In the present paper, we estimate a monthly index of aggregate skewness preference. This index is derived from the representative agent's nonparametric probability weighting function. Consistent with findings from lab experiments, probability weighting functions depend on sentiment and their...

A number of experiments indicate probabilistic preferences in cases where no one alternative is absolutely optimal. The task of predicting the choice of one of the alternatives among multiple alternatives is then practically important and not trivial. It can occur in situations of choice under...

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...