
on Utility Models and Prospect Theory 
Issue of 2016‒10‒02
twenty papers chosen by 
By:  Manganelli, Simone 
Abstract:  This paper shows how to incorporate judgment in a decision problem under uncertainty, within a classical framework. The method relies on the specification of a judgmental decision with associated confidence level and application of hypothesis testing. The null hypothesis tests whether marginal deviations from the judgmental decision generate negative changes in expected utility. The resulting estimator is always at the boundary of the confidence interval: beyond that point the probability of decreasing the expected utility becomes greater than the chosen confidence level. The decision maker chooses the confidence level as a mapping from the pvalue of the judgmental decision into the unit interval. I show how the choice of priors in Bayesian estimators is equivalent to the choice of this confidence level mapping. I illustrate the implications of this new framework with a portfolio choice between cash and the EuroStoxx50 index. JEL Classification: C1, C11, C12, C13, D81 
Keywords:  judgmental estimation, outofsample, portfolio selection, statistical risk propensity 
Date:  2016–08 
URL:  http://d.repec.org/n?u=RePEc:ecb:ecbwps:20161947&r=upt 
By:  Martin Blomhoff Holm (BI Norwegian Business School and Norges Bank (Central Bank of Norway)) 
Abstract:  Carroll and Kimball (1996) prove that the consumption function is concave if infinitelylived riskaverse households have a utility function which exhibits Hyperbolic Absolute Risk Aversion (HARA), face income uncertainty, and are prudent. However, the empirical evidence is inconclusive about the importance of income uncertainty for households. On the other hand, empirical results suggest that liquidity and liquidity constraints are important determinants of household behavior. In this paper, I prove that the consumption function is strictly concave in wealth for infinitelylived riskaverse households with a utility function of the HARA class if there exists a liquidity constraint which binds for some level of wealth. This result is independent of prudence. Furthermore, the introduction of a liquidity constraint always reduces consumption and increases the marginal propensity to consume out of wealth. 
Keywords:  consumption, liquidity constraints 
JEL:  D11 D52 D91 
Date:  2016–09–22 
URL:  http://d.repec.org/n?u=RePEc:bno:worpap:2016_14&r=upt 
By:  Krzysztof Kontek; Michael Birnbaum 
Abstract:  This paper presents the results of two experiments that exhibit monotonicity violations: some lotteries with three equally likely outcomes are valued more than a superior twooutcome lottery, while others are valued less than an inferior twooutcome lottery. Moreover the experimental data provide compelling evidence that lottery valuation strongly depends on the value(s) of the middle outcome(s). This contradicts the claim of Cumulative Prospect Theory (CPT) that middle outcomes are assigned lower weights than the extreme ones. Both effects can be observed in the case of fouroutcome lotteries. The patterns are persistent for various payoff schedules, and have been observed for subjects from both Poland and California. Incorporating the median outcome value into any modeling of risky decisionmaking enables these effects to be explained. This paper demonstrates that a simple weighted Expected Utility  Median model describes data involving two three, and fouroutcome lotteries more accurately than CPT. Moreover, it offers an alternative explanation of ''overweighting'' of small probabilities, and ''underweighting'' of large ones – phenomena postulated by CPT. 
Keywords:  decision – making under risk, monotonicity violations, Expected Utility Theory (EUT), Cumulative Prospect Theory, median 
JEL:  D81 
Date:  2016–09 
URL:  http://d.repec.org/n?u=RePEc:sgh:kaewps:2016016&r=upt 
By:  Chen, Daniel L.; Schonger, Martin 
Abstract:  Ambiguity aversion has been used to explain a wide range of phenomena in law and policy: incomplete contracts, stock market volatility, abstention from voting, and why prosecutors offer and defendants accept harsh plea bargains. This paper presents evidence problematizing the experimental basis for ambiguity aversion. Ambiguity aversion is the interpretation of the experimental finding (Ellsberg paradox) that most subjects violate probabilistic sophistication: They prefer betting on events whose probabilities are known (objective) to betting on events whose probabilities are unknown to them (subjective). However in typical experiments these unknown probabilities are known and often determined by the experimenter. Thus the typical Ellsberg experiment is a situation of asymmetric information. People may try to avoid situations where they are the less informed party in an asymmetric situation setting. Indeed doing so is often normatively appropriate. Thus avoidance of situations of informational asymmetry is a potential confound in typical Ellsberg experiments. Paying to avoid information asymmetry in an Ellsberg experiment would constitute the misapplication of a heuristic to the unfamiliar experimental situation. To eliminate this confound, this paper proposes a new source of ambiguity: participant generated ambiguity. Instead of the experimenter filling an Ellsberg urn, the opaque Ellsberg urn is filled by the other subjects in a laboratory session. We find that eliminating asymmetric information while leaving ambiguity in place, makes subjects more than willing to choose the ambiguous bet rather than the objective one. This is despite the fact that choosing the objective bet is costless. These results have fundamental implications for individual decision making and for the empirical predictions of theoretical models incorporating Knightian uncertainty. 
