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Modeling information demand in the framework of probabilistic reasoning. [PDF]

Commun Psychol
Jiwa MW, Gottlieb J.
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On the Shape of the Probability Weighting Function

Cognitive Psychology, 1999
Empirical studies have shown that decision makers do not usually treat probabilities linearly. Instead, people tend to overweight small probabilities and underweight large probabilities. One way to model such distortions in decision making under risk is through a probability weighting function.
R, Gonzalez, G, Wu
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Lottery Decisions and Probability Weighting Function

Journal of Risk and Uncertainty, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Alarie, Yves, Dionne, Georges
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Alternative Probability Weighting Functions in Behavioral Portfolio Selection

2022
We propose some portfolio selection models based on Cumulative Prospect Theory. In particular, we consider alternative probability weighting functions in order to model probability distortion. The resulting mathematical programming problem turns out to be highly non-linear and non-differentiable.
Diana Barro, Marco Corazza, Martina Nardon   +2 more
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The Probability Weighting Function

Econometrica, 1998
Summary: A probability weighting function \(w(p)\) is a prominent feature of several non-expected utility theories, including prospect theory and rank-dependent models. Empirical estimates indicate that \(w(p)\) is regressive (first \(w(p)>p\), then \(w(p)
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Probability Weighting Functions Implied in Options Prices

SSRN Electronic Journal, 2012
The empirical pricing kernels estimated from index options are non-monotone (Rosenberg and Engle, 2002; Bakshi, Madan, and Panayotov, 2010) and the corresponding risk aversion functions can be negative (Ait-Sahalia and Lo, 2000; and Jackwerth, 2000).
Valery Polkovnichenko, Feng Zhao
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How Categorization Shapes the Probability Weighting Function

SSRN Electronic Journal, 2021
The tendency to overweight low probability events and underweight high probability events stems from the categorical distinction between ``not happening,'' ``a chance,'' and ``happening.'' We demonstrate that there exist multiple intermediary categories within the probability space that produce additional inflection points. Across preregistered studies,
Dan Schley, Alina Ferecatu, Hang Yee Chan, Manissa Gunadi   +3 more
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