. We develop a dynamic-programming-based numerical model with uninsurable stochastic labour income and borrowing constraints. In the loss aversion case, members are assumed to be loss averse with a target replacement ratio at retirement and a series of suitably defined interim target prior to retirement. We also extend the intertemporal life-cycle saving and investment theory to the dynamic asset allocation problem of DC pension schemes. A new approach to model contribution and investment decisions with focus on the member’s desired pattern of consumption over the lifetime (based on Epstein-Zin utility preference) is proposed. The thesis draws on empirical evidence of salary scales and loss aversion parameters from UK households, with labour income progress estimated from the New Earnings Survey and loss aversion parameters estimated on the basis of face-to-face interviews with 966 randomly selected UK residents.
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Peterson, Martin. "Transformative Decision Rules : Foundations and Applications." Doctoral thesis, KTH, Infrastruktur, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-3512.
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A transformative decision rule alters the representation of a decisionproblem, either by changing the sets of acts and states taken intoconsideration, or by modifying the probability or value assignments.Examples of decision rules belonging to this class are the principleof insufficient reason, Isaac Levi’s condition of E-admissibility, Luceand Raiffa’s merger of states-rule, and the de minimis principle. Inthis doctoral thesis transformative decision rules are analyzed froma foundational point of view, and applied to two decision theoreticalproblems: (i) How should a rational decision maker model a decisionproblem in a formal representation (‘problem specification’, ‘formaldescription’)? (ii) What role can transformative decision rules play inthe justification of the principle of maximizing expected utility?The thesis consists of a summary and seven papers. In Papers Iand II certain foundational issues concerning transformative decisionrules are investigated, and a number of formal properties of this classof rules are proved: convergence, iterativity, and permutability. InPaper III it is argued that there is in general no unique representationof a decision problem that is strictly better than all alternative representations.In Paper IV it is shown that the principle of maximizingexpected utility can be decomposed into a sequence of transformativedecision rules. A set of axioms is proposed that together justify theprinciple of maximizing expected utility. It is shown that the suggestedaxiomatization provides a resolution of Allais’ paradox that cannot beobtained by Savage-style, nor by von Neumann and Morgenstern-styleaxiomatizations. In Paper V the axiomatization from Paper IV is furtherelaborated, and compared to the axiomatizations proposed byvon Neumann and Morgenstern, and Savage. The main results in PaperVI are two impossibility theorems for catastrophe averse decisionrules, demonstrating that given a few reasonable desiderata for suchrules, there is no rule that can fulfill the proposed desiderata. In PaperVII transformative decision rules are applied to extreme risks, i.e.to a potential outcome of an act for which the probability is low, butwhose (negative) value is high.<br><p>QC 20100622</p>
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Feunou, Victor Nzengang. "Essays on Utility maximization and Optimal Stopping Problems in the Presence of Default Risk." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19323.
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Gegenstand der vorliegenden Dissertation sind stochastische Kontrollprobleme, denen sich Agenten im Zusammenhang mit Entscheidungen auf Finanzmärkten gegenübersehen. Der erste Teil der Arbeit behandelt die Maximierung des erwarteten Nutzens des Endvermögens eines Finanzmarktinvestors. Für den Investor ist eine Beschreibung der optimalen Handelsstrategie, die zur numerischen Approximation geeignet ist sowie eine Stabilitätsanalyse der optimalen Handelsstrategie bzgl. kleinerer Fehlspezifikationen in Nutzenfunktion und Anfangsvermögen, von höchstem Interesse. In stetigen Marktmodellen beweisen wir Stabilitätsresultate für die optimale Handeslsstrategie in geeigneten Topologien.
Für hinreichend differenzierbare Nutzenfunktionen und zeitstetige Marktmodelle
erhalten wir eine Beschreibung der optimalen Handelsstrategie durch die Lösung eines
Systems von stochastischen Vorwärts-Rückwärts-Differentialgleichungen (FBSDEs).
Der zweite Teil der Arbeit beschäftigt sich mit optimalen Stopproblemen für einen Agenten,
dessen Ertragsprozess von einem Ausfallsereignis abhängt. Unser Hauptinteresse gilt der Beschreibung der Lösungen vor und nach dem Ausfallsereignis und damit dem besseren Verständnis des Verhaltens des Agenten bei Auftreten eines Ausfallsereignisses.
Wir zeigen wie sich das optimale Stopproblem in zwei einzelne Teilprobleme zerlegen lässt:
eines, für das der zugrunde liegende Informationsfluss das Ausfallereignis nicht beinhaltet,
und eines, in welchem der Informationsfluss das Ausfallereignis berücksichtigt.
Aufbauend auf der Zerlegung des Stopproblems und der Verbindung zwischen
der Optimalen Stoptheorie und der Theorie von reflektierenden stochastischen Rückwärts-Differentialgleichungen (RBSDEs), leiten wir einen entsprechenden Zerlegungsansatz her,
um RBSDEs mit genau einem Sprung zu lösen. Wir beweisen neue Existenz- und Eindeutigkeitsresultate von RBSDEs mit quadratischem Wachstum.<br>This thesis studies stochastic control problems faced by agents in financial markets when making decisions. The first part focuses on the maximization of expected utility from terminal wealth for an investor trading in a financial market. Of utmost concern to the investor is a description of optimal trading strategy that is amenable to numerical approximation, and
the stability analysis of the optimal trading strategy w.r.t. "small" misspecification in his utility function and initial capital. In the setting of a continuous market model, we prove stability results for the optimal wealth process in the Emery topology and the uniform topology on semimartingales, and stability results for the optimal trading strategy in suitable topologies.
