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Generalized Expected Utility, Heteroscedastic Error, and Path Dependence in Risky Choice

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  • David Buschena
  • David Zilberman
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    File URL: http://hdl.handle.net/10.1023/A:1007814719863
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Risk and Uncertainty.

    Volume (Year): 20 (2000)
    Issue (Month): 1 (January)
    Pages: 67-88

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    Handle: RePEc:kap:jrisku:v:20:y:2000:i:1:p:67-88

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    Web page: http://www.springerlink.com/link.asp?id=100299

    Related research

    Keywords: generalized-expected utility; heteroscedastic error; path-dependence;

    References

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    1. Chew, S H & Epstein, Larry G & Segal, U, 1991. "Mixture Symmetry and Quadratic Utility," Econometrica, Econometric Society, vol. 59(1), pages 139-63, January.
    2. Buschena, David & Zilberman, David, 1995. "Performance of the Similarity Hypothesis Relative to Existing Models of Risky Choice," Journal of Risk and Uncertainty, Springer, vol. 11(3), pages 233-62, December.
    3. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    4. Rubinstein, Ariel, 1988. "Similarity and decision-making under risk (is there a utility theory resolution to the Allais paradox?)," Journal of Economic Theory, Elsevier, vol. 46(1), pages 145-153, October.
    5. Segal, Uzi, 1987. "The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 175-202, February.
    6. Aizpurua, J M, et al, 1993. " Similarity and Preferences in the Space of Simple Lotteries," Journal of Risk and Uncertainty, Springer, vol. 6(3), pages 289-97, June.
    7. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
    8. John Conlisk, 1996. "Why Bounded Rationality?," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 669-700, June.
    9. Hey, John D & Orme, Chris, 1994. "Investigating Generalizations of Expected Utility Theory Using Experimental Data," Econometrica, Econometric Society, vol. 62(6), pages 1291-1326, November.
    10. John Leland, 2010. "Generalized Similarity Judgments: An Alternative Explanation for Choice Anomalies," Levine's Working Paper Archive 7644, David K. Levine.
    11. Hey, John D., 1995. "Experimental investigations of errors in decision making under risk," European Economic Review, Elsevier, vol. 39(3-4), pages 633-640, April.
    12. Dekel, Eddie, 1986. "An axiomatic characterization of preferences under uncertainty: Weakening the independence axiom," Journal of Economic Theory, Elsevier, vol. 40(2), pages 304-318, December.
    13. Loomes, Graham & Sugden, Robert, 1982. "Regret Theory: An Alternative Theory of Rational Choice under Uncertainty," Economic Journal, Royal Economic Society, vol. 92(368), pages 805-24, December.
    14. Viscusi, W Kip, 1989. " Prospective Reference Theory: Toward an Explanation of the Paradoxes," Journal of Risk and Uncertainty, Springer, vol. 2(3), pages 235-63, September.
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    Citations

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    Cited by:
    1. Wilcox, Nathaniel T., 2011. "'Stochastically more risk averse:' A contextual theory of stochastic discrete choice under risk," Journal of Econometrics, Elsevier, vol. 162(1), pages 89-104, May.
    2. Anna Conte & John D Hey & Peter G Moffatt, 2007. "Mixture Models of Choice Under Risk," Discussion Papers 07/06, Department of Economics, University of York.
    3. Blavatskyy, Pavlo R., 2008. "Stochastic utility theorem," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1049-1056, December.
    4. Graham Loomes & José Luis Pinto-Prades & Jose Maria Abellan-Perpinan & Eva Rodriguez-Miguez, 2010. "Modelling Noise and Imprecision in Individual Decisions," Working Papers 10.03, Universidad Pablo de Olavide, Department of Economics.
    5. Buschena, David E. & Atwood, Joseph A., 2011. "Evaluation of similarity models for expected utility violations," Journal of Econometrics, Elsevier, vol. 162(1), pages 105-113, May.
    6. Just, Richard E., 2000. "Some Guiding Principles For Empirical Production Research In Agriculture," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 29(2), October.

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