a.

b.
c.
d.

b. se debe utilizar el teorema de Bayes

c. el valor terminal al final de cada secuencia de ramas es
un flujo de efectivo neto
d. el valor terminal al final de cada secuencia de ramas es
el flujo de efectivo esperado

muestra el costo necesario para producir informacin

perfecta sobre el futuro
muestra el aumento mximo posible en el rendimiento
esperado con informacin de muestra
seala el aumento esperado en la informacin requerida
para seleccionar la decisin ptima
todo lo anterior

Respuestas
1.
2.
3.
4.
5.

V
V
F
V
V

6.
7.
8.
9.
10.

11.
12.
13.
14.
15.

F
V
F
F
V

16.
17.
18.
19.
20.

d
b
d
b
d

e
c
b
d
c

Problemas
10-1. Observe la tabla de retribuciones 10.13, en la cual las entradas estn en rendimientos netos en dlares. Suponga que sta es una decisin sin ningn conocimiento de los estados de la naturaleza.
(a) Cul es la decisin ptima, si se utiliza el criterio de Laplace?
(b) Cul es la decisin ptima si se utiliza el criterio maximin?
(c) Cul es la decisin ptima si se utiliza el criterio maximax?
(d) Genere una tabla de retribuciones en la cual las entradas sean de arrepentimiento.
(e) Cul es la decisin ptima si se utiliza el criterio de arrepentimiento minimax?

TABLA 10.13
ESTADO DE LA NATURALEZA
DECISIN

35

22

25

12

27

25

20

18

22

25

25

28

20

25

28

33

10-2. Observe la tabla de retribuciones 10.14, en la cual las entradas son rendimientos netos en dlares. Suponga que sta es una decisin sin conocimiento de los estados de la naturaleza.
(a) Cul es la decisin ptima si se utiliza el criterio de Laplace?
(b) Cul es la decisin ptima si se utiliza el criterio maximin?
(c) Cul es la decisin ptima si se utiliza el criterio maximax?
(d) Genere una tabla de retribuciones en la cual las entradas sean de arrepentimiento.
(e) Cul es la decisin ptima si se utiliza el criterio de arrepentimiento minimax?
488

Captulo 10
489
Anlisis de decisiones

TABLA 10.14
ESTADO DE LA NATURALEZA
DECISIN

10-3. Observe otra vez la tabla de retribuciones 10.13. Suponga que se especifican las siguientes probabilidades para los estados de la naturaleza:

P(1) ! 0.1, P(2) ! 0.4, P(3) ! 0.3, P(4) ! 0.2

(a) Encuentre la decisin que maximice el rendimiento neto esperado en dlares.
(b) Encuentre la decisin que minimice el arrepentimiento esperado.
(c) Haga un comentario sobre la relacin entre las respuestas de los incisos (a) y (b).
10-4. Considere una vez ms la tabla de retribuciones 10.14. Suponga que se asignan probabilidades a
los estados de la naturaleza como sigue:

P(1) ! 0.3, P(2) ! 0.6, P(3) ! 0.1

(a)
(b)
(c)

Encuentre la decisin que maximice el rendimiento neto en dlares.

Encuentre la decisin que minimice el arrepentimiento esperado.
Suponga que no se conocen P(1) y P(2), pero se estima que P(3) es 0.1. Trace el rendimiento neto en dlares en funcin de P(2) para las tres decisiones en la misma grfica, y
encuentre el rango de P(2) para el cual cada decisin es la ptima.
(d) Trace en una misma grfica el arrepentimiento esperado en funcin de P(2) para las tres
decisiones, y encuentre el rango de P(2) para la cual cada decisin es la ptima.
(e) Qu fue lo que encontr en las dos respuestas de arriba?
10-5. Phil Johnson, de Johnsons Printing en Chicago, debe decidir si acepta un contrato de trabajo de
impresin para el gobierno o volar a Los ngeles para participar en la licitacin para un folleto.
Restricciones en la capacidad le impiden realizar los dos trabajos, y tiene que decidir sobre el
contrato del gobierno antes de comenzar el proceso de licitacin. l estima la tabla de retribuciones en trminos del rendimiento neto en dlares, como se muestra en la tabla 10.15.

TABLA 10.15
ESTADO DE LA NATURALEZA

DECISIN

Aceptar el contrato
del gobierno, G
Aceptar el trabajo
del folleto, F

(a)
(b)
(c)
(d)
(e)

No obtener el
trabajo del folleto,
NT

Obtener el
trabajo del folleto,
T

1000

1000

"1000

4000

Cul es la decisin ptima basndose en el criterio maximin?

