Prospect Theory is a widely accepted descriptive framework to model decisions under risk. However, it is limited to … differences in its utility, contrary to experiments. In this article we present two slight modifications to Prospect Theory which … can be theoretically well justified and solve these two problems. We derive in this way a simple model of Prospect Theory …

density. Optimality is meant in the sense of the maximization of an arbitrary preference model, e.g. Expected Utility Theory … or Prospect Theory. The proof is based on methods from transport theory. We apply the general result to specific …