Economics and management science share the tradition of ordering risk aversionby fitting the best expected utility (EU) model with a certain utility function to in-dividual data, and then using the utility curvature for each individual as the soleindex of risk attitude. (Cumulative) Prospect...

In the framework of expected utility theory, risk attitudes are entirely capturedby the curvature of the utility function. In cumulative prospect theory (CPT) riskattitudes have an additional dimension: the weighting of probabilities. With thismodication, one question arises naturally: since...