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L’utilité espérée selon Rabin & Thaler (2001) et les Monty Pythons

mercredi 23 septembre 2015

Le sketch des Monty Python’s Flying circus :

Extrait de l’article de Rabin & Thaler (2001) (pages 11 & 12) :

Expected Utility is an Ex-Hypothesis

While expected utility theory appeals to economists as a normative model of rational choice, almost from the beginning questions arose about the ability of the model to explain actual choices. For instance, Allais (1953) questioned whether people actually choose using linear probability weights, and Tversky and Kahneman (1981) showed that people’s choices can vary depending on the wording (or “framing”) of a problem, rather than its objective features. Because there have been repeated demonstrations of the shortcomings of the expected utility model, some readers may think that in pointing out further failures we are beating a dead horse.

There is much truth to this. Indeed, we aspire to have written one of the last articles debating the descriptive validity of the expected utility hypothesis. But we have also often been surprised by economists’ reluctance to acknowledge the descriptive inadequacies of expected utility theory, and have found some of the explanations and justifications to keep expected utility alive to be remarkable.
Indeed, perhaps our arguments above are not so much beating a dead horse as beating a dead parrot.

In a classic sketch from the television show Monty Python’s Flying Circus, a customer attempts to return a parrot (a “Norwegian Blue”) he bought from a pet shop earlier in the day, complaining the parrot was dead when he bought it. The sketch consists of a series of more and more surreal claims by the shopkeeper that the parrot is still alive—that it is merely resting, that it is shagged out after a long squawk, that it prefers resting on its back, and that it is pining for the fjords of Norway. To prove the parrot is dead, the customer takes it out of the cage and starts beating it against the countertop. The shopkeeper repeatedly tries to distract the angry customer from the fact that the parrot is dead by pointing out the parrot’s “beautiful plumage.” The customer responds that “the plumage don’t enter into it,” and proceeds to list numerous different ways of saying that the parrot is dead, the most famous of which is the declaration : “This is an ex-parrot.”

We feel much like the customer in the pet shop, beating away at a dead parrot. For nearly 50 years, economists have been fending off researchers who have identified clear departures from expected utility. Allais’s paradox was thought by many economists to be a mere technicality, which should either be ignored or integrated into a normative generalization of expected utility theory. Tversky and Kahneman’s devastating framing demonstrations have also been dismissed by many as mere parlor tricks. While we disagree with both of those responses, it is even more strained to view the calibration problems discussed here as some kind of technicality or parlor trick. Attempts to refute these problems more and more resemble the shopkeeper’s surreal denials that the parrot was dead, and attempts to ignore the problems more and more resemble the shopkeeper’s attempts to change the subject. Expected utility theory implies that people depart from risk neutrality only when facing prospects that might have a major effect on lifetime wealth. That is plainly false.

In terms of its mathematical elegance, tractability, and normative appeal, the expected utility model clearly has "beautiful plumage." But when the model is plainly wrong and frequently misleading, at some point economists must conclude that the plumage doesn’t enter into it. Even the obstinate shopkeeper finally admitted the parrot was dead and conceded : "I had better replace it, then."

What should expected utility theory be replaced with ? We think it is clear that loss aversion and the tendency to isolate each risky choice must both be key components of a good descriptive theory of risk attitudes. But we think it is even clearer that it is time for economists to recognize that expected utility is an ex-hypothesis, so that we can concentrate our energies on the important task of developing better descriptive models of choice under uncertainty.

Le texte complet peut être téléchargé à cette adresse :
Rabin M. and Thaler R.H., "Anomalies. Risk Aversion", Journal of Economic Perspectives, 2001

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