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Efficient robust elicitation of individual utility and decision weight functions
| Content Provider | Semantic Scholar |
|---|---|
| Author | Blavatskyy, Pavlo |
| Copyright Year | 2004 |
| Abstract | Abstract: In choice under risk an individual decision making is typically described by an individual's utility function over monetary outcomes and an individual’s decision weight function over probabilities. A three-stage procedure is proposed for efficient robust nonparametric elicitation of these functions. First, a tradeoff method is used to elicit several probabilities with a known individual’s decision weight. Second, these probabilities are used as input for a certainty equivalent method to elicit an individual’s utility function. Third, an elicited individual’s utility function is used as input for a probability equivalent method to elicit an individual’s decision weight function. This elicitation procedure is robust in a sense that it is not affected by individual’s nonlinear weighting of probabilities. Additionally, this elicitation procedure is optimally efficient in a sense that it has a much slower speed of error propagation (though not necessary lower errors) than other available methods. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.grid.ensam.estp.fr/furxi/abstracts/blavatskyy_pavlo.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
