NONPARAMETRIC NUMERICAL APPROACHES TO PROBABILITY WEIGHTING FUNCTION CONSTRUCTION FOR MANIFESTATION AND PREDICTION OF RISK PREFERENCES
Küçük Resim Yok
Tarih
2023
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Vilnius Gediminas Tech Univ
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Probability weighting function (PWF) is the psychological probability of a decision-maker for ob-jective probability, which reflects and predicts the risk preferences of decision-maker in behavioral decision-making. The existing approaches to PWF estimation generally include parametric methodologies to PWF con-struction and nonparametric elicitation of PWF. However, few of them explores the combination of parametric and nonparametric elicitation approaches to approximate PWF. To describe quantitatively risk preferences, the Newton interpolation, as a well-established mathematical approximation approach, is introduced to task-specifi-cally match PWF under the frameworks of prospect theory and cumulative prospect theory with descriptive psy-chological analyses. The Newton interpolation serves as a nonparametric numerical approach to the estimation of PWF by fitting experimental preference points without imposing any specific parametric form assumptions. The elaborated nonparametric PWF model varies in accordance with the number of the experimental preference points elicitation in terms of its functional form. The introduction of Newton interpolation to PWF estimation into decision-making under risk will benefit to reflect and predict the risk preferences of decision-makers both at the aggregate and individual levels. The Newton interpolation-based nonparametric PWF model exhibits an inverse S-shaped PWF and obeys the fourfold pattern of decision-makers' risk preferences as suggested by previous empirical analyses.
Açıklama
Anahtar Kelimeler
Probability Weighting Function, Risk Preference, Nonparametric Numerical Approach, Newton Interpolation, Preference Points, Decision-Making Under Risk
Kaynak
Technological and Economic Development of Economy
WoS Q Değeri
N/A
Scopus Q Değeri
Q2
Cilt
29
Sayı
4