Keywords:  uncertainty aversion, probabilistic sophistication, sources of ambiguity, Ellsberg paradox 
JEL:  C91 D81 G11 
Date:  2016 
URL:  http://d.repec.org/n?u=RePEc:tse:iastwp:31023&r=upt 
By:  Emmanuel Saez; Stefanie Stantcheva 
Abstract:  This paper develops a theory of optimal capital taxation that expresses optimal tax formulas in sufficient statistics following the methodology of optimal labor income taxation. We first consider a simple model with utility functions linear in consumption and featuring heterogeneous utility for wealth. In this case, there are no transitional dynamics, the steadystate is reached immediately and has finite elasticities of capital with respect to the netoftax rate. This allows for a simple and transparent optimal tax analysis with formulas expressed in terms of empirical elasticities and social preferences (as in the optimal labor income tax theory). These formulas have the advantage of being easily taken to the data to simulate optimal taxes, which we do using U.S. tax return data on labor and capital incomes. Second, we show how these results can be extended to a much broader class of utility functions and models. The same types of formulas carry over. 
JEL:  H20 H21 
Date:  2016–09 
URL:  http://d.repec.org/n?u=RePEc:nbr:nberwo:22664&r=upt 
By:  Michaël Lainé (CEPN  Centre d'Economie de l'Université Paris Nord  Université Paris 13  Université Sorbonne Paris Cité (USPC)  CNRS  Centre National de la Recherche Scientifique, GREThA;Groupe de Recherche en Économie Théorique et Appliquée  CNRS  Centre National de la Recherche Scientifique) 
Abstract:  Until recently, risktaking in investment decisions has been explained by cognitive biases and emotional urges. I would like to propose an alternative explanation, based on the work of Pierre Bourdieu, who links cultural capital to risktaking. His concept of cultural capital has a very broad meaning, as it encompasses technical skills, aesthetic preferences, verbal facility, general cultural awareness, educational credentials, and artistic competencies. On theoretical grounds, one can assume that a high level of cultural capital enables the taming of uncertainty and allows for temporal horizons that cover longer terms. I test this hypothesis by conducting and analyzing a survey of 307 entrepreneurs. I define risktaking in two ways: (i) in a somewhat mainstream way, on the basis of expected utility, and (ii) in a heterodox way, in a qualitative, contextdependent setting. I find that, in both cases, there seems to be a link between cultural capital and risktaking. Furthermore, it seems to make financing issues more salient. I conclude by opening a discussion about the heterogeneity of entrepreneurs and their animal spirits. 
Keywords:  Bourdieu, cultural capital, entrepreneur, investment expectations, risktaking 
Date:  2016 
URL:  http://d.repec.org/n?u=RePEc:hal:journl:hal01335596&r=upt 
By:  Aloisio Araujo (IMPA  Instituto Nacional de Matemática Pura e Aplicada  Instituto Nacional de matematica pura e aplicada, FGVEPGE  Universidad de Brazil); JeanMarc Bonnisseau (CES  Centre d'économie de la Sorbonne  UP1  Université PanthéonSorbonne  CNRS  Centre National de la Recherche Scientifique, PSE  Paris School of Economics); Alain Chateauneuf (CES  Centre d'économie de la Sorbonne  UP1  Université PanthéonSorbonne  CNRS  Centre National de la Recherche Scientifique, PSE  Paris School of Economics); Rodrigo Novinski (Faculdades Ibmec  Faculdades Ibmec) 
Abstract:  We prove that under mild conditions individually rational Pareto optima will exist even in presence of nonconvex preferences. We consider decision makers dealing with a countable flow of payoffs or choosing among financial assets whose outcomes depend on the realization of a countable set of states of the world. Our conditions for the existence of Pareto optima can be interpreted as a requirement of impatience in the first context and of some pessimism or not unrealistic optimism in the second context. A nonexistence example is provided when, in the second context, some decision maker is too optimistic. We furthermore show that at an individually rational Pareto optimum at most one strictly optimistic decision maker will avoid ruin at each state or date. Considering a risky context this entails that even is risk averters will share risk in a comonotonic way as usual, at most one classical strong risk lover will avoid ruin at each state or date. Finally some examples illustrate circumstances when a risk averter could take advantage of sharing risk with a risk lover rather than with a risk averter. 
