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Eliciting decision weights by adapting de Finetti's betting-odds method to prospect theory

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  • Diecidue, E.

    (Tilburg University)

  • Wakker, P.P.

    (Tilburg University)

  • Zeelenberg, M.

    (Tilburg University)

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-225938.

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Date of creation: 2007
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Publication status: Published in Journal of Risk and Uncertainty (2007) v.34, p.179-199
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-225938

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Web page: http://www.tilburguniversity.edu/

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References

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  1. Mohammed Abdellaoui & Frank Vossmann & Martin Weber, 2005. "Choice-Based Elicitation and Decomposition of Decision Weights for Gains and Losses Under Uncertainty," Management Science, INFORMS, INFORMS, vol. 51(9), pages 1384-1399, September.
  2. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, Springer, vol. 5(4), pages 297-323, October.
  3. Chris Starmer, 1999. "Cycling with Rules of Thumb: An Experimental Test for a new form of Non-Transitive Behaviour," Theory and Decision, Springer, Springer, vol. 46(2), pages 139-157, April.
  4. Thomas Palfrey, 2002. "Quantal Response Equilibrium and Overbidding in Private Value Auctions," Theory workshop papers, UCLA Department of Economics 357966000000000089, UCLA Department of Economics.
  5. Glenn Harrison & Morten Lau & Elisabet Rutstrom, 2004. "Estimating risk attitudes in denmark: A field experiment," Artefactual Field Experiments, The Field Experiments Website 00059, The Field Experiments Website.
  6. Mohammed Abdellaoui & Han Bleichrodt & Olivier L’Haridon, 2008. "A tractable method to measure utility and loss aversion under prospect theory," Journal of Risk and Uncertainty, Springer, Springer, vol. 36(3), pages 245-266, June.
  7. Shiller, Robert J & Kon-Ya, Fumiko & Tsutsui, Yoshiro, 1996. "Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 156-64, February.
  8. Viscusi, W Kip, 1989. " Prospective Reference Theory: Toward an Explanation of the Paradoxes," Journal of Risk and Uncertainty, Springer, Springer, vol. 2(3), pages 235-63, September.
  9. Glenn W. Harrison & Morten I. Lau & Melonie B. Williams, 2002. "Estimating Individual Discount Rates in Denmark: A Field Experiment," American Economic Review, American Economic Association, American Economic Association, vol. 92(5), pages 1606-1617, December.
  10. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
  11. Tversky, Amos & Wakker, Peter, 1995. "Risk Attitudes and Decision Weights," Econometrica, Econometric Society, Econometric Society, vol. 63(6), pages 1255-80, November.
  12. Olivier Armantier, 2006. "Do Wealth Differences Affect Fairness Considerations?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 391-429, 05.
  13. Rabin, Matthew, 2000. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley qt731230f8, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  14. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  15. Nau, Robert F, 1995. "Coherent Decision Analysis with Inseparable Probabilities and Utilities," Journal of Risk and Uncertainty, Springer, Springer, vol. 10(1), pages 71-91, January.
  16. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, Econometric Society, vol. 47(2), pages 263-91, March.
  17. Han Bleichrodt & Jose Luis Pinto, 2000. "A Parameter-Free Elicitation of the Probability Weighting Function in Medical Decision Analysis," Management Science, INFORMS, INFORMS, vol. 46(11), pages 1485-1496, November.
  18. Dow, James & Werlang, Sergio Ribeiro da Costa, 1992. "Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 197-204, January.
  19. Diecidue, Enrico & Wakker, Peter P., 2002. "Dutch books: avoiding strategic and dynamic complications, and a comonotonic extension," Mathematical Social Sciences, Elsevier, Elsevier, vol. 43(2), pages 135-149, March.
  20. Palfrey, Thomas R. & Goeree, Jacob & Holt, Charles, 2000. "Quantal Response Equilibrium and Overbidding in Private-value Auctions," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences 1073, California Institute of Technology, Division of the Humanities and Social Sciences.
  21. Chateauneuf, Alain & Eichberger, Jürgen & Grant, Simon, 2003. "Choice under Uncertainty with the Best and Worst in Mind: Neo-additive Capacities," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim 03-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  22. Yaw Nyarko & Andrew Schotter, 2002. "An Experimental Study of Belief Learning Using Elicited Beliefs," Econometrica, Econometric Society, Econometric Society, vol. 70(3), pages 971-1005, May.
  23. William Harbaugh & Kate Krause & Lise Vesterlund, 2002. "Risk attitudes of children and adults: Choices over small and large probability gains and losses," Artefactual Field Experiments, The Field Experiments Website 00055, The Field Experiments Website.
  24. William T. Harbaugh & Kate Krause & Lise Vesterlund, 1999. "Risk attitudes of children and adults: choices over small and large probability gains and losses," University of Oregon Economics Department Working Papers, University of Oregon Economics Department 1999-2, University of Oregon Economics Department.
  25. Neilson, William S & Stowe, Jill, 2002. " A Further Examination of Cumulative Prospect Theory Parameterizations," Journal of Risk and Uncertainty, Springer, Springer, vol. 24(1), pages 31-46, January.
  26. Craig R. Fox & Amos Tversky, 1998. "A Belief-Based Account of Decision Under Uncertainty," Management Science, INFORMS, INFORMS, vol. 44(7), pages 879-895, July.
  27. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  28. Quiggin, John & Horowitz, John, 1995. "Time and Risk," Journal of Risk and Uncertainty, Springer, Springer, vol. 10(1), pages 37-55, January.
  29. Karni, Edi, 1996. "Probabilities and Beliefs," Journal of Risk and Uncertainty, Springer, Springer, vol. 13(3), pages 249-62, November.
  30. George Wu & Richard Gonzalez, 1999. "Nonlinear Decision Weights in Choice Under Uncertainty," Management Science, INFORMS, INFORMS, vol. 45(1), pages 74-85, January.
  31. Chris Starmer, 2000. "Developments in Non-expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 38(2), pages 332-382, June.
  32. Chateauneuf, Alain, 1991. "On the use of capacities in modeling uncertainty aversion and risk aversion," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 343-369.
  33. Fox, Craig R & Rogers, Brett A & Tversky, Amos, 1996. "Options Traders Exhibit Subadditive Decision Weights," Journal of Risk and Uncertainty, Springer, Springer, vol. 13(1), pages 5-17, July.
  34. Starmer, Chris & Sugden, Robert, 1991. "Does the Random-Lottery Incentive System Elicit True Preferences? An Experimental Investigation," American Economic Review, American Economic Association, American Economic Association, vol. 81(4), pages 971-78, September.
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Citations

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Cited by:
  1. Olivier L’Haridon & Lætitia Placido, 2010. "Betting on Machina’s reflection example: an experiment on ambiguity," Theory and Decision, Springer, Springer, vol. 69(3), pages 375-393, September.
  2. Amit Kothiyal & Vitalie Spinu & Peter Wakker, 2014. "An experimental test of prospect theory for predicting choice under ambiguity," Journal of Risk and Uncertainty, Springer, Springer, vol. 48(1), pages 1-17, February.
  3. Kuilen, G. van de & Wakker, P.P., 2011. "The midweight method to measure attitudes towards risk and ambiguity," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-4275073, Tilburg University.
  4. Mohammed Abdellaoui & Aurelien Baillon & Laetitia Placido & Peter P. Wakker, 2011. "The Rich Domain of Uncertainty: Source Functions and Their Experimental Implementation," American Economic Review, American Economic Association, American Economic Association, vol. 101(2), pages 695-723, April.

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