Si la probabilidad de obtener el trabajo del folleto es de 1/3, cul decisin maximizar su
rendimiento neto esperado en dlares?
Haga que P(T) sea la probabilidad de obtener el trabajo del folleto. Trace el rendimiento
esperado para cada decisin como funcin de P(T) en el mismo eje.
Cul es el valor ms pequeo de P(T) para el que Phil Johnson debe decidir ir a Los ngeles si desea maximizar su rendimiento neto esperado en dlares?
Cul es la decisin ptima, si el criterio de decisin es el de arrepentimiento minimax?

490
Parte 3
Modelos probabilsticos

TABLA 10.16
ESTADO DE LA NATURALEZA
DECISIN

Fro

Fresco

Clido

Caliente

Pequeo

1000

2000

3000

Mediano

!1000

3000

6000

Grande

!3000

!1000

4000

8000

Utilidad
0.98
0.93
0.87
0.83
0.78
0.73
0.66
0.55

0.14

FIGURA 10.29
Funcin de utilidad

4,000 2,000
3,000

(f)

2,000
4,000
1,000
3,000

6,000

8,000

Flujo de efectivo neto

Cul es la decisin ptima, si el criterio de decisin es el de minimizar el arrepentimiento

esperado y P(T) = 1/3?
(g) Suponga que el agente de compras del trabajo del folleto ya ha decidido a quin se le adjudicar la licitacin, pero Phil no sabe el resultado. Si Phil piensa que P(T) = 1/3, cul
es la cantidad mxima que Phil debera pagar para obtener esta informacin?
(h) Cmo llamara usted a la cantidad calculada en el inciso (g)?
10-6. Un proveedor de souvenirs descubre que las ventas en julio dependen mucho del clima. Los productos deben ordenarse en enero. El mayorista ofrece paquetes surtidos pequeos, medianos y
grandes a precios especiales, y el proveedor debe decidir la compra de uno de ellos. La tabla
10.16 muestra las retribuciones en trminos de rendimiento neto en dlares. La funcin de utilidad del dinero se presenta en la figura 10.29. Si el proveedor cree que todos los estados de la naturaleza son igualmente posibles,
(a) qu decisin maximiza el rendimiento neto esperado en dlares?
(b) qu decisin maximiza la utilidad esperada?
(c) Explique la relacin entre las respuestas a los incisos (a) y (b).
10-7. Phil Johnson de Johnsons Printing (vase el problema 10-5) ha decidido usar la funcin de utilidad que se muestra en la figura 10.29 para determinar si deber hacer una oferta para el trabajo
del folleto.
(a) Cul es la decisin ptima si el criterio de decisin es maximizar el rendimiento neto esperado en dlares y la probabilidad de obtener el trabajo del folleto es de 1/3? Cul es el
rendimiento neto esperado en dlares de la decisin ptima?
(b) Espera usted que cambie la decisin si se utiliza el criterio de decisin de maximizar la
utilidad esperada? Analice su respuesta.
(c) Cul es la utilidad esperada de la decisin ptima?
(d) Cul es la utilidad esperada del rendimiento esperado en dlares al presentar una oferta
para el folleto?
(e) Cul es la utilidad esperada de presentar una oferta para el folleto?
(f) Son iguales las respuestas a los incisos (d) y (e)? Deberan serlo?

 10-8. Asigne una utilidad de 0 a un flujo de efectivo neto de -$20,000 y una utilidad de 1 a un flujo de
efectivo neto de $50,000. Construya su propia funcin de utilidad siguiendo los siguientes pasos:
(a) Encuentre loteras equivalentes para flujos de efectivo netos de $0 y $20,000.
(b) Trace los cuatro puntos en su funcin de utilidad, y conctelos con lneas rectas.
(c) Basndose en esta funcin de utilidad, es usted adverso al riesgo, propenso al riesgo, indiferente al riesgo o nada de lo anterior?
10-9. Suponga que es adverso al riesgo y ha asignado los siguientes extremos a su funcin de utilidad:

U(!30) " 0
U(70) " 1
(a) Cul es un lmite inferior en U(30)?
Suponga que usted es indiferente ante un pago seguro de 30 y una lotera con una probabilidad
de 0.7 de ganar 70 con una probabilidad de 0.3 de perder 30.
(b) Cul es el lmite inferior en su utilidad para un pago seguro de 50?
(c) Cul es el lmite inferior ms pequeo en su utilidad para un pago seguro de 10?
SUGERENCIA: Recuerde que una funcin de utilidad es no decreciente y, si quien toma la decisin es adverso al riesgo, entonces la funcin es cncava.
10-10. Suponga que ha asignado los siguientes dos extremos a su funcin de utilidad:

