Results 121 to 130 of about 4,267 (155)

Decision Analysis with Cumulative Prospect Theory

Medical Decision Making, 2000
Background. Individuals sometimes express preferences that do not follow expected utility theory. Cumulative prospect theory adjusts for some phenomena by using decision weights rather than probabilities when analyzing a decision tree. Methods. The authors examined how probability transformations from cumulative prospect theory might alter a decision ...
A M, Bayoumi, D A, Redelmeier
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Reference dependence in cumulative prospect theory

Journal of Mathematical Psychology, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Cumulative Prospect Theory, Option Returns, and the Variance Premium

The Review of Financial Studies, 2018
Abstract We develop a tractable equilibrium asset pricing model with cumulative prospect theory (CPT) preferences. Using GMM on a sample of U.S. equity index option returns, we show that by introducing a single common probability weighting parameter for both tails of the return distribution, the CPT model can simultaneously generate the ...
Baele, Lieven, Driessen, Joost, Ebert, Sebastian, Londono, Juan M., Spalt, Oliver   +4 more
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A Further Examination of Cumulative Prospect Theory Parameterizations

Journal of Risk and Uncertainty, 2002
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Neilson, William, Stowe, Jill
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Cumulative Prospect Theory in the Laboratory: A Reconsideration

2023
Abstract We take Cumulative Prospect Theory (CPT) seriously by rigorously estimating structural models using the full set of CPT parameters. Much of the literature only estimates a subset of CPT parameters, or more simply assumes CPT parameter values from prior studies.
Harrison, Glenn, Swarthout, Todd
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Cumulative prospect theory preferences in rent-seeking contests

Mathematical Social Sciences, 2018
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Keskin, Kerim, Keskin, Kerim
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An Axiomatization of Cumulative Prospect Theory for Decision Under Risk

Journal of Risk and Uncertainty, 1999
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wakker, P.P., Chateauneuf, A.
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Cumulative prospect theory and imprecise risk

Mathematical Social Sciences, 2000
The compatibility of the Cumulative Prospect Theory (CPT), and the Expected Utility under Imprecise Risk theory (EUIR) is studied. The decision maker is supposed to agree with the expected utility theory under risk, making use of EUIR criterion under imprecise risk, and adopting CPT in an ambiguous, non-objectively probabilized situations.
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Temporal Stability of Cumulative Prospect Theory

SSRN Electronic Journal, 2019
Abstract We evaluate the hypothesis of temporal stability in risk preferences using two recent data sets from longitudinal lab experiments. Both experiments included a combination of decision tasks that allows one to identify a full set of structural parameters characterizing risk preferences under Cumulative Prospect Theory (CPT ...
Lau, Morten I, Yoo, Hong Il, Zhao, Hongming   +2 more
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Certainty Equivalent under Cumulative Prospect Theory

International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2019
We consider the relations between some properties of the certainty equivalent and the form of a utility function under Cumulative Prospect Theory.
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