DISCRIMINATING BETWEEN PREFERENCE FUNCTIONALS - A PRELIMINARY MONTE-CARLO STUDY

This article is connected with recent attempts to estimate EU and Generalised EU preference functionals using (complete ranking) experimental data and maximum likelihood estimation techniques. In particular we explore, using Monte Carlo techniques, the power of such procedures in correctly determining the true preference functional. We conclude that several of the more popular generalisations to EU are very difficult to disentangle, and that the techniques are rather poor at correctly identifying EU when it is the correct functional.