Lottery Valuation Using the Relative Utility (Aspiration) Function

• Autorzy: Krzysztof Kontek
• Języki publikacji: EN

Abstrakty

EN

The paper presents a method for lottery valuation using the relative utility function, which resembles the utility curve proposed by Markowitz (1952a). The paper discusses lotteries with discrete and continuous outcome distributions as well as lotteries with positive, negative and mixed outcomes. The solution is similar to the Expected Utility Theory approach and does not use the probability weighting function. Solutions to several classical behavioral problems, including the Allais paradox, are presented, demonstrating that the method can be used for valuing lotteries even in more complex cases of outcomes described by a combination of Beta distributions.(original abstract)

Słowa kluczowe

EN

Valuation; Allais paradox

PL

Wycena; Paradoks Allais

• Czasopismo: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia
• Rocznik: 2010
• Numer: nr 25
• Strony: 609--632

Twórcy

autor

Krzysztof Kontek

• Artal Investments

Bibliografia

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