For sufficiently differentiable utility functions, we obtain a description of the optimal trading strategy in terms of the solution of a system of forward-backward stochastic differential equations (FBSDEs). The second part of the thesis deals with the optimal stopping problem
for an agent with a reward process exposed to a default event. Our main concern is to give a description of the solutions before and after the default event and thereby better understand the behavior of the agent in the presence of default. We show how the stopping problem can be decomposed into two individual stopping problems: one with information flow for which the default event is not visible, and another one with information flow which captures the default event. We build on the decomposition of the optimal stopping problem, and the link between the theories of optimal stopping and reflected backward stochastic differential equations (RBSDEs) to derive a corresponding decomposition approach to solve RBSDEs with a single jump. This decomposition allows us to establish existence and uniqueness results for RBSDEs with drivers of quadratic growth.
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Park, Jee Hyuk. "On the separation of preferences among marked point process wager alternatives." [College Station, Tex. : Texas A&M University, 2008. http://hdl.handle.net/1969.1/ETD-TAMU-2757.
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Rivenbark, David. "UNCERTAINTY, IDENTIFICATION, AND PRIVACY: EXPERIMENTS IN INDIVIDUAL DECISION-MAKING." Doctoral diss., University of Central Florida, 2010. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/2266.
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The alleged privacy paradox states that individuals report high values for personal privacy, while at the same time they report behavior that contradicts a high privacy value. This is a misconception. Reported privacy behaviors are explained by asymmetric subjective beliefs. Beliefs may or may not be uncertain, and non-neutral attitudes towards uncertainty are not necessary to explain behavior. This research was conducted in three related parts. Part one presents an experiment in individual decision making under uncertainty. Ellsberg s canonical two-color choice problem was used to estimate attitudes towards uncertainty. Subjects believed bets on the color ball drawn from Ellsberg s ambiguous urn were equally likely to pay. Estimated attitudes towards uncertainty were insignificant. Subjective expected utility explained subjects choices better than uncertainty aversion and the uncertain priors model. A second treatment tested Vernon Smith s conjecture that preferences in Ellsberg s problem would be unchanged when the ambiguous lottery is replaced by a compound objective lottery. The use of an objective compound lottery to induce uncertainty did not affect subjects choices. The second part of this dissertation extended the concept of uncertainty to commodities where quality and accuracy of a quality report were potentially ambiguous. The uncertain priors model is naturally extended to allow for potentially different attitudes towards these two sources of uncertainty, quality and accuracy. As they relate to privacy, quality and accuracy of a quality report are seen as metaphors for online security and consumer trust in e-commerce, respectively. The results of parametric structural tests were mixed. Subjects made choices consistent with neutral attitudes towards uncertainty in both the quality and accuracy domains. However, allowing for uncertainty aversion in the quality domain and not the accuracy domain outperformed the alternative which only allowed for uncertainty aversion in the accuracy domain. Finally, part three integrated a public-goods game and punishment opportunities with the Becker-DeGroot-Marschak mechanism to elicit privacy values, replicating previously reported privacy behaviors. The procedures developed elicited punishment (consequence) beliefs and information confidentiality beliefs in the context of individual privacy decisions. Three contributions are made to the literature. First, by using cash rewards as a mechanism to map actions to consequences, the study eliminated hypothetical bias as a confounding behavioral factor which is pervasive in the privacy literature. Econometric results support the  privacy paradox at levels greater than 10 percent. Second, the roles of asymmetric beliefs and attitudes towards uncertainty were identified using parametric structural likelihood methods. Subjects were, in general, uncertainty neutral and believed  bad events were more likely to occur when their private information was not confidential. A third contribution is a partial test to determine which uncertain process, loss of privacy or the resolution of consequences, is of primary importance to individual decision-makers. Choices were consistent with uncertainty neutral preferences in both the privacy and consequences domains.<br>Ph.D.<br>Department of Economics<br>Business Administration<br>Economics PhD
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Noriega, Atala Enrique. "An Evaluation Framework for Adaptive User Interface." Thesis, The University of Arizona, 2014. http://hdl.handle.net/10150/323226.
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With the rise of powerful mobile devices and the broad availability of computing power, Automatic Speech Recognition is becoming ubiquitous. A flawless ASR system is still far from existence. Because of this, interactive applications that make use of ASR technology not always recognize speech perfectly, when not, the user must be engaged to repair the transcriptions. We explore a rational user interface that uses of machine learning models to make its best effort in presenting the best repair strategy available to reduce the time in spent the interaction between the user and the system as much as possible. A study is conducted to determine how different candidate policies perform and results are analyzed. After the analysis, the methodology is generalized in terms of a decision theoretical framework that can be used to evaluate the performance of other rational user interfaces that try to optimize an expected cost or utility.
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Smith, Laura Kay. "A study of several issues related to adolescent alcohol use : parental participation in research, frequent heavy drinking, subjective expected utility and relationships among risk factors /." The Ohio State University, 1989. http://rave.ohiolink.edu/etdc/view?acc_num=osu148767263159874.
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Sörensen, Johanna, and Emma Wenne. "Precision i modellering av bågbro i stål." Thesis, KTH, Bro- och stålbyggnad, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-231254.
