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A second-generation disappointment aversion theory of decision making under risk

机译：风险决策的第二代失望厌恶理论

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摘要

This paper presents a new decision theory for modelling choice under risk. The new theory is a two-parameter generalization of expected utility theory. The proposed theory assumes that a decision maker: (1) behaves as if maximizing expected utility; but (2) may experience disappointment (elation) when the utility of a lottery's outcome falls short of (exceeds) the expected utility of the lottery; and (3) may have a preference for gambling (attraction/aversion to positivelyegatively skewed lotteries). The proposed theory can rationalize the fourfold pattern of risk attitudes; the common ratio effect and the reverse thereof (in certain types of decision problems); the Allais paradox in classical common consequence problems and the reverse Allais paradox-in common consequence problems with an even split of a probability mass; violations of the betweenness axiom; switching behavior in the Samuelson's example; violations of ordinal, upper and lower cumulative independence (which falsify rank-dependent utility and cumulative prospect theory); and preference reversals between valuations and choice. In application to insurance, the theory can rationalize full insurance with an actuarially unfair premium and aversion to probabilistic insurance. In application to optimal portfolio investment, the theory can rationalize the equity premium puzzle.
机译：本文提出了一种新的决策模型，用于对风险下的选择进行建模。新理论是期望效用理论的两参数推广。所提出的理论假设决策者：（1）表现为最大化期望效用；但是（2）当彩票结果的效用低于（超过）彩票的预期效用时，可能会感到失望（兴高采烈）； （3）可能更喜欢赌博（吸引/厌恶正/负偏斜彩票）。所提出的理论可以合理化风险态度的四重模式。共同比率效应及其反作用（在某些类型的决策问题中）；经典常见结果问题中的阿莱斯悖论和概率质量均等分裂的反向阿勒斯悖论-常见结果问题；违反中间公理；在萨缪尔森的例子中切换行为；违反序数，上限和下限的累积独立性（证伪了依赖等级的效用和累积前景理论）；评估和选择之间的偏好反转。在保险中，该理论可以使精算不公平的保险费和厌恶概率保险的全面保险合理化。该理论可用于最优证券投资，可以合理化股权溢价之谜。

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