Kilka, Michael (Sonderforschungsbereich 504) Weber, Martin () (Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre)
Abstract
Decision weights are an important component in recent theories for decision making under uncertainty. To better explain these decision weights, a two stage approach has been proposed: first, the probability of an event is judged and then this probability is transformed by the probability weighting function known from decision making under risk. We extend the two stage approach by allowing the probability weighting function to depend on the type of uncertainty. Using this more general approach, certain properties of decision weights can be attributed to certain properties of probability judgments and/or to certain properties of probability weighting. After deriving these relations between decision weights, probability judgments and probability weighting under uncertainty, we present an empirical study which shows that it is indeed neccessary to allow the probability weighting function to be source dependent. The analysis includes an examination of properties of the probability weighting function under uncertainty which have not been considered yet.
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Publisher Info
Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number
98-11.
Length: 31 pages Date of creation: 20 Jul 1998 Date of revision: Handle: RePEc:xrs:sfbmaa:98-11
Note: Financial Support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged. Contact details of provider: Postal: D-68131 Mannheim Phone: (49) (0) 621-292-2547 Fax: (49) (0) 621-292-5594 Email: Web page: http://www.sfb504.uni-mannheim.de/ More information through EDIRC
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Jürgen Eichberger & David Kelsey & Burkhard C. Schipper, 2005.
"Ambiguity and Social Interaction,"
Discussion Papers
59, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
[Downloadable!]
Other versions:
Eichberger, Jurgen & Kelsey, Davis & Schipper, Burkhard, 2007.
"Ambiguity and Social Interaction,"
Working Papers
05-36, University of California at Davis, Department of Economics.
[Downloadable!]
Jürgen Eichberger & David Kelsey & Burkhard C. Schipper, 2007.
"Ambiguity and Social Interaction,"
Working Papers
0443, University of Heidelberg, Department of Economics, revised May 2007.
[Downloadable!]