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| Tekijä: | McCardle, K.F. Winkler, R.L. |
| Otsikko: | Repeated gambles, learning, and risk aversion |
| Lehti: | Management Science
1992 : JUN, VOL. 38:6, p.807-818 |
| Asiasana: | DECISION MAKING RISK LEARNING UTILITY ASSESSMENT |
| Kieli: | eng |
| Tiivistelmä: | A decision problem with repeated gambles is analyzed. It was found that under some reasonable risk-averse utility functions, recommended behavior for the initial decision can be highgly risk-taking and counterintuitive. Further analysis shows that the derived utility function for the return of the first gamble is discontinuous because gains or losses carry positive or negative signals regarding future prospects. A variant of the basic model without the duscontinuity in derived utility has essentially the same implication. In principle, the grand world can be modelled and all implications of grand-world utility functions can be understood this way. |
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