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A Probability Weighting Function for Cumulative Prospect Theory and Mean-Gini Approach to Optimal Portfolio Investment

Blavatskyy, Pavlo R. - 2014

This paper presents a new two-parameter probability weighting function for Tversky and Kahneman (1992) cumulative prospect theory as well as its special cases — Quiggin (1981) rank-dependent utility and Yaari (1987) dual model. The proposed probability weighting function can be inverse...

Persistent link: https://www.econbiz.de/10013060674

Separating attitudes towards money from attitudes towards probabilities : stake effects and ambiguity as a test for prospect theory

Vieider, Ferdinand M.; Cingl, Lubomír; Martinsson, Peter; … - 2013

Prospect theory (PT) is the dominant descriptive theory of decision making under risk today. For the modeling of … choices, PT relies on a psychologically founded separation of risk attitudes into attitudes towards outcomes, captured in a … in stakes on risk attitudes. We find that the stake increase is not reflected in the value function, but rather in the …

Persistent link: https://www.econbiz.de/10009792472

Prospect Theory and Hedging Risks

Broll, Udo - 2010

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in mathematical challenges: simple extensions and...

Persistent link: https://www.econbiz.de/10013142328

Prospect theory and hedging risks

Broll, Udo; Egozcue, Martín; Wong, Wing Keung; … - 2010

Persistent link: https://www.econbiz.de/10003980000

Chapter 2. Rationality and Dynamic Consistency Under Risk and Uncertainty

Hammond, Peter J.; Zank, Horst - In: Handbook of the economics of risk and uncertainty : volume 1, (pp. 41-97). 2014

weak preference ordering. For choice under risk (resp. uncertainty), preferences are assumed to be represented by the … objectively (resp. subjectively) expected value of a von Neumann-Morgenstern utility function. For choice under risk, this implies …

Persistent link: https://www.econbiz.de/10014025530

Unusual estimates of probability weighting functions

Wilcox, Nathaniel T. - 2015

Persistent link: https://www.econbiz.de/10011406786

Probability Dominance

Diecidue, Enrico - 2018

(PD), affects decisions under risk. We set up head-to-head situations where all preferences of a given class (expected … maximization; 73% are aligned with PD as opposed to preferences under risk aversion and under original and cumulative prospect …

Persistent link: https://www.econbiz.de/10012911948

Calibration of quantum decision theory, aversion to large losses and predictability of probabilistic choices

Vincent, Sabine; Jukalov, Vjačeslav I.; Kovalenko, Tatyana - 2016

a constant absolute risk aversion (CARA) function. This makes logit-CPT nested in our proposed parameterisation of QDT …

Persistent link: https://www.econbiz.de/10011516615

On the Empirical Validity of Cumulative Prospect Theory : Experimental Evidence of Rank-Independent Probability Weighting

Bernheim, B. Douglas - 2020

Cumulative Prospect Theory (CPT), the leading behavioral account of decision making under uncertainty, avoids the dominance violations implicit in Prospect Theory (PT) by assuming that the probability weight applied to a given outcome depends on its ranking. We devise a simple and direct...

Persistent link: https://www.econbiz.de/10012849912

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

attractive attracted under risk conditions. …

Persistent link: https://www.econbiz.de/10014246136