An Axiomatization of Cumulative Prospect Theory for Decision Under Risk.

Cumulative prospect theory was introduced by Tversky and Kahneman to combine the empirical realism of their original prospect theory with the theoretical advantages of rank-dependent utility. Preference axiomatizations were provided in several papers. All exosting axiomatizations, however, only consider decision under uncertainty, and no axiomatization has as yet been provided for decision under risk. Providing the latter is the purpose of this note. The axiomatization is considerably simpler than those for uncertainty.