Econometrica: Nov 1994, Volume 62, Issue 6

Investigating Generalizations of Expected Utility Theory Using Experimental Data

https://doi.org/0012-9682(199411)62:6<1291:IGOEUT>2.0.CO;2-T
p. 1291-1326

Chris Orme, John D. Hey

A number of generalizations of the expected utility preference functional are estimated using experimentally generated data involving 100 pairwise choice questions repeated on two separate occasions. Likelihood ratio tests are conducted to investigate the statistical superiority of the various generalizations, and the Akaike information criterion is used to distinguish between them. The economic superiority of the various generalizations is also explored and the paper concludes that, for many subjects, the superiority of several of the generalizations is not established.

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Corrigendum to: "Investigating Generalizations of Expected Utility Theory Using Experimental Data"

Hey, J. D. and Orme, C. (1994) proposed a new utility functional for Gul, F. (1991) disappointment aversion theory. Hey, J. D. and Orme, C. (1994) proved that this utility functional is identical to that in Gul, F. (1991) for the case when lotteries have at most three outcomes. We show that there is an algebraic mistake in this proof and the utility functional proposed in Hey, J. D. and Orme, C. (1994) is not the same as in Gul, F. (1991) disappointment aversion theory.

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