U(!30) " 0
U(70) " 1
Suponga que usted es indiferente entre un pago seguro de 30 y una lotera con una probabilidad de 0.3 de ganar 70 con una probabilidad de 0.7 de perder 30. Adems, usted siente que
un pago seguro de 10 es equivalente a una apuesta con una probabilidad de 0.9 de perder 30 y
una probabilidad de 0.1 de ganar 30.
(a) Cmo describira su funcin de utilidad? Es usted propenso al riesgo?
(b) Cules son los lmites superiores e inferiores en U(50)?
(c) Cules son los lmites superiores e inferiores en U(25)?
10-11. El gerente de servicios al cliente de PROTRAC es responsable de acelerar los pedidos retrasados.
Para realizar el trabajo de manera efectiva, cuando un pedido llega tarde el gerente debe determinar si la tardanza fue causada por un error en el pedido o un error en la entrega. Si un pedido
est atrasado, debe haber ocurrido uno u otro de estos dos tipos de errores. Debido a la manera
en la cual est diseado este sistema, no pueden ocurrir los dos errores en un mismo pedido. Por
su experiencia, el gerente sabe que un error en el pedido provocar que ocho de cada 20 pedidos
se entreguen tarde, mientras que un error en la entrega har que ocho de cada 10 pedidos se entreguen tarde. Histricamente, de 1,000 pedidos, han ocurrido 30 errores en el pedido y 10 errores en la entrega. Suponga que un pedido est atrasado. Si el gerente de servicios al cliente desea
buscar primero el tipo de error que tiene la mayor probabilidad de ocurrir, ser un error de pedido o un error de entrega?
10-12. Scrub Professional Cleaning Service recibe contratos preliminares de ventas de dos fuentes: (1)
sus propios representantes y (2) los administradores de edificios. Histricamente, 1/4 de los contratos han provenido de los representantes de Scrub y 3/4 de los administradores de edificios.
Desafortunadamente, no todos los contratos preliminares terminan en contratos de venta reales. En realidad, slo 3/8 de esos contratos preliminares que se reciben de administradores de
edificios resultan en una venta, en tanto que 7/8 de aquellos que reciben los representantes
de Scrub terminan en una venta. El rendimiento neto de Scrub por una venta es de $1,000.
El costo de procesar y dar seguimiento a un contrato preliminar que no termina en venta es
de $150.
(a) Cul es la probabilidad de que un contrato preliminar termine en una venta? Cul es el
rendimiento esperado asociado con un contrato de venta preliminar?
(b) Cul de las partes (los representantes o los administradores de edificios) contribuye ms

Captulo 10
491
Anlisis de decisiones

PROBLEMS
Group A
1 Pizza King and Noble Greek are two competing
restaurants. Each must determine simultaneously whether to
undertake small, medium, or large advertising campaigns.
Pizza King believes that it is equally likely that Noble Greek
will undertake a small, a medium, or a large advertising
campaign. Given the actions chosen by each restaurant,
Pizza Kings profits are as shown in Table 7. For the
maximin, maximax, and minimax regret criteria, determine
Pizza Kings choice of advertising campaign.

TA B L E

7
Noble Greek Chooses

Pizza King
Chooses

Small

Medium

Large

Small
Medium
Large

$6,000
$5,000
$9,000

$5,000
$6,000
$6,000

$2,000
$1,000
$0

2 Sodaco is considering producing a new product:

Chocovan soda. Sodaco estimates that the annual demand
for Chocovan, D (in thousands of cases), has the following
mass function: P (D ! 30) ! .30, P (D ! 50) ! .40,
P(D ! 80) ! .30. Each case of Chocovan sells for $5 and
incurs a variable cost of $3. It costs $800,000 to build a
plant to produce Chocovan. Assume that if $1 is received
every year (forever), this is equivalent to receiving $10 at

13.2

the present time. Considering the reward for each action and
state of the world to be in terms of net present value, use
each decision criterion of this section to determine whether
Sodaco should build the plant.
3 For Example 1, show that ordering 11 or more papers is
dominated by ordering 10 papers.