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Infrastrukturen i Sverige åldras, uppskattningsvis finns det drygt 2000 broar i landet som är 70 år eller äldre. Det finns flera aspekter att titta på för att utvärdera äldre broars kondition och FE modellering är ett vanligt verktyg som används vid utvärdering. För stålbroar är det ofta utmattning som sätter gränsen för hur länge de kan hållas i drift under säkra förhållanden. Syftet med arbetet var att utvärdera nyttan av FE modeller med olika precision med hänsyn till noggrannheten i deras genererade resultat och kostnad. En stålbro har studerats i detalj, Gamla Lidingöbron och specifikt två punkter på dess bågspann. Ritningar av bron och mätdata från forskningsprojektet \textit{Smart tillståndsbedömning, övervakning och förvaltning av kritiska broar} har legat till grund för arbetet. Mätdata utgjordes av tidshistorier över spänningsvariationer i de två studerade punkterna vid flertalet tågpassager över bron. Punkterna finns på bågspannets sekundära bärverk. Fyra modeller har skapats i BRIGADE/Plus med olika precisionsgrad och spänningshistorier för de studerade punkterna har genererats. Spänningshistorierna har sedan utvärderas med Palmgren-Miners delskadeteori för utmattning. Den förväntade ekonomiska nyttan för varje modell har uppskattats beroende av analyskostnad, sannolikheten för utmattningsbrott samt kostnad för ett eventuellt brott. På grund av brons strukturella verkningssätt blev de förenklade modellernas utmattningsresultat mycket lika resultaten från modellen med hög precisionsgrad. De verkliga axellasterna var mindre än de dimensionerande som användes i modellerna. Detta ledde till att de uppkomna spänningarna i stålet från modellerna blev större än de verkliga, men visade ett liknande beteende. Resultatet blev att modellernas utmattningskapacitet enbart utgjorde ca en femtedel av kapaciteten enligt mätningarna. Resultatet från beräkningen av den förväntade nyttan visade att det inte är ekonomiskt motiverat att använda en modell med hög precision framför en eller flera förenklade modeller. Slutsatsen blev att hög precision i en teoretisk modell inte entydigt är bättre än en förenklad modell. Arbetet har utförts vid institutionen för bro och stålbyggnad på KTH i samarbete med Sweco Civil AB.<br>The infrastructure in Sweden is aging. More than 2 000 bridges in the country are 70 years or older. When assessing the condition of older bridges, several aspects should be taken into account. FE modeling is one common tool to use in a bridge assessment. Fatigue is generally what limits the service life of steel bridges. The aim of this work was to evaluate the utility of higher precision in FE models, regarding the accuracy of their generated results and costs. One steel bridge has been studied in detail, Old Lidingö Bridge and specifically two points on its arc span. Drawings of the bridge and measurement data from the research project \textit{Smart Condition Assessment, Surveillance and Management of Critical Bridges} has provided the basis of this work. Measurement data has been collected from the two selected points on the bridge with strain gauges, registering the time history of the variations in tension during train passages on the bridge. Four models with different levels of precision have been created in BRIGADE/Plus. These models have generated time histories of the varying tension during train passages. The time histories have been evaluated with Palmgren-Miner's cumulative damage model for fatigue. The expected economic utility of each set of models has been estimated based on the cost of the analysis, the likelihood failure caused by fatigue and the cost of failure. Because of the structural behavior of the bridge, the results of the simplified models became very similar to the results of the high precision model. The actual axle loads were less than the design loads used in the models. Because of this, the calculated tensions in the models became larger than the actual tensions. This also resulted in the fatigue capacity of the models only being about one fifth of the capacity according to the measurements. The calculation of the expected utility showed that it is not economically justified to use a model with higher precision over models with less precision. High precision in a theoretical model is not unambiguously better than a simplified model. The work has been carried out at the Department of Structural engineering and bridges at KTH in cooperation with Sweco Civil AB.
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Reina, Livia. "From Subjective Expected Utility Theory to Bounded Rationality: An Experimental Investigation on Categorization Processes in Integrative Negotiation, in Committees' Decision Making and in Decisions under Risk." Doctoral thesis, Technische Universität Dresden, 2005. https://tud.qucosa.de/id/qucosa%3A24667.
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As mentioned in the introduction, the objective of this work has been to get a more realistic understanding of economic decision making processes by adopting an interdisciplinary approach which takes into consideration at the same time economic and psychological issues. The research in particular has been focused on the psychological concept of categorization, which in the standard economic theory has received until now no attention, and on its implications for decision making. The three experimental studies conducted in this work provide empirical evidence that individuals don not behave according to the perfect rationality and maximization assumptions which underly the SEUT, but rather as bounded rational satisfiers who try to simplify the decision problems they face through the process of categorization. The results of the first experimental study, on bilateral integrative negotiation, show that most of the people categorize a continuum of outcomes in two categories (satisfying/not satisfying), and treat all the options within each category as equivalent. This process of categorization leads the negotiators to make suboptimal agreements and to what I call the ?Zone of Agreement Bias? (ZAB). The experimental study on committees? decision making with logrolling provides evidence of how the categorization of outcomes in satisfying/not satisfying can affect the process of coalition formation in multi-issue decisions. In the first experiment, involving 3-issues and 3-parties decisions under majority rule, the categorization of outcomes leads most of the individuals to form suboptimal coalitions and make Pareto-dominated agreements. The second experiment, aimed at comparing the suboptimizing effect of categorization under majority and unanimity rule, shows that the unanimity rule can lead to a much higher rate of optimal agreements than the majority rule. The third experiment, involving 4-issues and 4-parties decisions provides evidence that the results of experiments 1 and 2 hold even when the level of complexity of the decision problem increases.
