scholarly journals Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

2006 ◽  
Vol 36 (02) ◽  
pp. 505-520 ◽  
Author(s):  
Marisa Cenci ◽  
Massimiliano Corradini ◽  
Andrea Gheno
Keyword(s):  
Portfolio Selection ◽  
Expected Utility ◽  
Utility Theory ◽  
Expected Utility Theory ◽  
Distortion Function ◽  
Short Sales ◽  
Optimal Portfolios ◽  
Dynamic Portfolio ◽  
First Time ◽  
Theory Framework

In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.

scholarly journals Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

2006 ◽  
Vol 36 (2) ◽  
pp. 505-520
Author(s):  
Marisa Cenci ◽  
Massimiliano Corradini ◽  
Andrea Gheno
Keyword(s):  
Portfolio Selection ◽  
Expected Utility ◽  
Utility Theory ◽  
Expected Utility Theory ◽  
Distortion Function ◽  
Short Sales ◽  
Optimal Portfolios ◽  
Dynamic Portfolio ◽  
First Time ◽  
Theory Framework

In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.

scholarly journals Does prospect theory warrant a paradigm shift in the economics of risk?

2014 ◽  
Vol 9 (2) ◽  
pp. 230-243 ◽  
Author(s):  
PL Mohapi
Keyword(s):  
Prospect Theory ◽  
Expected Utility ◽  
Paradigm Shift ◽  
Utility Theory ◽  
Expected Utility Theory ◽  
Scientific Reason ◽  
The Subject ◽  
Theory Framework

This paper assesses whether a paradigm shift should be made from expected utility framework to prospect theory framework – in the economics of choice under risk. A brief overview of the subject is outlined, starting with expected utility theory and noting its descriptive limitations. Proposed theories to make up for these limitations is also provided. Prospect theory emerged as the most serious challenger to expected utility theory. A review of some descriptive predictions of prospect theory, suggests that there is no scientific reason why expected utility should not be ousted from dominance by prospect theory. The shift to prospect theory however is not without costs. Conceptual complexities and non-universality of application associated with prospect theory should be embraced with the shift while not entirely abandoning expected utility theory.

scholarly journals Cumulative Prospect Theory Version with Fuzzy Values of Outcome Estimates

Risks ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 72
Author(s):  
Oleg Uzhga-Rebrov ◽  
Peter Grabusts
Keyword(s):  
Prospect Theory ◽  
Expected Utility ◽  
Utility Theory ◽  
Expected Utility Theory ◽  
Cumulative Prospect Theory ◽  
Development History ◽  
Decisions Under Risk ◽  
History Of ◽  
Main Factors ◽  
Theoretical Foundations

Choosing solutions under risk and uncertainty requires the consideration of several factors. One of the main factors in choosing a solution is modeling the decision maker’s attitude to risk. The expected utility theory was the first approach that allowed to correctly model various nuances of the attitude to risk. Further research in this area has led to the emergence of even more effective approaches to solving this problem. Currently, the most developed theory of choice with respect to decisions under risk conditions is the cumulative prospect theory. This paper presents the development history of various extensions of the original expected utility theory, and the analysis of the main properties of the cumulative prospect theory. The main result of this work is a fuzzy version of the prospect theory, which allows handling fuzzy values of the decisions (prospects). The paper presents the theoretical foundations of the proposed version, an illustrative practical example, and conclusions based on the results obtained.

Norm-Endorsement Utilitarianism and the Nature of Utility

1996 ◽  
Vol 12 (2) ◽  
pp. 165-182 ◽  
Author(s):  
Jonathan Baron
Keyword(s):  
Expected Utility ◽  
Utility Theory ◽  
Expected Utility Theory ◽  
Interpersonal Comparison ◽  
Moral Norms ◽  
Moral Principles ◽  
Future Goals ◽  
Equal Consideration

In this article, I shall suggest an approach to the justification of normative moral principles which leads, I think, to utilitarianism. The approach is based on asking what moral norms we would each endorse if we had no prior moral commitments. I argue that we would endorse norms that lead to the satisfaction of all our nonmoral values or goals. The same approach leads to a view of utility as consisting of those goals that we would want satisfied. In the second half of the article, I examine the implication of this view for several issues about the nature of utility, such as the use of past and future goals. The argument for utilitarianism is not completed here. The rest of it requires a defense of expected-utility theory, of interpersonal comparison, and of equal consideration (see Baron, 1993; Broome, 1991).

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