Stewart, N., Canic, E., & Mullett, T. L. (2020). On the futility of estimating utility functions: Why the parameters we measure are wrong, and why they do not generalize. Available on PsyArXiv at:

We have known for a long time that people’s risky choices depart systematically from expected utility theory, and also from related models like prospect theory. But it is still common to use expected utility theory or prospect theory to estimate parameters like risk aversion from sets of risky choices. We have also known for a long time that when parameters are estimated, a systematic departure between the model and the data causes biased parameter estimates. Here we show how the bias in parameter estimation interacts with the set of choices presented to participants. We find that estimates of risk aversion vary greatly between choice sets even though no real differences in risk aversion exist. We find parameters do not generalise at all between choice sets, even when the sets are random draws from a master choice set.