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Rytíř, Miroslav. "Proč se hráči větších turnajů domluví častěji než hráči menších turnajů? Případ dealů v pokeru." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-194203.
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This thesis aplied tools of economic analysis on situation in poker, where players choose to finish tournament or make a deal and take certain amount of money immediately. Theoretical frame consists of economic theories for decesion under risk and poker literature. Hypotheses are tested with regresion analysis on dataset which I obtain by my own observing. Estimations support hypothesis that players are risk-averze and loss-averze. In bigger tournaments are bigger prizepools and that is the reason, why players in bigger tournament make deals more often. Moreover deal is more likely, when players are approximetly equal skilled in poker.
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Berglind, Lukas, and Erik Westergren. "The Risk-Return Relationship : Can the Prospect Theory be Applied to Small Firms, Large Firms and Industries Characterized by Different Asset Tangibility?" Thesis, Umeå universitet, Företagsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122846.
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In 1979 Daniel Kahneman and Amos Tversky created the prospect theory. It became an accepted and appropriate theory in explaining decision making under risk. The prospect theory has been one of the most cited articles in economics and Kahneman received the Nobel Prize in Economic Sciences as a result of the creation and development of the theory. Therefore the prospect theory is considered to be more suitable compared to the previously accepted theory, the expected utility theory. Following the prospect theory, researchers have utilized it to describe individual but also corporate management decision making when faced with risk. In this thesis the authors will focus on the latter. Despite the prospect theory being a well-accepted theory, there have been several critics due to its limitations and Audia and Greve (2006) are one of these critics. Their study suggested that corporations under threat, i.e. small firms with low returns, act risk averse. The findings of Audia and Greve (2006) violate the prospect theory when considering small firms that have below target returns. They tested the theory on an industry that has the characteristics of having relatively high proportions of tangible assets. Audia and Greve (2006) also proposed that a similar conclusion could be drawn if tested on an industry characterized by having a high level of intangible assets. This thesis examines the applicability of the prospect theory in the Swedish automotive industry and staffing and recruitment industry. The characteristics of the two industries are that the automotive industry has a high proportion of tangible assets and the staffing and recruitment industry has a high level of intangibles. The authors test if the prospect theory can be used to describe the decision making of both industries but also test the theory on small and large firms. Following the results of this paper we show that the prospect theory can be applied to the Swedish automotive industry and staffing and recruitment industry, characterized by having high levels of tangible assets and intangible assets respectively. The theory can also be used to explain decision making under risk for small firms within both industries and large firms within the automotive industry. Even though the prospect theory was originally tested on individuals, the conclusion can be drawn that the prospect theory once again prevails as an explanation of the decision making in the management of corporations. It can describe the decision making of firms in the two industries having characteristics of different asset tangibility and for firms of different size.
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Nebout, Antoine. "Decision making under compound uncertainty : experimental study of ambiguity attitudes and sequential choice behavior." Thesis, Montpellier 1, 2011. http://www.theses.fr/2011MON10051.
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Cette thèse appartient au domaine de la théorie de la décision en situation d'incertitude. Elle vise à comprendre, décrire, et représenter les choix individuels dans différents contextes de décision. Notre travail se concentre sur le fait que le comportement économique est souvent influencé par la structure et le déroulement de la résolution de l'incertitude. Dans une première expérience nous avons confronté nos sujets à différents types d'incertitude – à savoir du risque (probabilités connues), de l'incertain (probabilités inconnues), du risque composé et de l'incertain composé – en utilisant des mécanismes aléatoires particuliers. Le chapitre 1 analyse l'hétérogénéité des attitudes individuelles face à l'ambiguïté, au risque composé et à l'incertain composé alors que dans le chapitre 2, le modèle d'espérance d'utilité à dépendance du rang est utilisé comme outil de mesure afin d'étudier en détails ces attitudes au niveau individuel. Le chapitre 3 confronte à l'expérience l'interprétation de l'ambiguïté en terme de croyances de second ordre et propose une méthode d'élicitation de la fonction qui caractérise l'attitude face à l'ambiguïté dans les modèles « récursifs » de décision face à l'incertain. La seconde partie de la thèse s'intéresse aux comportements de décision individuelle dans un contexte dynamique et est composée de deux études expérimentales indépendantes. Néanmoins, elles reposent toutes deux sur la décomposition de l'axiome d'indépendance en trois axiomes dynamiques: conséquentialisme, cohérence dynamique et réduction des loteries composées. Le chapitre 4 rapporte les résultats d'une expérience de décision individuelle sur les facteurs de violations de chacun de ces axiomes. Le chapitre 5 présente une catégorisation conceptuelle des comportements individuels dans des problèmes de décision séquentiels face au risque. Le cas des agents ne se conformant pas à l'axiome d'indépendance y est étudié de façon systématique et les résultats d'une expérience spécialement conçue pour tester cette catégorisation sont présentés<br>This thesis belongs to the domain of decision theory under uncertainty and aims to understand, describe and represent individual choices in various decision contexts. Our work focuses on the fact that economic behavior is often influenced by the structure and the timing of resolution of uncertainty. In a first experimental part, we confronted subjects with different types of uncertainty, namely risk (known probabilities), uncertainty (unknown probabilities), compound risk and compound uncertainty, which were generated using special random devices. In chapter 1 we analyze the heterogeneity of attitudes towards ambiguity, compound risk and compound uncertainty whereas in chapter 2, we use rank dependent expected utility as a measuring tool in order to individually investigate these attitudes. Chapter 3 confronts the interpretation of ambiguity in term of second order beliefs with the experimental data and proposes a method for eliciting the function that encapsulates attitudes toward ambiguity in the “recursive” or multistage models of decision under uncertainty. The second part of the thesis deals with individual decision making under risk in a dynamic context and is composed of two independent experimental studies. Both of them rely on the decomposition of the independence axiom into three dynamic axioms: consequentialism, dynamic consistency and reduction of compound lotteries. Chapter 4 reports experimental data about violations of each of the three axioms. Chapter 5 presents a conceptual categorization of individual behavior in sequential decision problems under risk, especially those which do not conform to the independence axiom. We propose an experiment specially designed to test the predictions of this categorization
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Vilan, Beatriz Correia Monrroy. "Financial structured products in the portuguese retail market : analysis of investor’s fitting and risk perception." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/20144.
