Biases in the assessment of von Neumann-Morgenstern utility functions

This paper investigates biases in the assessment of von Neumann-Morgenstern (NM) utility functions. Based on experimental data of 73 subjects, certain ty and lottery equivalence NM utility functions are derived and analyzed. W e observe violation of procedure invariance in the sense of dependence on t he probability used to estimate the functions and in the sense of the prese nce of a response mode bias. We observe also a response mode bias for risk attitudes. Considering the intensity of subjects' risk attitudes allows int eresting observations of dominance properties of NM utility functions deriv ed using different probabilities and/or response modes for their generation .