Please use this identifier to cite or link to this item:
|Title:||Aspirational preferences and their representation by risk measures|
De Giorgi, E.
Decision theory paradoxes
Representation of choice
|Source:||Brown, D.B., De Giorgi, E., Sim, M. (2012). Aspirational preferences and their representation by risk measures. Management Science 58 (11) : 2095-2113. ScholarBank@NUS Repository. https://doi.org/10.1287/mnsc.1120.1537|
|Abstract:||We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. This representation may help to uncover new models of choice. One that we explore in detail is the special case when the targets are bounded. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model is amenable to large-scale optimization. © 2012 INFORMS.|
|Source Title:||Management Science|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Jan 17, 2018
WEB OF SCIENCETM
checked on Nov 21, 2017
checked on Jan 21, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.