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Mestrado em Finanças<br>Cada vez mais os investidores portugueses optam por investir em produtos estruturados que podem resultar em perdas de capital. Estes investidores individuais são atraídos pela publicidade de retornos elevados dos bancos portugueses que por sua vez têm vindo a reforçar a criatividade dos seus produtos transacionados.
O principal objetivo deste projeto é responder à pergunta: Quão adequados e apropriados são os produtos estruturados para os investidores individuais? Para isso, inicialmente, é apresentada uma revisão da literatura sobre os produtos estruturados e de seguida, um foco no mercado de retalho.
Paralelamente, uma amostra de base de dados (sobre os produtos estruturados disponíveis publicamente na banca portuguesa - CMVM - Comissão de Mercado de Valores Mobiliários) foi preparada para definir os produtos mais comuns e as condições para realizar a avaliação.
O objetivo deste trabalho é também debater as condições em que as decisões dos investidores individuais - usando soluções complexas de investimento - para além das suas capacidades de literacia financeira, podem originar um risco implícito que por sua vez pode afetar as suas expetativas na criação do seu ciclo de poupanças.
Os resultados mostram os retornos esperados publicitados são improváveis de ocorrer, e apenas em condições muito específicas para alguns investidores avessos ao risco, é preferível obter exposição indireta - usando os produtos estruturados - em vez de deter os ativos de risco. Mas, para os investidores em geral, a utilidade esperada pode favorecer a exposição direta aos ativos subjacentes.<br>More and more Portuguese investors are choosing to invest in structured products that can end up into capital losses. These individual investors are enticed by the advertising of high returns from national banks which have been strengthening the creativity of the traded products. Many of these structured products are too complex, and it can make them difficult to understand.
The main objective of this project is to answer the question: How fit and proper are structured products for individual investors? For that, at first, it is presented a literature review on structured products and focus on the research of retail segment.
In parallel, a sample database (on publicly available structured products in the banking industry - CMVM - Comissão de Mercado de Valores Mobiliários) was prepared to define the most common products and the conditions to perform the valuation.
The objective of this work is also to discuss the conditions where individual investors decisions - using complex investment solutions - beyond their financial literacy capabilities may originate a shadow risk that can impact their expectations on building their savings life cycle.
Results show that marketed expected returns are unlikely to occur, and only in very specific conditions for some risk averse investors it is preferable to gain indirect exposure - using structured products - rather than owning the risky assets. But, on general investors under expected utility may favor direct exposure to underlying assets.<br>info:eu-repo/semantics/publishedVersion
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Mattos, Alexandre José Negrini de. "Maximização da utilidade esperada, planejamento tributário e governança corporativa." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/96/96133/tde-10082017-144501/.
