Construction of probability metrics on classes of investors

We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.

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Year of publication:	2009
Authors:	Stoyanov, Stoyan V. ; Rachev, Svetlozar T. ; Fabozzi, Frank J.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 103.2009, 1, p. 45-48
Publisher:	Elsevier
Subject:	Probability metrics Cumulative prospect theory

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005257922