Non-Allais Paradox and Context-Dependent Risk Attitudes

• Tác giả: Edward Honda, Keh-Kuan Sun
• Ngôn ngữ: eng
• Ký hiệu phân loại: 201.7 Attitudes of religions toward social issues formerly 291.171
• Thông tin xuất bản: 2024
• Bộ sưu tập: Báo, Tạp chí
• ID: 205070

Tóm tắt

We provide and axiomatize a representation of preferences over lotteries that generalizes the expected utility model. Our representation is consistent with the violations of the independence axiom that we observe in the laboratory experiment that we conduct. The violations differ from the Allais Paradox in that they are incompatible with some of the most prominent non-expected utility models. Our representation can be interpreted as a decision-maker with context-dependent attitudes to risks and allows us to generate various types of realistic behavior. We analyze some properties of our model, including specifications that ensure preferences for first-order stochastic dominance. We test whether subjects in our experiment exhibit the type of context-dependent risk attitudes that arise in our model.