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A more general non-expected utility model as an explanation of gambling outcomes for individuals and markets

Peel, D and Law, D (2009) A more general non-expected utility model as an explanation of gambling outcomes for individuals and markets. Economica, 76 (302). pp. 251-263. ISSN 0013-0427

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    Abstract

    One feature of experimental work is the heterogeneity in risk attitudes and probability distortion displayed by agents. We outline a more general non-expected utility model, which nests the models of Markowitz, and Kahneman and Tversky. The model can generate the standard favourite–longshot bias or a reverse favourite–longshot bias as a result of optimal behaviour. We also provide new empirical evidence on the relationship between Tote and bookmaker returns and confirm that the relationship is not as originally conjectured by Gabriel and Marsden. We outline how our new model can provide an explanation of the relationship that is observed.

    Item Type: Article
    Journal or Publication Title: Economica
    Subjects: UNSPECIFIED
    Departments: Lancaster University Management School > Economics
    ID Code: 45564
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 19:34
    Refereed?: Yes
    Published?: Published
    Last Modified: 09 Apr 2014 22:33
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/45564

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