Schmidt, Ulrich; Zank, Horst - In: Management Science 54 (2008) 1, pp. 208-216
This paper characterizes the conditions for strong risk aversion and second-order stochastic dominance for cumulative … prospect theory. Strong risk aversion implies a convex weighting function for gains and a concave one for losses. It does not … the exact relationship between loss aversion and strong risk aversion, a natural index for the degree of loss aversion is …