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Multiattribute one-switch utility / Ilia Tsetlin in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 602-605 Titre : Multiattribute one-switch utility Type de document : texte imprimé Auteurs : Ilia Tsetlin, Auteur ; Robert L. Winkler, Auteur Année de publication : 2012 Article en page(s) : pp. 602-605 Note générale : Management Langues : Anglais (eng) Mots-clés : Decision  analysis  Multiattribute  utility  One-switch  property  Utility  assessment  Sumex  utility Résumé : The one-switch property states that the preference between any two lotteries switches at most once as wealth increases. Working within the expected utility framework, we extend the one-switch notion to the multiattribute case and identify the families of multiattribute utility functions that are one-switch. We then show that all multiattribute one-switch utility functions can be approximated by a sum of two multiattribute exponential utilities (sumex utility). Finally, we discuss how the one-switch property, when appropriate, can simplify the assessment of multiattribute utility. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Multiattribute one-switch utility [texte imprimé] / Ilia Tsetlin, Auteur ; Robert L. Winkler, Auteur . - 2012 . - pp. 602-605. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 602-605 Mots-clés : Decision  analysis  Multiattribute  utility  One-switch  property  Utility  assessment  Sumex  utility Résumé : The one-switch property states that the preference between any two lotteries switches at most once as wealth increases. Working within the expected utility framework, we extend the one-switch notion to the multiattribute case and identify the families of multiattribute utility functions that are one-switch. We then show that all multiattribute one-switch utility functions can be approximated by a sum of two multiattribute exponential utilities (sumex utility). Finally, we discuss how the one-switch property, when appropriate, can simplify the assessment of multiattribute utility. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Multiattribute utility satisfying a preference for combining good with bad / Ilia Tsetlin in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1942-1952 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  utility  Risk  aversion  Multivariate  one-switch  property  Sumex  utility  Multivariate  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 [...] [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  utility  Risk  aversion  Multivariate  one-switch  property  Sumex  utility  Multivariate  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 [...]