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  • Articles  (13)
  • expected utility  (9)
  • algorithm  (4)
  • 1985-1989  (13)
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  • Economics  (13)
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  • Articles  (13)
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  • 1
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 2 (1989), S. 5-35 
    ISSN: 1573-0476
    Keywords: Ambiguity ; expected utility ; insurance ; risk ; subjective probability
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In a series of experiments, economically sophisticated subjects, including professional actuaries, priced insurance both as consumers and as firms under conditions of ambiguity. Findings support implications of the Einhorn-Hogarth ambiguity model: (1) For low probability-of-loss events, prices of both consumers and firms indicated aversion to ambiguity; (2) As probabilities of losses increased, aversion to ambiguity decreased, with consumers exhibiting ambiguity preference for high probability-of-loss events; and (3) Firms showed greater aversion to ambiguity than consumers. The results are shown to be incompatible with traditional economic analysis of insurance markets and are discussed with respect to the effects of ambiguity on the supply and demand for insurance.
    Type of Medium: Electronic Resource
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  • 2
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 2 (1989), S. 235-263 
    ISSN: 1573-0476
    Keywords: risk ; expected utility ; irrationality ; prospect theory
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article develops a variant of the expected utility model termed prospective reference theory. Although the standard model occurs as a limiting case, the general approach is that individuals treat stated experimental probabilities as imperfect information. This model is applied to a wide variety of aberrant phenomena, including the Allais paradox, the overweighting of low-probability events, the existence of premiums for certain elimination of risks, and the representativeness heuristic. The prospective reference theory model predicts most of the observed behavioral patterns rather than being potentially reconcilable with such phenomena.
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  • 3
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 2 (1989), S. 385-403 
    ISSN: 1573-0476
    Keywords: social preferences ; expected utility ; optimum insurance ; inclusive welfare ; state-consistent preferences
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article extends Bergsonian welfare analysis to an environment of uncertainty where preferences are not expected utility and may even be state-inconsistent. Given state-inconsistent preferences, the familiar notion of ex ante efficiency is also state-inconsistent. Other efficiency and welfare concepts achieve state consistency by ignoring entirely the prospective preferences of consumers. The framework developed in this article allows welfare judgments to be state-consistent while respecting prospective and conditional preferences. The theory is called inclusive welfare. An application to optimum insurance subsidies illustrates the practical use of the concept.
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  • 4
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 2 (1989), S. 61-104 
    ISSN: 1573-0476
    Keywords: expected utility ; generalized utility ; nonexpected utility ; risky choice ; Allais paradox
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract There is much evidence that people willingly violate expected utility theory when making choices. Several axiomatic theories have been proposed to explain some of this evidence, but there are few data that discriminate between the theories. To gather such data, an experiment was conducted using pairs of gambles with three levels of outcomes and many combinations of probabilities. Most typical findings were replicated, including the common consequence effect and different risk attitudes for gains and losses. There is evidence of both fanning out and fanning in of indifference curves, and both quasiconcavity and quasiconvexity of preferences. No theory can explain all the data, but prospect theory and the hypothesis that indifference curves fan out can explain most of them.
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  • 5
    Electronic Resource
    Electronic Resource
    Springer
    Computational economics 2 (1989), S. 197-219 
    ISSN: 1572-9974
    Keywords: Market equilibrium ; spatial price ; algorithm ; progressive equilibration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Economics
    Notes: Abstract In this paper we consider the solution of large-scale market equilibrium problems with linear transaction costs which can be formulated as strictly convex quadratic programming problems, subject to supply and demand constraints. In particular, we introduce two new classes of progressive equilibration algorithms, which retain the simplicity of the original cyclic ones in that at each step either the supply or demand market equilibrium subproblem can be solved explicitly in closed form. However, rather than equilibrating the markets in cyclic manner, the next market to be equilibrated is selected in a more strategic fashion. We then provide qualitative results for the entire family of progressive equilibration algorithms, i.e., the rate of convergence and computational complexity. We discuss implementation issues and give computational results for large-scale examples in order to illustrate and give insights into the theoretical analysis. Furthermore, we show that one of the new classes of algorithms, the ‘good-enough’ one, is computationally the most efficient. Theoretical results are important in that the relative efficiency of different algorithms need no longer be language, machine, or programmer dependent. Instead, the theory can guide both practitioners and researchers in ensuring that their implementation of these algorithms is, indeed, good. Since an equivalent quadratic programming problem arises in a certain class of constrained matrix problems, our results can be applied there, as well. Finally, since more general asymmetric multicommodity market equilibrium problems can be solved as series of the type of problems considered here, the result$ are also applicable to such equilibrium problems.
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  • 6
    Electronic Resource
    Electronic Resource
    Springer
    Theory and decision 27 (1989), S. 93-106 
    ISSN: 1573-7187
    Keywords: cognition ; decision ; graphs ; artificial intelligence ; risk ; uncertainty ; expert systems ; expected utility
    Source: Springer Online Journal Archives 1860-2000
    Topics: Sociology , Economics
    Notes: Abstract In the first part, we try to give a representation of the process by which man endeavours to grasp uncertainty. We propose a backward exploration which we will modelize through an influence diagram and then we can draw a few conclusions from that representation for the axiomatics of Decision. In the second part, we deal with the processing of the information formatted in such a way, regarding both its temporal complexity and its elective complexity. The first part as the second one dealing with representation and the consequences for information processing of uncertainty cognition lead to a severe criticism of the expected utility hypothesis. To conclude, we suggest a few remarks on expert systems of decision aid under uncertainty.