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Esta pesquisa examinou se a tomada de decisão dos agentes considera os custos e benefícios do planejamento tributário e se boas práticas de governança corporativa reduzem o engajamento dos gestores na prática de planejamento tributário. Adicionalmente, investigouse a relação entre utilidade esperada/valor esperado do planejamento tributário e o endividamento das empresas. Para mensurar se a prática do planejamento tributário tem relação com a maximização da utilidade esperada do agente (maximização dos benefícios gerados), desenvolveu-se um modelo baseado na proposta de Alligham e Sandmo (1972), segundo a qual, a prática do planejamento tributário está relacionada a uma análise econômica dos custos e benefícios desta ação. As premissas utilizadas foram o período de 13 anos de discussão administrativa e judicial do débito tributário, correção do débito tributário, custo de capital de terceiros e encargos de 100% do valor do tributo (multa, juros e honorários advocatícios). Os resultados foram expandidos para diversos cenários de tempo (períodos de 8, 13 e 18 anos), encargos de 50%, 100% e 150% e variável dependente calculada com base nos valores registrados como passivos contingentes (notas explicativas), contingências fiscais prováveis (reconhecida nas demonstrações contábeis), e soma de ambas. Além disso, as análises foram feitas em nível (nominal escalonada pelo ativo total) e logaritmo. A amostra pesquisa foi composta pelas empresas brasileiras de capital aberto que fizeram parte do índice IBrX100 e abrange o período de 2008 a 2015. As análises empíricas confirmam que na maior parte dos casos a utilidade esperada do agente (valor esperado) é positiva, indicando que a tomada de decisão sobre a prática de planejamento tributário é fruto da maximização da utilidade esperada do agente, o que pode explicar os elevados números registrados de provisões e passivos contingentes nas demonstrações financeiras e notas explicativas das empresas. Além disso, identificou-se que regras rígidas de governança corporativa possuem correlação negativa com a utilidade esperada do agente, podendo ser considerada como um desincentivo à prática de planejamento tributário. Identificou-se ainda, que a variável endividamento apresentou correlação negativa com a utilidade esperada ou o valor esperado do planejamento tributário. A utilização de um modelo para avaliação da utilidade esperada/valor esperado do planejamento tributário pode contribuir para a melhor compreensão desse fenômeno e para a proposição futuras de políticas públicas.<br>This study examined whether the decision-making of the agents considers the costs and benefits of tax avoidance and if good practices of corporate governance reduces the engagement of managers in the practice of tax avoidance. Additionally, it was investigated the relationship between the expected utility/expected value of tax avoidance and the indebtedness of the companies. In order to measure if the practice of tax avoidance is related to the maximization of the expected utility of the agent (maximization of the benefits generated), a model based on the proposal of Alligham and Sandmo (1972) was developed, according to which the practice of tax avoidance is related to an economic analysis of the costs and benefits. The premises used were the period of time of 13 years of administrative and judicial lawsuit, correction of the tax debt, cost of debt and charges of 100% (fine, interest and legal fees) over the tax unpaid. The results were expanded to several time scenarios (periods of 8, 13 and 18 years), charges of 50%, 100% and 150% and dependent variable calculated based on the amounts recorded as contingent liabilities (footnotes), tax provisions (financial statements), and sum of both. Furthermore, the analyses were done at level (nominal staggered by total assets) and logarithm. The research sample was composed of Brazilian publicly traded companies that were part of the IBrX100 index and covers the period between 2008 and 2015. Empirical analysis confirms that in most of the cases, the expected utility of the agent (expected value) is positive, indicating that the decision on the tax avoidance practice is a result of the maximization of the agent\'s expected utility, which may explain the large numbers of provisions and contingent liabilities in the financial statements and the footnotes of the companies. In addition, it was identified that rigid rules of corporate governance practices has a negative correlation with the expected utility of the agent, and can be considered as a disincentive to the practice of tax avoidance. It was also identified that the indebtedness variable presented a negative correlation with the expected utility or the expected value of the tax avoidance. The use of a model to evaluate the expected utility/expected value of tax avoidance can contribute to a better understanding of this phenomenon and to the future proposition of public policies.
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Karlsson, Oskar, and Oskar Sjöbeck. "The use of SRI strategies and motivational factors : A case study among banks and fund companies." Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-96879.
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Background: In today's society, there is more pressure to be sustainable and not least in the financial world. Several agreements, such as the Paris Agreement, have been created to steer countries towards more sustainability. When it comes to the economy, several SRI strategies have been developed to serve the same purpose. However, the problem that emerges is that investors who invest sustainably and use these strategies can lose returns and thus depart from their main goal of maximizing profits. Purpose: The purpose of this paper is to examine how SRI strategies are used by investors when constructing their portfolios in terms of profit maximization. The paper will thus conclude if the underlying motivation behind the choice of strategy is affected by maximizing profit. Method and implementation: By conducting a qualitative study and interviewing several fund managers at the largest banks and fund companies in Sweden, the authors aim to answer the research question. The answers provided by the respondents are presented and analyzed in the empirical section and linked to the study's theory. Conclusion: In this study, there is clearly shown that by investing, according to SRI, a professional investor is still able to profit maximize. The authors, therefore, see that the new way of being rational as an investor is to include SRI strategies. The relationship with being both sustainable and profit-maximizing can be seen as a significant motivating factor. The same can be said about reduced ESG risk and creating legitimacy towards customers. Furthermore, a combination of strategies can be seen as a way to create an optimal portfolio by the investors. This further proves that sustainable investing is the most rational way of investing and a way to achieve an investors main goal to profit maximize.
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Vieira, Pedro Nuno Rino Carreira. "Attitudes towards risk in financial decision making." Doctoral thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/11632.
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Doutoramento em Gestão<br>Risk and attitudes towards risk play a central role in several areas such as economics and psychology. Interestingly, in economics risk attitudes are addressed under the umbrella of the Utility Theory, while in psychology they are measured by psychometric scales.
Risk attitudes in financial decision making are here studied under both approaches with the concern of understanding how they are related. So, I propose a conceptual model that explains risk attitudes, I translate to Portuguese the DOSPERT - Domain-Specif Risk- Taking scale and apply it in Portugal and Angola, I measure risk attitudes under Utility Theory and with DOSPERT, in order to bring new insights about their relationship, and I address the link between risk attitude and consumption needs.
Among the main contributions, I propose a cause-effect model that helps solving the puzzle of individual inconsistent risk attitudes, I also propose a short version of the DOSPERT scale that can be used in Portugal and Angola, allowing comparisons between them, I report that risk attitudes depend on the consumption need underlying each financial investment decision and that risk attitudes under Utility Theory capture a more intrinsic and global risk attitude that impacts the risk attitude unveiled in each decision as measured by DOSPERT.
