Aspirational Preferences and Their Representation by Risk Measures

作者：Brown David B^*; De Giorgi Enrico; Sim Melvyn

来源：Management Science, 2012, 58(11): 2095-2113.

DOI：10.1287/mnsc.1120.1537

• representation of choice
• risk measures
• aspiration levels
• decision theory paradoxes

We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. This representation may help to uncover new models of choice. One that we explore in detail is the special case when the targets are bounded. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model is amenable to large-scale optimization.

• 出版日期2012-11