A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes

• 成果类型: Article
• 署名作者: Offerman, Theo; Sonnemans, Joep; Van de Kuilen, Gijs; Wakker, Peter P.
• 署名单位: University of Amsterdam; Tilburg University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/j.1467-937X.2009.00557.x
• 发表日期: 2009
• 页码: 1461-1489
• 关键词: probability weighting function; parameter-free elicitation; subjective-probability; expected utility; prospect-theory; personal probabilities; Uncertainty aversion; decision-making; preferences; ambiguity

摘要

Proper scoring rules provide convenient and highly efficient tools for incentive-compatible elicitations of subjective beliefs. As traditionally used, however, they are valid only under expected value maximization. This paper shows how they can be generalized to modern (non-expected utility) theories of risk and ambiguity, yielding mutual benefits: users of scoring rules can benefit from the empirical realism of non-expected utility, and analysts of ambiguity attitudes can benefit from efficient measurements using proper scoring rules. An experiment demonstrates the feasibility of our generalization.