Wilcox, Nathaniel (2016): Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions.
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Abstract
For simple prospects 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 expected certainty equivalents exactly like those predicted by rank dependent probability weighting functions of the inverses shape discussed by Quiggin (1982) and advocated by Tversky and Kahneman (1992), Prelec (1998) and other scholars. Certainty equivalents may not nonparametrically identify preferences: Their conditional expectation (and critically, their interpretation) depends on assumptions concerning the source 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:  75327 
Depositing User:  Professor Nathaniel Wilcox 
Date Deposited:  30 Nov 2016 07:37 
Last Modified:  29 Sep 2019 22:41 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/75327 
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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)
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Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions. (deposited 18 Aug 2016 14:09)