Wybrane metody szacowania funkcji użyteczności i funkcji wartości

• Autorzy: Renata Dudzińska-Baryła

Warianty tytułu

Selected Methods of Valuation of Utility Function and Value Function

• Języki publikacji: PL

Abstrakty

W pracy dokonano przeglądu wybranych metod określania funkcji użyteczności oraz funkcji wartości. Podejście teoretyczne zostało wzbogacone przykładem praktycznego wykorzystania jednej z metod. (fragment tekstu)

EN

In many studies utility function as wen as value function and probability weighting function are assumed in the form estimated by theirs authors. These functions ref1ect personal decision-makers preferences and they ought to be estimated individually. This paper is a survey of selected methods of assessing utility function and value function. The certainty equivalence methods, probability equivalence methods and gamble-tradeofI method by P. Wakker and D. Deneffe are presented. These methods are used for assessing utility function based on expected utility theory. The method of assessing value function (by Abdellaoui, Bleichrodt and L'Haridon) which is used to valuate uncertain decision alternative based on prospect theory is also presented in this paper. An example is an illustration of the last method. (original abstract)

Słowa kluczowe

PL

Badania operacyjne

EN

Operations research

• Czasopismo: Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2012
• Numer: nr 97 Modelowanie preferencji a ryzyko '12
• Strony: 61--82

Twórcy

autor

Renata Dudzińska-Baryła

• Uniwersytet Ekonomiczny w Katowicach

Bibliografia

• Abdellaoui M. (2000). Parameter-free Elicitation of Utilities and Probability Weighting Functions. Management Science, 46, s. 1497-1512.
• Abdellaoui M., Bleichrodt H. (2007). E1iciting Gul's Theory of Disappointment Aversion by the Tradeoff Method. Jouma1 of Economic Psycho10gy, 28, s.631-645.
• Abdellaoui M., B1eichrodt H., L'Haridon O. (2008). A Tractab1e Method to Measure Uti1ity and Loss Aversion under Prospect Theory. Jouma1 of Risk and Uncertainty, 36, s. 245-266.
• Abdellaoui M., Vossmann F., Weber M. (2005). Choice-based E1icitation and Decomposition of Decision Weights for Gains and Losses under Uncertainty. Management Science, 51(9), s. 1384-1399.
• Donkers B., Me1enberg B., van Soest A. (2001). Estimating Risk Attitudes Using Lotteries. A Large Samp1e Approach. Jouma1 of Risk and Uncertainty, 22(2), s. 165-195.
• Farquhar P. (1984). Utility Assessment Methods. Management Science, ,30(11), s. 1283-1300.
• Gul F. (1991). A Theory of Disappointment Aversion. Econometrica, 59(3), s. 667-686.
• Kahneman D., Tversky A. (1979). Prospect Theory: An Analysis of Decision Under Risk. Econometrica, 47, s. 263-291.
• Novick M., Lindley D. (1979). Fixed-state Assessment ofUti1ity Functions. Journal of American Statistical Association, 74, s. 306-311.
• Tversky A., Kahneman D. (1992). Advances in Prospect Theory: Cumulative Representation ofUncertainty. Joumal ofRisk and Uncertainty, 5, s. 297-323.
• Wakker P., Deneffe D. (1996). Eliciting von Neumann-Morgenstem Utilities when Probabilities are Distorted or Unknown. Management Science, 42(8), s. 1131-1150.