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A model of probabilistic choice satisfying first-order stochastic dominance / Pavlo R. Blavatskyy in Management science, Vol. 57 N° 3 (Mars 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 3 (Mars 2011) . - pp. 542-548 Titre : A model of probabilistic choice satisfying first-order stochastic dominance Type de document : texte imprimé Auteurs : Pavlo R. Blavatskyy, Auteur Année de publication : 2011 Article en page(s) : pp. 542-548 Note générale : Management Langues : Anglais (eng) Mots-clés : Probabilistic  choice  First-order  stochastic  dominance  Random  utility  Strong  utility Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper presents a new model of probabilistic binary choice under risk. In this model, a decision maker always satisfies first-order stochastic dominance. If neither lottery stochastically dominates the other alternative, a decision maker chooses in a probabilistic manner. The proposed model is derived from four standard axioms (completeness, weak stochastic transitivity, continuity, and common consequence independence) and two relatively new axioms. The proposed model provides a better fit to experimental data than do existing models. The baseline model can be extended to other domains such as modeling variable consumer demand. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/3/542 [article] A model of probabilistic choice satisfying first-order stochastic dominance [texte imprimé] / Pavlo R. Blavatskyy, Auteur . - 2011 . - pp. 542-548. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 3 (Mars 2011) . - pp. 542-548 Mots-clés : Probabilistic  choice  First-order  stochastic  dominance  Random  utility  Strong  utility Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper presents a new model of probabilistic binary choice under risk. In this model, a decision maker always satisfies first-order stochastic dominance. If neither lottery stochastically dominates the other alternative, a decision maker chooses in a probabilistic manner. The proposed model is derived from four standard axioms (completeness, weak stochastic transitivity, continuity, and common consequence independence) and two relatively new axioms. The proposed model provides a better fit to experimental data than do existing models. The baseline model can be extended to other domains such as modeling variable consumer demand. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/57/3/542

Modifying the mean-variance approach to avoid violations of stochastic dominance / Pavlo R. Blavatskyy in Management science, Vol. 56 N° 11 (Novembre 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 11 (Novembre 2010) . - pp. 2050-2057 Titre : Modifying the mean-variance approach to avoid violations of stochastic dominance Type de document : texte imprimé Auteurs : Pavlo R. Blavatskyy, Auteur Année de publication : 2011 Article en page(s) : pp. 2050-2057 Note générale : Management Langues : Anglais (eng) Mots-clés : Mean-variance  approach  Expected  utility  Risk  Utility  dispersion  Decision  theory Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The mean-variance approach is an influential theory of decision under risk proposed by Markowitz (Markowitz, H. 1952. Portfolio selection. J. Finance 7(1) 77–91). The mean-variance approach implies violations of first-order stochastic dominance not commonly observed in the data. This paper proposes a new model in the spirit of the classical mean-variance approach without violations of stochastic dominance. The proposed model represents preferences by a functional U(L) – {rho} · r(L), where U(L) denotes the expected utility of lottery L, {rho} isin [–1, 1] is a subjective constant, and r(L) is the mean absolute (utility) semideviation of lottery L. The model comprises a linear trade-off between expected utility and utility dispersion. The model can accommodate several behavioral regularities such as the Allais paradox and switching behavior in Samuelson's example. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/56/11/2050 [article] Modifying the mean-variance approach to avoid violations of stochastic dominance [texte imprimé] / Pavlo R. Blavatskyy, Auteur . - 2011 . - pp. 2050-2057. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 11 (Novembre 2010) . - pp. 2050-2057 Mots-clés : Mean-variance  approach  Expected  utility  Risk  Utility  dispersion  Decision  theory Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The mean-variance approach is an influential theory of decision under risk proposed by Markowitz (Markowitz, H. 1952. Portfolio selection. J. Finance 7(1) 77–91). The mean-variance approach implies violations of first-order stochastic dominance not commonly observed in the data. This paper proposes a new model in the spirit of the classical mean-variance approach without violations of stochastic dominance. The proposed model represents preferences by a functional U(L) – {rho} · r(L), where U(L) denotes the expected utility of lottery L, {rho} isin [–1, 1] is a subjective constant, and r(L) is the mean absolute (utility) semideviation of lottery L. The model comprises a linear trade-off between expected utility and utility dispersion. The model can accommodate several behavioral regularities such as the Allais paradox and switching behavior in Samuelson's example. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/56/11/2050