[article]
| Titre : |
Multiattribute utility satisfying a preference for combining good with bad |
| Type de document : |
texte imprimé |
| Auteurs : |
Ilia Tsetlin, Auteur ; Robert L. Winkler, Auteur |
| Article en page(s) : |
pp. 1942-1952 |
| Note générale : |
Gestion |
| Langues : |
Anglais (eng) |
| Mots-clés : |
Multiattribute utility Combining good with bad Mixex Risk aversion Multivariate one-switch property Sumex Laplace transform |
| Index. décimale : |
658 Organisation des entreprises. Techniques du commerce |
| Résumé : |
An important challenge in multiattribute decision analysis is the choice of an appropriate functional form for the utility function. We show that if a decision maker prefers more of any attribute to less and prefers to combine good lotteries with bad, as opposed to combining good with good and bad with bad, her utility function should be a weighted average (a mixture) of multiattribute exponential utilities ("mixex utility"). In the single-attribute case, mixex utility satisfies properties typically thought to be desirable and encompasses most utility functions commonly used in decision analysis. In the multiattribute case, mixex utility implies aversion to any multivariate risk. Risk aversion with respect to any attribute decreases as that attribute increases. Under certain restrictions, such risk aversion also decreases as any other attribute increases, and a multivariate one-switch property is satisfied. One of the strengths of mixex utility is its ability to represent cases where utility independence does not hold, but mixex utility can be consistent with mutual utility independence and take on a multilinear form. An example illustrates the fitting of mixex utility to preference assessments.
|
| DEWEY : |
658 |
| ISSN : |
0025-1909 |
| En ligne : |
http://mansci.journal.informs.org/cgi/content/abstract/55/12/1942?maxtoshow=&hit [...] |
in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1942-1952
[article] Multiattribute utility satisfying a preference for combining good with bad [texte imprimé] / Ilia Tsetlin, Auteur ; Robert L. Winkler, Auteur . - pp. 1942-1952. Gestion Langues : Anglais ( eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1942-1952
| Mots-clés : |
Multiattribute utility Combining good with bad Mixex Risk aversion Multivariate one-switch property Sumex Laplace transform |
| Index. décimale : |
658 Organisation des entreprises. Techniques du commerce |
| Résumé : |
An important challenge in multiattribute decision analysis is the choice of an appropriate functional form for the utility function. We show that if a decision maker prefers more of any attribute to less and prefers to combine good lotteries with bad, as opposed to combining good with good and bad with bad, her utility function should be a weighted average (a mixture) of multiattribute exponential utilities ("mixex utility"). In the single-attribute case, mixex utility satisfies properties typically thought to be desirable and encompasses most utility functions commonly used in decision analysis. In the multiattribute case, mixex utility implies aversion to any multivariate risk. Risk aversion with respect to any attribute decreases as that attribute increases. Under certain restrictions, such risk aversion also decreases as any other attribute increases, and a multivariate one-switch property is satisfied. One of the strengths of mixex utility is its ability to represent cases where utility independence does not hold, but mixex utility can be consistent with mutual utility independence and take on a multilinear form. An example illustrates the fitting of mixex utility to preference assessments.
|
| DEWEY : |
658 |
| ISSN : |
0025-1909 |
| En ligne : |
http://mansci.journal.informs.org/cgi/content/abstract/55/12/1942?maxtoshow=&hit [...] |
|
Ajouter le résultat dans votre panier Faire une suggestion Affiner la rechercheMultiattribute utility satisfying a preference for combining good with bad / Ilia Tsetlin in Management science, Vol. 55 N° 12 (Décembre 2009)
