Invariant Value Functions under Cumulative Prospect Theory

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Conditioning under Cumulative Prospect Theory

This paper derives conditions under which the standard decomposition of unconditional expected utility into marginal probabilities and conditional expected utilities generalizes to Cumulative Prospect Theory. The results are relevant for empirical analyses in which marginal probabilities are used as explanatory variables.

متن کامل

Trial and Settlement under Cumulative Prospect Theory

It is well-known that if the parties in a legal dispute agree about the likelihood of potential trial outcomes then they will be inclined to settle vs. going to trial in order to reduce litigation costs and risk. In this paper, we assume that both plaintiff and defendant evaluate this decision in accordance with Cumulative Prospect Theory. It is found that the two parties will sometimes be unab...

متن کامل

Asset allocation determinants under Cumulative Prospect Theory

In this paper we compute the asset allocation obtained with different parametrizations of Cumulative Prospect Theory; in this settings, Prospect Theory and Expected Utility are seen as special cases. We first look for the optimal portfolio in an artificial financial market, where the asset returns are generated such that each return is endowed with some desired statistical properties (i.e. the ...

متن کامل

Conditioning and Updating under Cumulative Prospect Theory

Under expected utility theory, unconditional expected utility can be decomposed into a weighted sum of conditional expected utilities where the weights are marginal probabilities. We derive necessary and sufficient conditions for a similar decomposition in the framework of Cumulative Prospect Theory (CPT). The conditions also ensure that a decision maker’s conditional preferences (given some ev...

متن کامل

Static Portfolio Choice under Cumulative Prospect Theory

We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory. The study is done in a oneperiod economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal wealth arising when the entire initial wealth is invested into the risk-free asset. When it exists, the optimal holding is a function of a generalized...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Acta Physica Polonica A

سال: 2016

ISSN: 0587-4246,1898-794X

DOI: 10.12693/aphyspola.129.955