Abstract:  Nous montrons que sous des conditions peu contraignantes des optima de Pareto individuellement rationnels existent même en présence de préférences nonconvexes. Nous considérons des décideurs munis de flux dénombrables de paiements ou choisissant parmi des actifs financiers dont les gains dépendent de la réalisation d'un ensemble dénombrable d'états du monde. Nos conditions pour l'existence d'optima de Pareto peuvent s'interpréter comme une exigence d'impatience dans le premier contexte et d'un certain pessimisme ou d'un optimisme non irréaliste dans le second contexte. Un exemple de nonexistence est proposé lorsque dans le second contexte l'un des décideurs est trop optimiste. De plus, nous montrons qu'à un optimum de Pareto individuellement rationnel au plus un décideur strictement optimiste évitera la ruine à chaque date ou dans chaque état. Finalement, quelques exemples illustrent dans quelles circonstances un adversaire du risque aurait avantage à partager ses risques avec un joueur plutôt qu'avec un adversaire du risque. 
Keywords:  Pareto optimum,optimistic,Risk sharing,optimiste,optimum de Pareto,Partage de risque 
Date:  2015–09 
URL:  http://d.repec.org/n?u=RePEc:hal:journl:halshs01224491&r=upt 
By:  Jérôme Monne (LEMNA  Laboratoire d'économie et de management de Nantes Atlantique  UN  Université de Nantes, Audencia Business School); Céline Louche (Audencia Business School); Christophe Villa (Audencia Business School) 
Abstract:  Analyzing the geographical location of almost all the microfinance institutions (MFIs) within Pakistan, this paper gives further evidence that microfinance activities do not reach the poorest rural areas. Especially, we explore how this result is driven by the uncertainty faced by MFIs in their location decision i.e. they can hardly predict accurately whether or not they will perform financially. Furthermore, we find that MFIs are spatially clustered and identify three main reasons for this: common attraction factors i.e. the characteristics of one area place fits to the preferences of all MFIs so that they are all located in the same areas; payoff externalities to be collocated; and herd behaviour, i.e. MFIs follows one another. Most importantly, we find that a significant part of this herding process is rational, i.e. early locations of MFIs convey information used by later ones such that it reverses or neutralizes the negative impact of uncertainty resulting then in more locations in needier areas. Since it allows them to be located in poorer areas, MFIs improve the achievement of their social goal. This latter result is rather good news for those who reckon that a better access to financial services enhances economic growth and fosters poverty alleviation. Indeed, rational herding constitutes an endogenous moderator effect to the big issue that financial services penetration is too weak in the poorest rural areas. 
Keywords:  panel Poisson regression,rational herding,poverty,microfinance institutions,location decisions,uncertainty 
Date:  2016 
URL:  http://d.repec.org/n?u=RePEc:hal:journl:hal01362202&r=upt 
By:  Francesco Cerigioni 
Abstract:  Evidence from cognitive sciences shows that some choices are conscious and reflect individual preferences while others tend to be intuitive, driven by analogies with past experiences. Under these circumstances, usual economic modeling might not be valid because not all choices are the consequence of individual tastes. We here propose a behavioral model that can be used in standard economic analysis that formalizes how conscious and intuitive choices arise by presenting a decision maker composed by two systems. One system compares past decision problems with the one the decision maker faces, and it replicates past behavior when the problems are similar enough (Intuitive choices). Otherwise, a second system is activated and preferences are maximized (Conscious choices). We then present a novel method capable of finding conscious choices just from observed behavior and finally, we provide a choice theoretical foundation of the model and discuss its importance as a general framework to study behavioral inertia. 
