Logo
Munich Personal RePEc Archive

Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions

Wilcox, Nathaniel (2016): Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions.

Warning
There is a more recent version of this item available.
[thumbnail of MPRA_paper_73068.pdf] PDF
MPRA_paper_73068.pdf

Download (445kB)

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 inverse-s 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.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.