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Discriminating between Preference Functionals: A Preliminary Monte Carlo Study

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Author Info
Carbone, Enrica
Hey, John D

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Abstract

This article is connected with recent attempts to estimate EU and Generalised EU preference functionals using (complete ranking) experimental data and maximum likelihood estimation techniques. In particular, we explore, using Monte Carlo techniques, the power of such procedures in correctly determining the true preference functional. We conclude that several of the more popular generalisations to EU are very difficult to disentangle, and that the techniques are rather poor at correctly identifying EU when it is the correct functional. Copyright 1994 by Kluwer Academic Publishers

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

Volume (Year): 8 (1994)
Issue (Month): 3 (May)
Pages: 223-42
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Handle: RePEc:kap:jrisku:v:8:y:1994:i:3:p:223-42

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  1. John D. Hey, . "Comparing Theories: What are we Looking For?," Discussion Papers 99/18, Department of Economics, University of York. [Downloadable!]
  2. John Hey & Enrica Carbone, . "Which Error Theory is Best?," Discussion Papers 99/31, Department of Economics, University of York. [Downloadable!]
  3. Henry Stott, 2006. "Cumulative prospect theory's functional menagerie," Journal of Risk and Uncertainty, Springer, vol. 32(2), pages 101-130, March. [Downloadable!] (restricted)
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