Keywords:  Dual Processes, Fast and Slow Thinking, Similarity, Revealed Preferences, memory, Intuition 
JEL:  D01 D03 D60 
Date:  2016–09 
URL:  http://d.repec.org/n?u=RePEc:bge:wpaper:924&r=upt 
By:  Olmo, José; Gonzalo, Jesús 
Abstract:  This paper studies the longterm asset allocation problem of an individual with risk aversion coefficient that i) varies with economic conditions, and ii) exhibits different risk attitudes towards the short and the long term. To do this, we propose a parametric linear portfolio policy that accommodates an arbitrarily large number of assets in the portfolio and a piecewise linear risk aversion coefficient. These specifications of the optimal portfolio policy and individual's risk aversion allow us to apply GMM methods for parameter estimation and testing. Our empirical results provide statistical evidence of the existence of a shortterm and a longterm regime in the individual's risk aversion. Longterm risk aversion is always higher than shortterm risk aversion, and it is more statistically significant as the investment horizon increases. The analysis of the optimal portfolio weights also suggests that the allocation to stocks and bonds is strongly negatively correlated, with the magnitude of the portfolio weights and risk aversion coefficients increasing as the investment horizon expands. 
Keywords:  Parametric portfolio policies; Intertemporal portfolio theory; Threshold nonlinearity tests; Dynamic risk aversion 
JEL:  E62 E52 E32 
Date:  2016–09–01 
URL:  http://d.repec.org/n?u=RePEc:cte:werepe:23599&r=upt 
By:  Francesco Cerigioni 
Abstract:  Evidence from financial markets suggests that asset prices can be consistently far from their fundamental value. Prices seem to underreact to news in the shortrun and overreact in the longrun. In this paper, we use Dual Process Theory to describe traders behavior. In particular, a part of traders holds wrong beliefs anytime the market environment does not change sufficiently. The proportion of traders with wrong beliefs will depend on how similar past market environments are with the present one. We show that such model not only can be seen as a way of endogenizing noise trading, but also provides a justification for noise traders’ beliefs and it shows that underreaction and overreaction naturally arise in such framework. Finally, we discuss how the model might help understanding the emergence of the equitypremium puzzle and its variation through time. 
Keywords:  asset pricing, Dual Processes, noise trading, underreaction, overreaction, equitypremium puzzle 
JEL:  G02 G11 G12 
Date:  2016–09 
URL:  http://d.repec.org/n?u=RePEc:bge:wpaper:925&r=upt 
By:  Herings, JeanJacques (General Economics 1 (Micro)); Meshalkin, Andrey (General Economics 1 (Micro)); Predtetchinski, Arkadi (General Economics 1 (Micro)) 
Abstract:  The paper considers a class of decision problems with infinite time horizon that contains Markov decision problems as an important special case. Our interest concerns the case where the decision maker cannot commit himself to his future action choices. We model the decision maker as consisting of multiple selves, where each history of the decision problem corresponds to one self. Each self is assumed to have the same utility function as the decision maker. We introduce the notions of Nash equilibrium, subgame perfect equilibrium, and curb sets for decision problems. An optimal policy at the initial history is a Nash equilibrium but not vice versa. Both subgame perfect equilibria and curb sets are equivalent to subgame optimal policies. The concept of a subgame optimal policy is therefore robust to the absence of commitment technologies. 
JEL:  C61 C62 C73 
URL:  http://d.repec.org/n?u=RePEc:unm:umagsb:2016021&r=upt 
By:  Nobuyuki Hanaki (GREDEG  Groupe de Recherche en Droit, Economie et Gestion  UNS  Université Nice Sophia Antipolis  CNRS  Centre National de la Recherche Scientifique); Nicolas Jacquemet (PSE  Paris School of Economics, CES  Centre d'économie de la Sorbonne  UP1  Université PanthéonSorbonne  CNRS  Centre National de la Recherche Scientifique); Stéphane Luchini (GREQAM  Groupement de Recherche en Économie Quantitative d'AixMarseille  ECM  Ecole Centrale de Marseille  AMU  Aix Marseille Université  EHESS  École des hautes études en sciences sociales  Université Paul Cézanne  AixMarseille 3  Université de la Méditerranée  AixMarseille 2  CNRS  Centre National de la Recherche Scientifique); Adam Zylbersztejn (GATE  Groupe d'analyse et de théorie économique  UL2  Université Lumière  Lyon 2  Ecole Normale Supérieure Lettres et Sciences Humaines  CNRS  Centre National de la Recherche Scientifique) 
Abstract:  How is one's cognitive ability related to the way one responds to strategic uncertainty? We address this question by conducting a set of experiments in simple 2 × 2 dominance solvable coordination games. Our experiments involve two main treatments: one in which two human subjects interact, and another in which one human subject interacts with a computer program whose behavior is known. By making the behavior of the computer perfectly predictable, the latter treatment eliminates strategic uncertainty. We find that subjects with higher cognitive ability are more sensitive to strategic uncertainty than those with lower cognitive ability. 
