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Investigation of the Stochastic Choice under Risk using Experimental Data
Gadjah Mada International Journal of Business Pub Date : 2020-08-30 , DOI: 10.22146/gamaijb.34446
Yudistira Permana , Giovanni Van Empel , Rimawan Pradiptyo

This paper extends the analysis of the data from the experiment undertaken by Pradiptyo et al. (2015), to help explain the subjects’ behaviour when making decisions under risk. This study specifically investigates the relative empirical performance of the two general models of the stochastic choice: the random utility model (RUM) and the random preference model (RPM) where this paper specifies these models using two preference functionals, expected utility (EU) and rank-dependent expected utility (RDEU). The parameters are estimated in each model using a maximum likelihood technique and run a horse-race using the goodness-of-fit between the models. The results show that the RUM better explains the subjects’ behaviour in the experiment. Additionally, the RDEU fits better than the EU for modelling the stochastic choice.

中文翻译:

利用实验数据调查风险下的随机选择

本文扩展了对Pradiptyo等人进行的实验数据的分析。(2015),以帮助解释受风险决策时受试者的行为。这项研究专门研究了随机选择的两个通用模型的相对经验性能:随机效用模型(RUM)和随机偏好模型(RPM),其中本文使用两种偏好函数指定了这些模型,即期望效用(EU)和等级依赖的期望效用(RDEU)。使用最大似然技术在每个模型中估计参数,并使用模型之间的拟合优度进行赛马。结果表明,RUM可以更好地解释实验中受试者的行为。此外,RDEU在建模随机选择方面比欧盟更适合。
更新日期:2020-08-30
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