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Composite Prospect Theory: A proposal to combine ‘prospect theory’ and ‘cumulative prospect theory’ [PDF]

, 2010
Evidence shows that (i) people overweight low probabilities and underweight high probabilities, but (ii) ignore events of extremely low probability and treat extremely high probability events as certain. The main alternative decision theories, rank dependent utility (RDU) and cumulative prospect theory (CP) incorporate (i) but not (ii).
Ali al-Nowaihi, Sanjit Dhami
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A simple model of cumulative prospect theory [PDF]

Journal of Mathematical Economics, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
U Schmidt, H Zank
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Cumulative prospect theory and gambling [PDF]

, 2005
Whilst Cumulative Prospect theory (CPT) provides an explanation of gambling on longshots at actuarially unfair odds, it cannot explain why people might bet on more favoured outcomes. This paper shows that this is explicable if the degree of loss aversion experienced by the agent is reduced for small-stake gambles (as a proportion of wealth), and ...
M Cain, D Law, D Peel
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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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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, 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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Cumulative prospect theory preferences in rent-seeking contests

Mathematical Social Sciences, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Keskin, Kerim, Keskin, Kerim
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An Axiomatization of Cumulative Prospect Theory for Decision Under Risk

Journal of Risk and Uncertainty, 1999
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Wakker, P.P., Chateauneuf, A.
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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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