Keywords:  Strategic uncertainty,Bounded rationality,Robot,Experiment 
Date:  2016 
URL:  http://d.repec.org/n?u=RePEc:hal:journl:halshs01261036&r=upt 
By:  Lukas Menkhoff; Sahre Sakha 
Abstract:  We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is heterogeneous and, therefore, difficult to assess ex ante. To close this knowledge gap, greater diversification across risk measures is helpful. We do, indeed, find that performance increases considerably if singleitem risk measures are combined to form multipleitem risk measures. They tend to improve results the more singleitem measures they contain and if these singleitem risk measures have different framings. Interestingly, survey items perform as well as incentivized experimental items in explaining risky behavior. 
Keywords:  Risk, experiments, household survey, testing methods, contexts 
JEL:  D81 C93 O12 
Date:  2016 
URL:  http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1608&r=upt 
By:  Franz Dietrich (PSE  Paris School of Economics, CES  Centre d'économie de la Sorbonne  UP1  Université PanthéonSorbonne  CNRS  Centre National de la Recherche Scientifique); Christian List (LSE  London School of Economics and Political Science) 
Abstract:  We introduce a "reasonbased" framework for explaining and predicting individual choices. The key idea is that a decisionmaker focuses on some but not all properties of the options and chooses an option whose "motivationally salient" properties he/she most prefers. Reasonbased explanations can capture two kinds of contextdependent choice: (i) the motivationally salient properties may vary across choice contexts, and (ii) they may include "contextrelated" properties, not just "intrinsic" properties of the options. Our framework allows us to explain boundedly rational and sophisticated choice behaviour. Since properties can be recombined in new ways, it also offers resources for predicting choices in unobserved contexts. 
Keywords:  Rational choice,reasons,contextdependence,bounded and sophisticated rationality,prediction of choice 
Date:  2016 
URL:  http://d.repec.org/n?u=RePEc:hal:journl:halshs01249514&r=upt 
By:  Comello, Stephen (Stanford University); Reichelstein, Stefan (Stanford University) 
Abstract:  The policy of netmetering allows the operators of residential and commercial solar PV systems to sell surplus electricity back to their utility at the going retail rate. This policy has recently been criticized on the grounds that it provides a subsidy for solar installations, a subsidy that is paid for by all ratepayers. In response, public utility commissions have begun to take up this regulatory issue. This paper presents a theoretical and empirical analysis of the effects of net metering restrictions. We examine the impact that feedin tariffs (FiT), set below the going retail rate, will have on the volume of future residential PV investments. Our calculations focus on three representative locations in the states of California, Nevada and Hawaii. We find that a FiT set at or above the levelized cost of electricity (LCOE) for solar PV power would provide sufficient incentives for investors to continue on the current path of residential solar installations, even though the profitability of these investments would be lowered substantially. At the same time, we find that the LCOE is a tipping point insofar as feedin tariffs set below that level would have a sharply negative effect on the volume of new installations. 
Date:  2016–05 
URL:  http://d.repec.org/n?u=RePEc:ecl:stabus:3418&r=upt 
By:  Quang Nguyen (Middlesex University [London]  Middlesex University); Marie Claire Villeval (GATE Lyon SaintÉtienne  Groupe d'analyse et de théorie économique  ENS Lyon  École normale supérieure  Lyon  UL2  Université Lumière  Lyon 2  UCBL  Université Claude Bernard Lyon 1  Université Jean Monnet  SaintEtienne  PRES Université de Lyon  CNRS  Centre National de la Recherche Scientifique); Hui Xu (Beijing Normal University, GATE Lyon SaintÉtienne  Groupe d'analyse et de théorie économique  ENS Lyon  École normale supérieure  Lyon  UL2  Université Lumière  Lyon 2  UCBL  Université Claude Bernard Lyon 1  Université Jean Monnet  SaintEtienne  PRES Université de Lyon  CNRS  Centre National de la Recherche Scientifique) 
Abstract:  Virtually every commercial transaction has within itself an element of trust, certainly any transaction conducted over a period of time. It can be plausibly argued that much of the economic backwardness in the world can be explained by the lack of mutual confidence. (Arrow 1972) 
Keywords:  risk preferences, time preferences, Cumulative Prospect Theory, Vietnam, field experiment, trustworthiness,trust 
Date:  2016 
URL:  http://d.repec.org/n?u=RePEc:hal:journl:halshs01300735&r=upt 
By:  Friedman, Jeffrey A. (Dartmouth College); Lerner, Jennifer S. (Harvard University); Zeckhauser, Richard (Harvard University) 
Abstract:  National security is one of many fields where public officials offer imprecise probability assessments when evaluating highstakes decisions. This practice is often justified with arguments about how quantifying subjective judgments would bias analysts and decision makers toward overconfident action. We translate these arguments into testable hypotheses, and evaluate their validity through survey experiments involving national security professionals. Results reveal that when decision makers receive numerals (as opposed to words) for probability assessments, they are less likely to support risky actions and more receptive to gathering additional information, disconfirming the idea of a bias toward action. Yet when respondents generate probabilities themselves, using numbers (as opposed to words) magnifies overconfidence, especially among lowperforming assessors. These results hone directions for research among both proponents and skeptics of quantifying probability estimates in national security and other fields. Given that uncertainty surrounds virtually all intelligence reports, military plans, and national security decisions, understanding how national security officials form and interpret probability assessments has wideranging implications for theory and practice. 