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Zhang, Ruohui. "Multialternative Decision Field Theory Model Fitting Using Different Measures of Attribute Weighting." Miami University / OhioLINK, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=miami1435832481.
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Trotin, Gwenola. "Essais sur la fraude à l'impôt sur le revenu." Thesis, Aix-Marseille, 2012. http://www.theses.fr/2012AIXM1080/document.
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L'objectif central de cette thèse est d'étudier le comportement de fraude fiscale des contribuables quand ils ne déclarent qu'une partie de leur revenu. Le premier chapitre complète la littérature existante en étudiant le niveau de déclaration du revenu et les effets de changements des taux de taxe, de pénalité et de probabilité de contrôle, en considérant des fonctions d'imposition et de pénalité non linéaire, dans le cadre de la théorie de l'espérance de l'utilité.Le cadre fourni par la théorie des perspectives cumulatives est ensuite utilisé dans le second chapitre. L'accent est mis sur la dépendance des décisions du contribuable vis-à-vis du revenu de référence introduit par cette théorie. Le troisième chapitre caractérise le barème optimal d'imposition du revenu et la stratégie de contrôle et de pénalité que doit mettre en place l'État quand le comportement de fraude des contribuables vérifie les propriétés de la théorie des perspectives<br>This dissertation analyzes the tax evasion behavior of taxpayers when they do not declare their entire income. The first chapter studies the declaration of the taxpayer and the effects of changes in the tax rate, the penalty rate and the probability of audit. The tax and the penalty functions are assumed to be non linear. The setting is provided by expected utility theory. The setting provided by cumulative prospect theory is used in the second chapter. Reference dependence, which is a central point in this theory, is particularly studied. The third chapter characterizes the optimal income tax and audit schemes under taxe evasion behavior, when of tax payers behave as predicted by prospect theory
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Kašová, Jana. "Ekonomické a psychologické aspekty rozhodování a chování jedince." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-124995.
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The dissertation called Economic and Psychological Aspects of a Consumer's Behaviour and Decision-Making is dedicated to a consumer's behaviour and decision-making in economic and financial issues from the perspective of classic economy, psychology and behavioural economy. The theoretical part describes the expected utility theory and psychological findings on one hand, and presents the so called Prospect Theory and systematic biases on the other hand. The practical part comprises a research. Mission of the questionnaire survey is to find out whether behaviour and decision-making are rational and correspond with the classic economy theory or whether consumers behave irrationally and verify presumptions of behavioural economy.
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Bergman, Torbjörn. "Constitutional rules and party goals in coalition formation : an analysis of winning minority governments in Sweden." Doctoral thesis, Umeå universitet, Statsvetenskapliga institutionen, 1995. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-8665.
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This study starts with two theoretical puzzles within the rational choice oriented literature on government formation in parliamentary democracies: the relative importance of constitutional rules and the existence of multiple party goals. From these puzzles stem the research questions that guide the study: First, what is the theoretical and empirical link between constitutional arrangements (including rules) and party goals? Second, what are the goals of political parties and how can these be studied? Third, relative to the goals of political parties and other constitutional arrangements, what is the importance of government formation rules for the empirical record of minority and majority governments?Coalition theory provides the theoretical starting point from which the research questions stem. The historical-institutional strand of new institutionalism is used to guide the general understanding of the importance of institutional context. The rational choice oriented strand is used for a detailed study of the design of the Swedish government formation rules and an analysis of how the formation rules affect the goal seeking (micro-logic) of actors.Based on both cross-national data and an in-depth study of Swedish coalition and government formation, the analysis shows that the answer to research question number one is that the link between constitutional arrangements and party goals is one of co-determination. The answer to research question number two is that party leaders pursue four main goals and that this should be an explicit model assumption. The answer to research question number three is that the government formation rules help determine the parties' bargaining positions and for that reason they are of significant importance for the formation of minority and majority governments.<br>digitalisering@umu
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Dahlgren, Simon, and Anton Heglert. "Beslutstagande under risk inom svenska bostadsaktiebolag : En kvantitativ studie före och efter implementeringen av Lag (2010:879) om allmännyttiga bostadsaktiebolag." Thesis, Umeå universitet, Företagsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124108.
