Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Properties of Mean-Value Principle Under Rank-Dependent Utility
Języki publikacji
Abstrakty
Celem pracy jest przedstawienie własności składki mean-value przy zniekształconym prawdopodobieństwie bez założeń o wklęsłości i różniczkowalności funkcji użyteczności u i funkcji zniekształcającej prawdopodobieństwa g. Takie funkcje u i g pojawiają się w najnowszych pracach ekonomistów analizujących problem optymalnych wyborów. Dotychczasowe wyniki (zob. np. [Gerber 1979]) sprowadzały się do rozwiązywania równań różniczkowych, podczas gdy wyniki w tej pracy zostały osiągnięte przez rozwiązywanie równań funkcyjnych. (abstrakt oryginalny)
The aim of the article is to present the properties of the mean-value principle under rank-dependent utility theory with possibly weakest assumptions about the utility function. So far, the analysis of principles based on the theory of expected utility (mean-value and zero utility principle) has used the utility function which is concave and twice differentiable. However, these assumptions are far away from the reality, which is supported by numerous papers of economists written between 1979 and 2010. The next important observation is that probabilities while making decisions under risk and uncertainty are not linear but they are distorted by some non-decreasing function. The expected utility is then evaluated using Choquet integral. From the mathematical point of view, the proofs of theorems rely on solving functional equations instead of differential equations. (original abstract)
Rocznik
Strony
136-148
Opis fizyczny
Twórcy
autor
- Politechnika Łódzka
autor
- Polska Akademia Nauk; Politechnika Łódzka
Bibliografia
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171200337