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Cumulative prospect theory and imprecise risk
Mathematical Social Sciences, 2000The 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, 2019Abstract 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 +2 more
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Certainty Equivalent under Cumulative Prospect Theory
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2019We 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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An Efficient Prospect Selection Approach in Cumulative Prospect Theory
2008 4th International Conference on Wireless Communications, Networking and Mobile Computing, 2008To solve the problems that the optimal prospect is usually selected questionably in conventional methods resulting from uncertainties existing in subjective preference judgments, an approach to select efficient prospects is presented by means of a small quantity of relatively accurate information.
Chun-Hao Li, Yuan-Wei Du, Yong-He Sun
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Equilibrium Notions for Agents with Cumulative Prospect Theory Preferences
Decision Analysis, 2016Relying on the experimental findings that actual choice behavior often violates the axioms of expected utility theory (EUT), we study non-EUT preferences in a noncooperative game-theoretic framework. In particular, agents’ preferences are represented by the pair of functions suggested in cumulative prospect theory (CPT). Accordingly, three key aspects
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Pricing insurance contracts under Cumulative Prospect Theory
Insurance: Mathematics and Economics, 2012In the paper, a new premium principle is introduced. This premium principle is based on Cumulative Prospect Theory by \textit{D. Kahneman} and \textit{A. Tversky}, [Econometrica 47, 313--327 (1979; Zbl 0411.90012)]. The various properties of this new premium principle are examined in the text.
Kaluszka, Marek, Krzeszowiec, Michał
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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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Complementary symmetry in Cumulative Prospect Theory with random reference
Journal of Mathematical Psychology, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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