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Svensk bostadsmarknad har länge präglats av en snedvriden konkurrens med en markant fördel till Sveriges kommunala allmännyttiga bostadsaktiebolag jämte de privata bostadsaktiebolagen. I syfte att utjämna existerande sektoriella diskrepanser och skapa en konkurrensneutral marknad med jämlika villkor för privata respektive kommunala bostadsaktiebolag, infördes per den 1:a januari år 2011, Lag (2010:879) om allmännyttiga bostadsaktiebolag. Lagen innebär för de kommunala bostadsaktiebolagen ett avsteg från den tidigare självkostnadsprincipen mot ett i högre grad affärsmässig agerande enligt vinstdrivande syfte. Denna studie avser utifrån sambandet mellan risk och avkastning inom svenska bostadsaktiebolag, undersöka huruvida svenska kommunala allmännyttiga bostadsaktiebolag efter införandet av lagen uppvisar ett mer affärsmässigt agerande i termer om risk och avkastning på totalt kapital. Studiens teoretiska utgångspunkter tar huvudsakligen ansats i prospektteorin samt den förväntade nyttoteorin, vilka utgör två välrenommerade modeller i syfte att förklara beslutstagande under risk. Den förväntade nyttoteorin antar att individer är rationella nyttomaximerare och därefter agerar antingen riskaversivt, risksökande eller riskneutralt. Prospektteorin hävdar i motsats till den förväntade nyttoteorin att individen kan vara en kombination av riskaversiv, risksökande och riskneutral. Varav individen således inte alltid antas agera rationellt. Författarna har funnit flertalet tidigare forskare vilka genom perspektivet av den strategiska företagsledningen, bevisat stöd för prospektteorin som förklarande modell av beslutstagande under risk på företagsnivå, inom och mellan olika branscher. Därmed ställer författarna följande frågeställning: Uppvisar Sveriges kommunala allmännyttiga bostadsaktiebolag ett i högre grad affärsmässigt riskbeteende efter införandet av Lag (2010:879) om allmännyttiga bostadsaktiebolag? Utifrån sekundärdata insamlad via databasen Retriever Business har ett kvantitativt metodangrepp tillämpats i syfte att besvara studiens framställda hypoteser. Insamlad data består av de svenska bostadsaktiebolagens årliga avkastning på totalt kapital för tidsperioden 2006-2010 samt 2011-2014. Det empiriska materialet har vidare analyserats genom korstabeller, rangkorrelationer samt deskriptiv statistik. Resultatet visade att prospektteorin utgör ett bra alternativ som deskriptiv modell av beslutstagande under risk inom svenska bostadsaktiebolag. Enligt prospektteorin påvisades att svenska bostadsaktiebolags riskbeteende varierar beroende på bolagets branschallokering i förhållande till branschens genomsnittliga prestation, varav den strategiska företagsledningen inom svenska bostadsaktiebolag kan antas vara en sammanslagning av både risksökande och riskaversiva. Därmed motsäger resultatet den förväntade nyttoteorins antaganden om att individen alltid agerar rationellt. Vidare påvisade jämförelse av de kommunala bostadsaktiebolagens riskbeteende före och efter reformen att de kommunala bostadsaktiebolagens riskbeteende inte påverkats i större utsträckning, varför indikationer ges att allmännyttiga bostadsaktiebolag inte agerar i högre grad affärsmässigt efter Lag (2010:879) om allmännyttiga bostadsaktiebolag.
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Moura, Alexandra Bugalho de. "Optimal reinsurance of dependent risks." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14783.
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Mestrado em Actuarial Science<br>Esta Tese foca-se no problema do resseguro ótimo para dois riscos dependentes, do ponto de vista da seguradora que cede o risco. A dependência entre os dois riscos é modelada através de cópulas.
O problema de otimização a resolver consiste em encontrar a combinação de tratados de quota-share e stop-loss, para cada risco, que maximiza a utilidade esperada ou o coeficiente de ajustamento do lucro total da seguradora. Sabe-se que estes dois critérios estão ligados e que o coeficiente de ajustamento está relacionado com a probabilidade da seguradora ficar insolvente em tempo finito, através da desigualdade de Lundberg.
Os resultados foram obtidos numericamente, usando o software Mathematica. A sensibilidade da estratégia de resseguro ótimo a vários valores do parâmetro de dependência, a diferentes distribuições dos riscos subjacentes e a diversos princípios de cálculo de prémios de resseguro foi analisada para três famílias diferentes de cópulas, descrevendo diferentes comportamentos da cauda da distribuição conjunta. Os resultados mostram que as dependências alteram o tratado de resseguro ótimo. Diferentes estruturas de dependência, i.e. diferentes cópulas, produzem diferentes valores para os níveis ótimos de retenção. No caso do princípio do valor esperado calculado sobre o risco total cedido, o tratado stop-loss puro é sempre ótimo, mas isso não acontece para os restantes princípios de cálculo de prémios. Em geral, o nível ótimo de retenção do tratado de quota-share decresce quando a dependência entre os riscos aumenta. Para todos os casos considerados, o coeficiente de ajustamento máximo diminui quando a dependência aumenta.<br>This Thesis focuses on optimal reinsurance problem for two dependent risks, from the point of view of the ceding insurance company. We assume that the two risks are dependent by means of a copula structure. By risk we mean a line of business, a portfolio of policies or a policy.
The problem consists in finding the optimal combination of quota-share and stop loss treaties, for each risk, that maximizes the expected utility or the adjustment coefficient of the total wealth of the insurer. It is known that these two criteria are connected and moreover the adjustment coefficient is related to the ultimate probability of ruin of the insurer through the Lundberg inequality. Results are obtained numerically, using the software Mathematica. Sensitivity of the optimal reinsurance strategy to several values of the dependence parameter, to different distributions of the underlying risks and to a variety of reinsurance premium calculation principles are performed in three families of copulas describing different tail behaviours of the joint distribution function.
Results show that dependencies alter the optimal treaty. Different dependence structures, i.e. different copulas, provide different values for the optimal retention levels. In the case of the expected value principle computed on the total ceded risk, the pure stop loss contract is always optimal, but that is not the case for the remaining premium computation principles. In general, the QS retention level decreases when dependence between the risks increases. For all cases considered, the maximum adjustment coefficient decreases when dependence increases.<br>info:eu-repo/semantics/publishedVersion
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Gupta, Upavan. "Utilitarian approaches for multi-metric optimization in VLSI circuit design and spatial clustering." [Tampa, Fla] : University of South Florida, 2008. http://purl.fcla.edu/usf/dc/et/SFE0002584.
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