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Cumulative prospect theory challenges traditional expected utility theory
Applied Financial Economics, 2011The Cumulative Prospect Theory (CPT) uses piecewise value functions instead of consumer utility and provides alternative assumptions for investment behaviour approximated by power value function. In this study, our aim to find a generalized value function that will make the value function introduced by Kahneman–Tversky (1992) a special case.
Şaziye Gazioğlu, Nilifer Çalışkan
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A Further Examination of Cumulative Prospect Theory Parameterizations
Journal of Risk and Uncertainty, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Neilson, William, Stowe, Jill
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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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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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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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Cumulative Prospect Theory with Skewed Return Distribution
SSRN Electronic Journal, 2014We investigate a one-period portfolio optimization problem of a cumulative prospect theory (CPT) investor with multiple risky assets and one risk-free asset. The returns of multiple risky assets follow multivariate generalized hyperbolic (GH) skewed t distribution.
Minsuk Kwak, Traian A. Pirvu
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Cumulative Prospect Theory for piecewise continuous distributions
Finance Research Letters, 2017Abstract We extend the continuous Cumulative Prospect Theory by considering piecewise continuous distributions with a finite number of jump discontinuities. Such distributions are always relevant when outcomes depend on continuously distributed random variables and the dependency is defined by a piecewise continuous function.
Marc Gürtler, Julia Stolpe
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Estimating cumulative prospect theory parameters from an international survey
Theory and Decision, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rieger, Marc Oliver +2 more
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Optimal execution with price impact under Cumulative Prospect Theory
Physica A: Statistical Mechanics and its Applications, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhao, Jingdong +2 more
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Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution
SIAM Journal on Financial Mathematics, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kwak, Minsuk, Pirvu, Traian A.
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