Wilcox, Nathaniel (2016): Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions.
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Abstract
For simple prospects of the kind routinely used for certainty equivalent elicitation, random expected utility preferences imply a conditional expectation function that can mimic deterministic rank dependent preferences. That is, an agent with random expected utility preferences can have mean certainty equivalents that look exactly like rank dependent probability weighting functions of the inverses shape discussed by Quiggin (1982) and later advocated by Tversky and Kahneman (1992) and other scholars. It seems that certainty equivalents cannot nonparametrically identify preferences, at least not in every relevant sense, since their conditional expectation depends on assumptions concerning the source and nature of their variability.
Item Type:  MPRA Paper 

Original Title:  Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions 
Language:  English 
Keywords:  Random Expected Utility, Certainty Equivalents, Money Equivalents, Probability Weighting, Probability Weighting Function, Weighting Function 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C9  Design of Experiments > C91  Laboratory, Individual Behavior D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty 
Item ID:  73173 
Depositing User:  Professor Nathaniel Wilcox 
Date Deposited:  18 Aug 2016 14:09 
Last Modified:  03 Oct 2019 07:19 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/73173 
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Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions. (deposited 15 Aug 2016 09:24)
 Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions. (deposited 18 Aug 2016 14:09) [Currently Displayed]