Projective expected utility

Motivated by several classic decision-theoretic paradoxes, and by analogies with the paradoxes which in physics motivated the development of quantum mechanics, we introduce a projective generalization of expected utility along the lines of the quantum-mechanical generalization of probability theory. The resulting decision theory accommodates the dominant paradoxes, while retaining significant simplicity and tractability. In particular, every finite game within this larger class of preferences still has an equilibrium.     

Framing of decisions under ambiguity

This paper reports three experiments that illustrate framing of decision problems due to Ellsberg (1961) in which probabilities are ambiguous. Although the standard Ellsberg problems often induce violations of Savage's sure-thing principle, framing of the equivalent problems in a sequential format reduces these violations. Nevertheless, this has an ironic consequence of introducing another inconsistency in the decision makers' choices: An inconsistency between the standard and sequential formulations of the Ellsberg problems.     

Distinguishing indeterminate belief from “risk-averse” preferences

I focus my discussion on the well-known Ellsberg paradox. I find good normative reasons for incorporating non-precise belief, as represented by sets of probabilities, in an Ellsberg decision model. This amounts to forgoing the completeness axiom of expected utility theory. Provided that probability sets are interpreted as genuinely indeterminate belief (as opposed to “imprecise” belief), such a model can moreover make the “Ellsberg choices” rationally permissible. Without some further element to the story, however, the model does not explain how an agent may come to have unique preferences for each of the Ellsberg options. Levi (1986, Hard choices: Decision making under unresolved conflict. Cambridge, New York: Cambridge University Press) holds that the extra element amounts to innocuous secondary “risk” or security considerations that are used to break ties when more than one option is rationally permissible. While I think a lexical choice rule of this kind is very plausible, I argue that it involves a greater break with xpected utility theory than mere violation of the ordering axiom.     

The role of competition and knowledge in the Ellsberg task

Ambiguity avoidance denotes people's preference for gambling situations with known over unknown, or ambiguous, probability distributions. In four experiments we provide evidence for the interaction between competitiveness and knowledge in Ellsberg's task, in which people have a choice between a risky box (distribution of balls known) and an ambiguous box (distribution of balls not known). If the situation is perceived as competitive (the experimenter or an opponent is responsible for composing the boxes) people avoid ambiguity by betting on the box with the known probability distribution. If the task is perceived as cooperative (a partner or friend is composing the boxes) people are indifferent toward ambiguity or even ambiguity seeking. In addition, we find that people expect their winning odds to be less than even in the ambiguous box. Copyright © 2003 John Wiley & Sons, Ltd.     

Is luck on my side? Optimism,pessimism, and ambiguity aversion

The influences of optimism and pessimism on ambiguity aversion were investigated in two tasks that manipulated the presence or absence of a potentially competitive experimenter. A total of 112 participants chose which option—ambiguous or known-risk—they preferred in the two slightly differing Ellsberg urns tasks. Optimism was measured using the Extended Life Orientation Test (ELOT). Highly optimistic people showed significantly less ambiguity aversion than less optimistic people when information was given that the number of balls was randomly determined. This pattern was present but less pronounced in the condition when the composition of the ambiguous urn could be interpreted as being influenced (rigged) by the experimenter. Pessimism was uninfluential. Perceptions of the situation, especially the degree of trust in the experimenter, were significantly influenced by the participants' optimism. People who do not have highly optimistic personalities tend to shy away from choosing ambiguous options. When ambiguity is clear, and trust issues are removed, people's optimistic outlook influences their degree of ambiguity aversion and thus their decisions.     

To fear or fly to the unknown: Tolerance for ambiguity and Big Five personality traits

The present study investigated whether ambiguity tolerance relates to personality traits that are theoretically grounded in fear (neuroticism) or attraction (openness to experience; extraversion) for the unknown. Our hypotheses were supported for self-report measures (and openness to experience predicted ambiguity tolerance controlling for intelligence), but behavioral choice measures of ambiguity tolerance demonstrated poor reliability and were unrelated to self-reported ambiguity tolerance and basic personality traits. An exploratory network analysis revealed that ambiguity tolerance was more strongly related to the intellectual curiosity (vs. aesthetic appreciation) facet of openness to experience, and the assertiveness (vs. energy or sociability) facet of extraversion. Our findings reinforce the fragmented literature in this area, and support predictions derived from psychological entropy theories of personality.     

Corporate foreign exchange risk management: A study in decision making under uncertainty

This paper examines the management of foreign exchange risk in multinational corporations in light of the conclusions of previous empirical and theoretical investigations into decision making under uncertainty. Cognitive perceptions of risk and uncertainty are shown to underlie the hedging decisions made by corporate treasury managers, which are often demonstrably sub-optimal in a Bayesian expected utility framework. The findings suggest that simple principal-agent approaches to explaining seemingly sub-optimal corporate risk management preferences are inadequate inasmuch as they fail to account for the markedly different perspectives on risk and uncertainty taken by financial economists (qua economists) and corporate financial risk managers.     

行为决策中模糊规避研究的回顾与展望

模糊规避是指在相同奖赏的情况下,决策者会偏好有精确概率的事件而不是从主观上判断具有相同模糊概率的事件。自从Ellsberg提出模糊规避的概念以来,模糊规避已在行为决策研究的多个领域得到广泛验证。本文梳理了近五十年来关于模糊规避的研究文献,系统分析了模糊规避的研究范式、心理机制和影响因素,同时提出了未来的研究展望。     

模糊决策的情境依赖性

实验1采用艾尔斯伯格悖论的研究范式,探究被试对模糊的厌恶倾向以及在决策过程中所采用的决策策略。结果发现：被试对确定选项和模糊选项的选择存在差异;在肯定形式下倾向于确定选项,而在否定形式下则倾向于模糊选项,采用了利益最大化策略。实验2采用艾尔斯伯格悖论的变式,通过操纵概率和任务类型,发现：模糊决策具有情境依赖性,并非任何情况下个体都厌恶模糊。当风险选项不能满足自己的需要,即获胜机率比较小时,人们会偏向模糊选项。     

Quantum mechanics and violations of the sure-thing principle: The use of probability interference and other concepts

The use of quantum mechanical concepts in social science is a fairly new phenomenon. This paper uses one of quantum mechanics’ most basic concepts, probability interference, to explain the violation of an important decision theory principle (the ‘sure-thing principle’). We also attempt to introduce other quantum mechanical concepts in relation to the sure-thing principle violation.