Group B
4 Suppose that Pizza King and Noble Greek stop
advertising but must determine the price they will charge
for each pizza sold. Pizza King believes that Noble Greeks
price is a random variable D having the following mass
function: P (D ! $6) ! .25, P (D ! $8) ! .50, P (D !
$10) ! .25. If Pizza King charges a price p1 and Noble
Greek charges a price p2, Pizza King will sell 100 "
25( p2 # p1) pizzas. It costs Pizza King $4 to make a pizza.
Pizza King is considering charging $5, $6, $7, $8, or $9 for
a pizza. Use each decision criterion of this section to
determine the price that Pizza King should charge.
5 Alden Construction is bidding against Forbes Construction
for a project. Alden believes that Forbess bid is a random
variable B with the following mass function: P (B !
$6,000) ! .40, P(B ! $8,000) ! .30, P(B ! $11,000) ! .30.
It will cost Alden $6,000 to complete the project. Use each of
the decision criteria of this section to determine Aldens bid.
Assume that in case of a tie, Alden wins the bidding.
(Hint: Let p ! Aldens bid. For p $ 6,000, 6,000 %
p $ 8,000, 8,000 % p $ 11,000, and p & 11,000, determine
Aldens profit in terms of Aldens bid and Forbess bid.)

Utility Theory
We now show how the Von NeumannMorgenstern concept of a utility function can be
used as an aid to decision making under uncertainty.
Consider a situation in which a person will receive, for i ! 1, 2, . . . , n, a reward ri
with probability pi. This is denoted as the lottery ( p1, r1; p2, r2; . . . ; pn, rn). A lottery is
often represented by a tree in which each branch stands for a possible outcome of the lottery, and the number on each branch represents the probability that the outcome will occur. Thus, the lottery ('14', $500; '34', $0) could be denoted by
'1'
4
3
''
4

$500

variablesnet sales, net income, and equity. (See Howard (1992).) Specifically, he found
that R was approximately 6.4% of net sales, 124% of net income, and 15.7% of equity
for the companies he studied. For example, according to this prescription, a company with
net sales of $30 million should have a risk tolerance of approximately $1.92 million.
Howard admits that these percentages are only guidelines. However, they do indicate that
larger and more profitable companies tend to have larger values of R, which means that
they are more willing to take risks involving given dollar amounts.

PROBLEMS
Group A
1 Suppose my utility function for asset position x is given
by u(x) " ln x.
a Am I risk-averse, risk-neutral, or risk-seeking?
b I now have $20,000 and am considering the following two lotteries:
L1: With probability 1, I lose $1,000.
L2: With probability .9, I gain $0.
L2: With probability .1, I lose $10,000.
Determine which lottery I prefer and the risk premium of L2.
2

Answer Problem 1 for a utility function u(x) " x2.

Answer Problem 1 for a utility function u(x) " 2x # 1.

4 Show that a decision maker who has a strictly convex

utility function will exhibit risk-seeking behavior.
5 Show that a decision maker who has a linear utility
function will rank two lotteries according to their expected
value.
6 A decision maker has a utility function for monetary
gains x given by u(x) " (x # 10,000)1/2.
a Show that the person is indifferent between the status quo and
L: With probability !13!, he or she gains $80,000
L: With probability !23!, he or she loses $10,000
b If there is a 10% chance that a painting valued at
$10,000 will be stolen during the next year, what is the
most (per year) that the decision maker would be willing
to pay for insurance covering the loss of the painting?
7 Patty is trying to determine which of two courses to
take. If she takes the operations research course, she believes
that she has a 10% chance of receiving an A, a 40% chance
for a B, and a 50% chance for a C. If Patty takes a statistics
course, she has a 70% chance for a B, a 25% chance for a
C, and a 5% chance for a D. Patty is indifferent between
.25
A
1
and
L2
L1 !! C
.75
D
She is also indifferent between
.70
A
1
and
L4
L3 !! B
.30
D

754

CHAPTER

If Patty wants to take the course that maximizes the expected

utility of her final grade, which course should she take?
8 We are going to invest $1,000 for a period of 6 months.
Two potential investments are available: T-bills and gold. If
the $1,000 is invested in T-bills, we are certain to end the
6-month period with $1,296. If we invest in gold, there is a
3
!! chance that we will end the 6-month period with $400 and
4
a !14! chance that we will end the 6-month period with $10,000.
If we end up with x dollars, our utility function is given by
u(x) " x1/2. Should we invest in gold or T-bills?
9 We now have $5,000 in assets and are given a choice
between investment 1 and investment 2. With investment 1,
80% of the time we increase our asset position by $295,000,
and 20% of the time we increase our asset position by
$95,000. With investment 2, 50% of the time we increase
our asset position by $595,000, and 50% of the time we
increase our asset position by $5,000. Our utility function
for final asset position x is u(x). We are given the following
values for u(x): u(0) " 0, u(640,000) " .80, u(810,000) "
.90, u(0) " 0, u(90,000) " .30, u(1,000,000) " 1,
u(490,000) " .7.
a Are we risk-averse, risk-seeking, or risk-neutral?
Explain.
b Will we prefer investment 1 or investment 2?
10 My current income is $40,000. I believe that I owe
$8,000 in taxes. For $500, I can hire a CPA to review my
tax return; there is a 20% chance that she will save
me $4,000 in taxes. My utility function for (disposable
income) " (current income) $ (taxes) $ (payment to
accountant) is given by !x" where x is disposable income.
Should I hire the CPA?

