Testing and Characterizing Properties of Nonadditive Measures through Violations of the Sure-Thing Principle

By Peter P. Wakker. 2001

209 citations recorded by the source corpus.

Subfields: General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/5d67c75adcb175603dcffd73ff11bcd5887002dc

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In General Decision Sciences

In Management Science and Operations Research

Citations in the corpus

Choquet expectation and Peng's g-expectation (2005, background): “Let u be the solution of the partial differential equation (PDE) ∂u(t, x) ∂t = 1 2 ∂2u(t, x) ∂x2 , (22) u(0, x) = f(x), t ≥ 0, x ∈R.”
Tests of Branch Splitting and Branch-Splitting Independence in Allais Paradoxes with Positive and Mixed Consequences. (2007, background): “They were regarded as refutations of Savage’s (1954) ‘‘sure thing’’ principle (Kahneman & Tversky, 1979; Wakker, 2001).”
Strong laws of large numbers for capacities (2010, background): “More specifically, motivated by some problems in mathematical economics, statistics, quantum mechanics and finance, a number of papers have used non-additive probabilities (called capacities) and nonlinear expectations (for example Choquet integral/expectation, g-expectation) to describe and interpr”
Prospect Theory and the Brain (2009, result): “This inverseS-shaped weighting function seems to be consistent with a range of empirical findings in laboratory studies (Camerer and Ho, 1994; Tversky and Fox, 1995; Wu and Gonzalez, 1996, 1998; Gonzalez and Wu, 1999; Wakker, 2001).”
Choice-Based Elicitation and Decomposition of Decision Weights for Gains and Losses Under Uncertainty (2005, unknown): “A different approach by Wakker (2004) assumes CPT for prospects of the form (x, A; 0) and (x, p; 0), x > 0, and formally shows that the observation that decision makers are less sensitive to uncertainty than to risk is equivalent to the existence of a subadditive and choicebased function (.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “  = min (2) 2 +1∈[2∗∗2  ]×[2∗∗2  ] [+1 + +1] (190)”
Updating Choquet Beliefs (2007, background): “Furthermore, non-convex capacities can be used to model individuals who have both optimistic as well as pessimistic attitudes towards ambiguity (see Wakker, 2001).”
Choice under uncertainty with the best and worst in mind: Neo-additive capacities (2007, background): “Properties (iib) and (iic) of Proposition 3.1 imply the neo-additive capacity to be concave on some events, which corresponds to the notion of optimism suggested in Wakker (2001), and convex on some others, hence pessimistic in the sense of Wakker (2001).”