南昌工程学院学报2024，Vol.43Issue(4)：109-118,10.
期望效用与效用分位数组合决策准则研究
Research on decision criteria combining expected utility and utility quantiles
摘要
Abstract
The paper combines the expected utility decision model and the utility quantile decision model,proposing the Ex-pected Utility-Quantile(EU-Q)decision criterion,which is an extension of both the expected utility criterion and the utility quantile decision criterion,and represents a generalization of rank-dependent expected utility functions.It verifies that the EU-Q decision criterion adheres to the basic axioms of ideal decision criteria,including objectivity,monotonicity,continuity,and weak orderliness.It also proves the conditions that decision-makers should meet if they are risk-averse or risk-seeking,and that the utility function's translation or scaling transformation does not change the decision-maker's ranking of alterna-tive options.The EU-Q decision criterion integrates the characteristics and advantages of both the expected utility criterion and the utility quantile decision criterion,not only providing a good explanation for paradoxes such as the Allais paradox,but also addressing problems that cannot be explained by decision models combining expected utility with measures like Shan-non entropy and variance.The EU-Q decision criterion has rich theoretical characteristics and strong explanatory power,making it suitable for solving decision-making problems with uncertainty.关键词
期望效用理论/效用分位数/组合决策准则/风险态度/Allais悖论Key words
expected utility theory/quantile/utilitydecision criterion/risk attitude/Allais paradox引用本文复制引用
吴碧瑶,姜晨雨,荆嘉诚,陈翔,谢杰华..期望效用与效用分位数组合决策准则研究[J].南昌工程学院学报,2024,43(4):109-118,10.基金项目
国家自然科学基金面上项目(72271113) （72271113）
江西省自然科学基金项目(20232ACB201003,20232BAB201022) （20232ACB201003,20232BAB201022）
江西省科学教育学会项目(2023KXJYS019,2023KXJYS207) （2023KXJYS019,2023KXJYS207）
