Aspirational preferences and their representation by risk measures / Brown, David B. in Management science, Vol. 58 N° 11 (Novembre 2012)  

Public ISBD [article]  inManagement science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2095-2113 Titre : Aspirational preferences and their representation by risk measures Type de document : texte imprimé Auteurs : Brown, David B., Auteur ; Enrico De Giorgi, Auteur ; Melvyn Sim, Auteur Année de publication : 2013 Article en page(s) : pp. 2095-2113 Note générale : Management Langues : Anglais (eng) Mots-clés : Representation of choice Risk measures Aspiration levels Decision theory paradoxes Résumé : We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. This representation may help to uncover new models of choice. One that we explore in detail is the special case when the targets are bounded. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model is amenable to large-scale optimization. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2095.abstract [article] Aspirational preferences and their representation by risk measures [texte imprimé] / Brown, David B., Auteur ; Enrico De Giorgi, Auteur ; Melvyn Sim, Auteur . - 2013 . - pp. 2095-2113. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2095-2113 Mots-clés : Representation of choice Risk measures Aspiration levels Decision theory paradoxes Résumé : We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. This representation may help to uncover new models of choice. One that we explore in detail is the special case when the targets are bounded. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model is amenable to large-scale optimization. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2095.abstract

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