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Alternative Probability Weighting Functions in Behavioral Portfolio Selection
2022We 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 +2 more
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Unusual Estimates of Probability Weighting Functions
2023I present new estimates of the probability weighting functions found in rankdependent theories of choice under risk. These estimates are unusual in two senses. First, they are free of functional form assumptions about both utility and weighting functions, and they are entirely based on binary discrete choices and not on matching or valuation tasks ...
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Weighted Simulation for Failure Probability Function Estimation
Vulnerability, Uncertainty, and Risk, 2014In the structural reliability-based design, the ‘failure probability function (FPF)’ is referred to the failure probability as a function of the distribution parameters of random variables. This problem generally requires repeated reliability analyses to estimate the failure probability for different distribution parameter values, which is a ...
Xiukai Yuan, Lin Zeng
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WEIGHTED DISTRIBUTIONS AND ESTIMATION OF RESOURCE SELECTION PROBABILITY FUNCTIONS
Ecology, 2006Understanding how organisms selectively use resources is essential for designing wildlife management strategies. The probability that an individual uses a given resource, as characterized by environmental factors, can be quantified in terms of the resource selection probability function (RSPF).
Subhash R, Lele, Jonah L, Keim
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Prospect Theory: A Novel Probability Weighting Function Model
ICLEM 2014, 2014The investigation of probability weighting is one of the key components of the modern risky decision making theories. In this study, we propose an approach to build a novel probability weighting model with the use of the Lagrange interpolation method based on Prelec’s probability weighting function model.
Yanlai Li, Sheng Wu
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Protecting Assets with Heterogeneous Valuations under Behavioral Probability Weighting
IEEE Conference on Decision and Control, 2019We consider a security setting involving a defender who is required to invest (subject to a budget constraint) in protecting a given set of nodes against attacks.
Mustafa Abdallah +4 more
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Mood impacts on probability weighting functions: “Large-gamble” evidence
The Journal of Socio-Economics, 2008Abstract This paper integrates considerations of mood into non-expected utility theories and extends the existing literature on how mood influences peoples’ decisions and choices. An important element in many non-expected utility theories is the probability weighting function (PWF), that nonlinearly weights physical probabilities.
Doron Kliger, Ori Levy
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Probability Mass Functions for de Bruijn Weight Classes
2006 IEEE Aerospace Conference, 2006Order n de Bruijn sequences are the period 2/sup n/ binary sequences from n-stage feedback shift registers. The de Bruijn sequences have good randomness and complexity properties. The number of de Bruijn sequences in a weight class of the order n generating functions is unknown for all but the smallest n.
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Estimating Probability Weighting Functions through Option Pricing Bounds
The Review of Asset Pricing StudiesAbstract This paper proposes a novel approach to estimating the probability weighting function (PWF) of investors in the option market. We match observed option prices to the option pricing bounds under stochastic dominance rules. Using 1-month S&P 500 index option data, we find that investors could subjectively employ an inverse S ...
Tzu-Ying Chen, Yo-Lan Lin, Larry Y Tzeng
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Local estimation of failure probability function by weighted approach
Probabilistic Engineering Mechanics, 2013Research Grants Council of the Hong Kong Special Administrative Region [9041550, CityU 110210]; National Natural Science Foundation of China [51105309]
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