An Empirical Examination of Multiple Objective Risk Attitudes

William K. Klimack (), Jack M. Kloeber (), Kenneth W. Bauer () and Mark E. Oxley ()
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William K. Klimack: Strategic Decision Analytics, The Woodlands, Texas 77354
Jack M. Kloeber: Kromite LLC, Lambertville, New Jersey 08530
Kenneth W. Bauer: Department of Operational Sciences, Air Force Institute of Technology, Wright-Patterson Air Force Base, Ohio 45433
Mark E. Oxley: Department of Mathematics and Statistics, Air Force Institute of Technology, Wright-Patterson Air Force Base, Ohio 45433

Decision Analysis, 2015, vol. 12, issue 2, 96-103

Abstract: We experimentally examined the relationships between the measurable value and utility functions of a nonmonetary multidimensional decision situation for a number of subjects. We found that value and utility were not equivalent constructs. We tested five families of functions and found the sigmoid function performed best as a transform from value to utility. Constant relative risk aversion was not observed. The methods of probability equivalent and certainty equivalent utility elicitation provided similar results, which differs from previous work using economic decisions.

Keywords: decision analysis; value theory/functions; utility functions; multiobjective; risk aversion/tolerance (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ordeca:v:12:y:2015:i:2:p:96-103

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