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  • 7
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 1 (1988), S. 267-283 
    ISSN: 1573-0476
    Keywords: Risk ; uncertainty ; expected utility ; nonlinear preference
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract During the past generation, expected utility theory has been widely accepted as the normative standard for decision making under risk and under uncertainty. However, it is now known that reasonable people often violate its assumptions, and a number of generalizations of the theory have been developed to accommodate some of the more common violations. This essay recalls the origins of expected utility in the early 1700s, notes its axiomatizations on the basis of preference comparisons in the mid-1900s, describes violations of those axioms uncovered since then, outlines new theories stimulated by the violations, and suggests where the field might be headed in the next few decades.
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  • 8
    Electronic Resource
    Electronic Resource
    Springer
    Journal of risk and uncertainty 1 (1988), S. 389-393 
    ISSN: 1573-0476
    Keywords: expected utility ; internal consistecy ; book against self
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract If I am “coherent”, in the sense that I can always replace any subset of outcomes by their certainty equivalent (occurring with the sum of their probabilities), then I must act according to the dogma of maximizing an Exp {U}, ruling out Machina [1982], Allais [1952], and Ysidro [1950] functionals.
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  • 9
    Electronic Resource
    Electronic Resource
    Springer
    Theory and decision 24 (1988), S. 169-200 
    ISSN: 1573-7187
    Keywords: decision theory ; risk ; expected utility ; security level ; risk aversion
    Source: Springer Online Journal Archives 1860-2000
    Topics: Sociology , Economics
    Notes: Abstract The particular attention paid by decision makers to the security level ensured by each decision under risk, which is responsible for the certainty effect, can be taken into account by weakening the independence and continuity axioms of expected utility theory. In the resulting model, preferences depend on: (i) the security level, (ii) the expected utility, offered by each decision. Choices are partially determined by security level comparison and completed by the maximization of a function, which express the existing tradeoffs between expected utility and security level, and is, at a given security level, an affine function of the expected utility. In the model, risk neutrality at a given security level implies risk aversion.
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  • 10
    Electronic Resource
    Electronic Resource
    Springer
    Theory and decision 25 (1988), S. 219-223 
    ISSN: 1573-7187
    Keywords: St. Petersburg Paradox ; expected utility ; bounded utility ; cardinal utility ; Becker's theory of time
    Source: Springer Online Journal Archives 1860-2000
    Topics: Sociology , Economics
    Notes: Abstract The assumption of bounded utility function resolves the St. Petersburg paradox. The justification for such a bound is provided by Brito, who argues that limited time will bound the utility function. However, a reformulated St. Petersburg game, which is played for both money and time, effectively circumvents Brito's justification for a bound. Hence, no convincing justification for bounding the utility function yet exists.
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  • 11
    Electronic Resource
    Electronic Resource
    Springer
    Annals of operations research 6 (1986), S. 147-160 
    ISSN: 1572-9338
    Keywords: Public sector ; locational equity ; tree network ; algorithm
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Classical location theories and models were initially developed for the private sector, so that the related operational research literature has emphasized performance measures of efficiency and effectiveness. For public sector applications, measures of equity become important, yet such measures have received little formal treatment. This paper suggests a locational equity measure, the variance measure, and investigates its properties for tree networks. A fast algorithm (O(M)) to locate the minimum variance point on a tree network is developed, and some numerical results illustrate the variance optimal location.
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  • 12
    Electronic Resource
    Electronic Resource
    Springer
    Annals of operations research 6 (1986), S. 291-310 
    ISSN: 1572-9338
    Keywords: Capacitated location-routing ; integer programming ; algorithm ; least cost
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In location-routing problems, the objective is to locate one or many depots within a set of sites (representing customer locations or cities) and to construct delivery routes from the selected depot or depots to the remaining sites at least system cost. The objective function is the sum of depot operating costs, vehicle acquisition costs and routing costs. This paper considers one such problem in which a weight is assigned to each site and where sites are to be visited by vehicles having a given capacity. The solution must be such that the sum of the weights of sites visited on any given route does not exceed the capacity of the visiting vehicle. The formulation of an integer linear program for this problem involves degree constraints, generalized subtour elimination constraints, and chain barring constraints. An exact algorithm, using initial relaxation of most of the problem constraints, is presented which is capable of solving problems with up to twenty sites within a reasonable number of iterations.
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  • 13
    Electronic Resource
    Electronic Resource
    Springer
    Annals of operations research 4 (1985), S. 103-121 
    ISSN: 1572-9338
    Keywords: Minimax ; games ; strategy ; matrix ; chess ; algorithm
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Computer game-playing programs repeatedly calculate minimax elements μ = min i max j M ij of large pay off matricesM ij . A straightforwardrow-by-row calculation of μ scans rows ofM ij one at a time, skipping to a new row whenever an element is encountered that exceeds a current minimax. Anoptimal calculation, derived here, scans the matrix more erratically but finds μ after testing the fewest possible matrix elements. Minimizing the number of elements tested is reasonable when elements must be computed as needed by evaluating future game positions. This paper obtains the expected number of tests required when the elements are independent, identically distributed, random variables. For matrices 50 by 50 or smaller, the expected number of tests required by the row-by-row calculation can be at most 42% greater than the number for the optimal calculation. When the numbersR, C of rows and columns are very large, both calculations require an expected number of tests nearRC/InR.
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