This chapter introduces a version of Cumulative Prospect Theory in a quantile utility model with multiple priors on possible events as proposed in [8]. The chapter analyzes the decision-maker’s risk and ambiguity perception facing ordinary and exterme events. It is showed a new functional that models asymmetric attitude with respect to ambiguity on extreme events (optimism respects windfall gains and pessimism respects catastrophic events) and the decision-maker’s attitude to consider maximization of entropy as a rule of inference. Finally, it is defined a simplified approach based on the epsilon contamination method of a probability distribution.

Basili, M. (2013). Risk Perception and Ambiguity in a Quantile Cumulative Prospect Theory. In Human-Centric Decision-Making Models for Social Science (pp. 115-130). NYC : Sringer-Ver [10.1007/978-3-642-39307-5_6].

Risk Perception and Ambiguity in a Quantile Cumulative Prospect Theory

BASILI, MARCELLO
2013

Abstract

This chapter introduces a version of Cumulative Prospect Theory in a quantile utility model with multiple priors on possible events as proposed in [8]. The chapter analyzes the decision-maker’s risk and ambiguity perception facing ordinary and exterme events. It is showed a new functional that models asymmetric attitude with respect to ambiguity on extreme events (optimism respects windfall gains and pessimism respects catastrophic events) and the decision-maker’s attitude to consider maximization of entropy as a rule of inference. Finally, it is defined a simplified approach based on the epsilon contamination method of a probability distribution.
9783642393068
Basili, M. (2013). Risk Perception and Ambiguity in a Quantile Cumulative Prospect Theory. In Human-Centric Decision-Making Models for Social Science (pp. 115-130). NYC : Sringer-Ver [10.1007/978-3-642-39307-5_6].
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11365/818442
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