Course “Risk and Ambiguity” on internet

[Peter Wakker]

Dear all,

 

My course “Risk and Ambiguity” is available, for free, on internet, at

 

https://personal.eur.nl/wakker/ra/course_ra_wakker.htm

 

It is for master students in economics and adjacent fields (business, psychology, math, health).

 

Some lectures may be of independent interest, on

- survey on ambiguity theories

- normative discussion of Allais paradox

- Ellsberg paradox

- Rabin paradox

- reference dependence paradox

- bookmaking/no-arbitrage

- intuitive explanation of Quiggin's invention of rank dependence

- prescriptive application of expected utility

- pessimism & insensitivity in probability weighting

 

 

Any feedback will be appreciated.

 

Best, Peter

 

[Behnam Malakooti]

Dear  Peter: 

I did find your videos on risk very helpful and informative ; specially the one on Rabin Paradox is very interesting;  I think what it meant  to me is that  concave Expected Utility Theory (EUT) , has a structural deficiencies in presenting risk averse (similarly one can make conjecture that risk prone (convex EUT) ; will have the same structural issues) . 

In fact , a special case Geometric Dispersion Theory (GDT), (that is  the paper I presented in  D-TEA two years ago), which  also has a concave utility,  overcomes this particular deficiency of EUT; and more over all other classical paradoxes of EUT ( and it is generalization resolves all paradoxes of CPT). 

However, One can consider a a combination of GDT and EUT to provide  a stronger risk model to present risk averse cases (and its generalization to present mixed risk averse and pronecases by a combinations of CPT and GDT )

Here are some of the key references are: 

Basic GDT Theory:  https://pubsonline.informs.org/doi/abs/10.1287/deca.2019.0404

General GDT  Theory:  https://www.semanticscholar.org/paper/Geometric-Dispersion-Theory-for-Decisions-Under-and-Malakooti/2e40d717056b1195eb99f136057259a8950c34d6 

Regards

Behnam (Ben) Malakooti 

Case Western Reserve University 

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Regards,
Behnam Malakooti, Ph.D., P.E.

Fellow of IEEE, SME, & Institute of Industrial &Systems Engineers
Department of Electrical, Computers, and Systems Engineering
Case Western Reserve University

Case Western Reserve University