Group B
11 (The Allais Paradox) Suppose we are offered a
choice between the following two lotteries:
L1: With probability 1, we receive $1 million.
L2: With probability .10, we receive $5 million.
L2: With probability .89, we receive $1 million.
L2: With probability .01, we receive $0.
Which lottery do we prefer? Now consider the following
two lotteries:

Based on Allais (1953).

1 3 Decision Making under Uncertainty

L3: With probability .11, we receive $1 million.

L2: With probability .89, we receive $0.
L4: With probability .10, we receive $5 million.
L2: With probability .90, we receive $0.
Which lottery do we prefer? Suppose (like most people), we
prefer L1 to L2. Show that L3 must have a larger expected
utility than L4.
12 (The St. Petersburg Paradox) Let L represent the
following lottery. I toss a coin until it comes up heads. If
the first heads is obtained on the nth toss of the coin, I
receive a payoff of $2n.
a If I were a risk-neutral decision maker, what would
be the certainty equivalent of L? Is this reasonable?
b If a decision makers utility function for increasing
wealth by x dollars is given by u(x) ! log2(x), what
would be the certainty equivalent of L?
13 Joe is a risk-averse decision maker. Which of the
following lotteries will he prefer?
L1: With probability .10, Joe loses $100.
L2: With probability .90, Joe receives $0.
L2: With probability .10, Joe loses $190.
L2: With probability .90, Joe receives $10.
14 (The Ellsberg Paradox) An urn contains 90 balls. It
is known that 30 are red and that each of the other 60 is
either yellow or black. One ball will be drawn at random
from the urn. Consider the following four options:
Option 1 We receive $1,000 if a red ball is drawn.
Option 2 We receive $1,000 if a yellow ball is drawn.
Option 3 We receive $1,000 if a yellow or black ball is drawn.
Option 4 We receive $1,000 if a red or black ball is drawn.
a Explain why most people prefer option 1 over option
2 and also prefer option 3 over option 4.
b If we prefer option 1 to option 2, explain why we
should also prefer option 4 over option 3.
15 Although the Von NeumannMorgenstern axioms seem
plausible, there are many reasonable situations in which
people appear to violate these axioms. For example, suppose

Based on Ellsberg (1961).

13.3

TA B L E

Job 1
Job 2
Job 3

8
Starting
Salary

Location

Opportunity for
Advancement

E
G
S

S
E
G

G
S
E

a recent college graduate must choose between three job

offers on the basis of starting salary, location of job, and
opportunity for advancement. Given two job offers that are
satisfactory with regard to all three attributes, the graduate
will decide between two job offers by choosing the one that
is superior on at least two of the three attributes. Suppose
he or she has three job offers and has rated each one as
shown in Table 8 (E ! excellent, G ! good, and S !
satisfactory). Show that the graduates preferences among
these jobs violate the Complete Ordering Axiom.

Group C
16 Suppose my utility function for my asset position is
u(x) ! x1/2. I have $10,000 at present. Consider the following
lottery:
L: With probability "12", L yields a payoff of $1,025.
L: With probability "12", L yields a payoff of #$199.
a If I dont have the right to play L, find an equation
that when solved would yield the amount I would be
willing to pay for the right to play L. This is called the
buying price of lottery L.
b If I have the right to play L, what is the least I would
accept from somebody who wanted to buy the right to
play L? (After someone else buys L, I cant play L.) This
is called the selling price of lottery L.
c Answer part (b) for the case that I have $1,000.
d Suppose that my utility function for my asset position is u(x) ! 1 # e#x. Show that for all possible asset
positions, the buying price of L and the selling price of
L will remain the same. Show that for all asset positions,
the buying price of L will equal the selling price of L.

Flaws in Expected Maximization of Utility:

Prospect Theory and Framing Effects
The axioms underlying expected maximization of utility (EMU) seem reasonable, but in
practice peoples decisions often deviate from the predictions of EMU. Psychologists
Tversky and Kahneman (1981) developed prospect theory and framing effects for values to try and explain why people deviate from the predictions of EMU.

In 2002, Kahneman received the Nobel Prize for Economics, in large part honoring his work with Tversky.
Tversky was not awarded the prize because he died in 1996 (Nobel Prizes are not given posthumously).