Mean-risk analysis with enhanced behavioral content

Cillo, Alessandra; Delquié, Philippe

doi:10.1016/j.ejor.2014.06.001

Cited by 20 publications

(9 citation statements)

References 47 publications

(63 reference statements)

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“…The expected evaluation of the lottery L is defined as: where v ( x i ) represents the evaluation of outcome x i , and H (.) quantifies how individuals value discrepancies between obtained and missed outcomes (see Eq (12) in [40] and page 765 in [63]). Precisely, H (.)…”

Section: Methodsmentioning

confidence: 99%

Neurocognitive assessment in obsessive compulsive disorder patients: Adherence to behavioral decision models

et al. 2019

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In economics, models of decision-making under risk are widely investigated. Since many empirical studies have shown patterns in choice behavior that classical models fail to predict, several descriptive theories have been developed. Due to an evident phenotypic heterogeneity, obsessive compulsive disorder (OCD) patients have shown a general deficit in decision making when compared to healthy control subjects (HCs). However, the direction for impairment in decision-making in OCD patients is still unclear. Hence, bridging decision-making models widely used in the economic literature with mental health research may improve the understanding of preference relations in severe patients, and may enhance intervention designs. We investigate the behavior of OCD patients with respect to HCs by means of decision making economic models within a typical neuropsychological setting, such as the Cambridge Gambling Task. In this task subjects have to decide the amount of their initial wealth to invest in each risky decision. To account for heterogenous preferences, we have analyzed the micro-level data for a more informative analysis of the choices made by the subjects. We consider two influential models in economics: the expected value (EV), which assumes risk neutrality, and a multiple reference points model, an alternative formulation of Disappointment theory. We find evidence that (medicated) OCD patients are more consistent with EV than HCs. The former appear to be more risk neutral, namely, less sensitive to risk than HCs. They also seem to base their decisions on disappointment avoidance less than HCs.

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Section: Methodsmentioning

confidence: 99%

Neurocognitive assessment in obsessive compulsive disorder patients: Adherence to behavioral decision models

et al. 2019

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“…Yitzhaki (1982) shows that the Gini measure of risk satisfies SSD, and he demonstrates the advantages of using mean-Gini as an alternative to mean-variance analysis. Cillo and Delquié (2011) show how the Gini measure of risk also stems from a model of disappointment with multiple reference points. They show, in addition, that mean-1 2 Gini yields a coherent risk measure (Artzner et al 1999) and a convex risk measure (Föllmer and Schied 2002).…”

Section: Another Risk-reducing Experimentsmentioning

confidence: 99%

Risk Measures from Risk-Reducing Experiments

Delquié

2012

Decision Analysis

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T his paper introduces the concept of risk-reducing experiments as a basis for designing risk measures. A riskreducing experiment provides the option to mitigate the impact of less favorable outcomes in a gamble, and the gamble's risk is measured as the increase in value brought about by such an experiment. Two examples are presented, including one based on the concept of expected value of perfect information. Both examples yield familiar risk measures, and extensions of them are discussed. A risk measure derived from a risk-reducing experiment makes explicit the sense in which the riskiness of a gamble is captured. Risk-reducing experiments offer a new approach for conceiving, or choosing among, risk measures.

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“…Of course, if H is differentiable, then the in [42]. The risk measure R H pXq was called mean-risk (M-R) in [41]. It follows from [42] or Proposition 5.2 above that the risk measure R κ id pXq is coherent for any κ P r0, 1 2 s. In fact, based on Proposition 5.2, one can rather easily show more: Proposition 5.3.…”

Section: Gini-type Mean Differences and Related Risk Measuresmentioning

confidence: 99%

“…Cf. also [41]. The proof in [42] was rather long and involved; in addition, it used a previously obtained result of [43].…”

Section: Gini-type Mean Differences and Related Risk Measuresmentioning

confidence: 99%

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An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality

Pinelis

2014

Risks

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A spectrum of upper bounds`Q α pX; pq˘α Pr0,8s on the (largest) p1´pq-quantile QpX; pq of an arbitrary random variable X is introduced and shown to be stable and monotonic in α, p, and X, with Q 0 pX; pq " QpX; pq. If p is small enough and the distribution of X is regular enough, then Q α pX; pq is rather close to QpX; pq. Moreover, these quantile bounds are coherent measures of risk. Furthermore, Q α pX; pq is the optimal value in a certain minimization problem, the minimizers in which are described in detail. This allows of a comparatively easy incorporation of these bounds into more specialized optimization problems. In finance, Q 0 pX; pq and Q 1 pX; pq are known as the value at risk (VaR) and the conditional value at risk (CVaR). The bounds Q α pX; pq can also be used as measures of economic inequality. The spectrum parameter α plays the role of an index of sensitivity to risk. The problems of the effective computation of the bounds are considered. Various other related results are obtained.Keywords: quantile bounds; coherent measures of risk; sensitivity to risk; measures of economic inequality; value at risk (VaR); conditional value at risk (CVaR); stochastic dominance; stochastic orders Risks 2014, 2 350

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Mean-risk analysis with enhanced behavioral content

Cited by 20 publications

References 47 publications

Neurocognitive assessment in obsessive compulsive disorder patients: Adherence to behavioral decision models

Neurocognitive assessment in obsessive compulsive disorder patients: Adherence to behavioral decision models

Risk Measures from Risk-Reducing Experiments

An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality

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