Arbeitspapier
Stochastic expected utility and prospect theory in a horse race: A finite mixture approach
This study compares the performance of Prospect Theory versus Stochastic Expected Utility Theory at fitting data on decision making under risk. Both theories incorporate well-known deviations from Expected Utility Maximization such as the Allais paradox or the fourfold pattern of risk attitudes. Stochastic Expected Utility Theory parsimoniously extends the standard microeconomic model, whereas Prospect Theory, the benchmark for aggregate choice so far, is based on psychological findings. First, the two theories' fit to representative choice is assessed for two experimental data sets, one Swiss and one Chinese. In a second step, finite mixture regressions reveal a consistent mix of two different behavioral types suggesting that researchers may take individual heterogeneity into account in order to avoid aggregation bias.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 0803
- Klassifikation
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Econometric and Statistical Methods: Special Topics: Other
- Thema
-
stochastic expected etility theory
prospect theory
finite mixture models
Pferdesport
Glücksspiel
Entscheidung bei Risiko
Erwartungsnutzen
Stochastischer Prozess
Vergleich
Prospect Theory
Statistische Verteilung
Schätztheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bruhin, Adrian
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Zurich, Socioeconomic Institute
- (wo)
-
Zurich
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bruhin, Adrian
- University of Zurich, Socioeconomic Institute
Entstanden
- 2008
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