Date:  2015–02 
URL:  http://d.repec.org/n?u=RePEc:ecl:harjfk:16016&r=upt 
By:  Hannes Hoffmann; Thilo MeyerBrandis; Gregor Svindland 
Abstract:  We axiomatically introduce riskconsistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a statewise conditional aggregation and a univariate conditional risk measure. Our studies extend known results for unconditional risk measures on finite state spaces. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Mathematically, the problem reduces to selecting a realization of a random field with suitable properties. Moreover, our approach covers many prominent examples of systemic risk measures from the literature and used in practice. 
Date:  2016–09 
URL:  http://d.repec.org/n?u=RePEc:arx:papers:1609.07897&r=upt 
By:  Christophe Labreuche (UMP CNRS/THALES  Unité mixte de physique CNRS/Thalès  THALES  CNRS  Centre National de la Recherche Scientifique); Michel Grabisch (CES  Centre d'économie de la Sorbonne  UP1  Université PanthéonSorbonne  CNRS  Centre National de la Recherche Scientifique, PSE  Paris School of Economics) 
Abstract:  Two utility models are classically used to represent interaction among criteria: the Choquet integral and the Generalized Additive Independence (GAI) model. We propose a comparison of these models. Looking at their mathematical expression, it seems that the second one is much more general than the first one. The GAI model has been mostly studied in the case where attributes are discrete. We propose an extension of the GAI model to continuous attributes, using the multilinear interpolation. The values that are interpolated can in fact be interpreted as a kary capacity, or its extension – called pary capacity – where p is a vector and pi is the number of levels attached to criterion i. In order to push the comparison further, the Choquet integral with respect to a pary capacity is generalized to preferences that are not necessarily monotonically increasing or decreasing on the attributes. Then the Choquet integral with respect to a pary capacity differs from a GAI model only by the type of interpolation model. The Choquet integral is the Lovász extension of a pary capacity whereas the GAI model is the multilinear extension of a pary capacity. 
Abstract:  Deux modèles d'utilité sont classiquement utilisés pour représenter l'interaction entre les critères : l'intégrale de Choquet et le modèle de l'indépendance additive généralisée (GAI). Nous proposons une comparaison de ces deux modèles. D'après leur expression mathématique, il semble que le second soit plus général que le premier. Le modèle GAI a été étudié le plus souvent avec des attributs discrets. Nous proposons une extension du modèle GAI pour les attributs continus, par interpolation multilinéaire. Les valeurs interpolées peuvent être interprétées comme une capacité kadditive ou padditive, où p est un vecteur et pi le nombre de niveaux attachés au critère i. Pour pousser la comparaison plus loin, l'intégrale de Choquet par rapport à une pcapacité est généralisée aux préférences qui ne sont pas nécessairement monotones croissantes ou décroissantes. Alors l'intégrale de Choquet pour une pcapacité diffère d'un modèle GAI seulement par le type d'interpolation. L'intégrale de Choquet est l'extension de Lovász d'une pcapacité tandis que le modèle GAI est l'extension multilinéaire d'une pcapacité. 
Keywords:  Multiple criteria analysis,Generalized Additive Independence,Choquet integral,interpolation,intégrale de Choquet,Multiple analyse des critères,indépendance additive généralisée 
Date:  2016–01 
URL:  http://d.repec.org/n?u=RePEc:hal:journl:halshs01277825&r=upt 