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Cumulative Prospect Theory, Aggregation, and Pricing
Critical Finance Review, 2016Cumulative Prospect Theory (CPT) has been used as a possible explanation of aggregate pricing anomalies like the equity premium puzzle. This paper shows that, unlike in expected utility models, a complete market is not sufficient to guarantee that the market portfolio is efficient and that the standard representative-agent analysis is valid.
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Cumulative Prospect Theory and the Representative Investor
SSRN Electronic Journal, 2011Cumulative Prospect Theory has been proposed as an alternative to expected utility theory to explain irregular behavior by economic agents. In particular in Finance it has used to clarify anomalies like the equity premium puzzle. There are certainly hopes and hints that CPT can explain the anomalies, but less attention has been paid to more basic ...
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A further critique of cumulative prospect theory and related approaches
Applied Mathematics and Computation, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A Review and Prospect of Cumulative Prospect Theory Research
ACP Official Conference Proceedings, 2022openaire +1 more source
A three-way decision model based on cumulative prospect theory
Information Sciences, 2020Tianxing Wang, Huaxiong Li
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Modeling effects of travel time reliability on mode choice using cumulative prospect theory
Transportation Research Part C: Emerging Technologies, 2019Sepehr Ghader, Aref Darzi
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Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities
Management Science, 2006Guido Baltussen
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On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory
Insurance: Mathematics and Economics, 2018Jacek Chudziak
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