Search Results - subject:"(Cumulative) prospect theory"

Cumulative prospect theory's functional menagerie

Stott, Henry - In: Journal of Risk and Uncertainty 32 (2006) 2, pp. 101-130

Cumulative Prospect Theory (Tversky and Kahneman, 1992). There are also many stochastic choice functions available. Since these …

Persistent link: https://www.econbiz.de/10005709770

Error Propagation in the Elicitation of Utility and Probability Weighting Functions

Blavatskyy, Pavlo - In: Theory and Decision 60 (2006) 2, pp. 315-334

Elicitation methods in decision-making under risk allow us to infer the utilities of outcomes as well as the probability weights from the observed preferences of an individual. An optimally efficient elicitation method is proposed, which takes the inevitable distortion of preferences by random...

Persistent link: https://www.econbiz.de/10005709912

Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities

Baltussen, Guido; Post, Thierry; Vliet, Pim van - In: Management Science 52 (2006) 8, pp. 1288-1290

prospect theory (CPT) and of Markowitz stochastic dominance. Our results shed new light on the exchange between Levy and Levy …In a classroom choice experiment with mixed gambles and moderate probabilities, we find severe violations of cumulative …

Persistent link: https://www.econbiz.de/10009204093

Uncertainty Aversion with Second-Order Utilities and Probabilities

Nau, Robert F. - In: Management Science 52 (2006) 1, pp. 136-145

Subjective expected utility theory does not distinguish between attitudes toward uncertainty (ambiguous probabilities) and attitudes toward risk (unambiguous probabilities). Both are explained in terms of nonlinear utility for money rather than properties of events per se, hence, the decision...

Persistent link: https://www.econbiz.de/10009204259

Stochastic Dominance and Cumulative Prospect Theory

Baucells, Manel; Heukamp, Franz H. - In: Management Science 52 (2006) 9, pp. 1409-1423

cumulative prospect theory. In the experimental part of the paper, we offer a test of several joint hypotheses on the value …We generalize and extend the second-order stochastic dominance condition for expected utility to cumulative prospect … theory. The new definitions include preferences represented by S-shaped value functions, inverse S-shaped probability …

Persistent link: https://www.econbiz.de/10009209253

A Comparison of Five Models that Predict Violations of First-Order Stochastic Dominance in Risky Decision Making

Birnbaum, Michael - In: Journal of Risk and Uncertainty 31 (2005) 3, pp. 263-287

Five descriptive models of risky decision making are tested in this article, including four quantitative models and one heuristic account. Seven studies with 1802 participants were conducted to compare accuracy of predictions to new tests of first order stochastic dominance. Although the...

Persistent link: https://www.econbiz.de/10005542725

Choices Under Ambiguity With Familiar And Unfamiliar Outcomes

Basili, Marcello; Chateauneuf, Alain; Fontini, Fulvio - In: Theory and Decision 58 (2005) 2, pp. 195-207

This paper considers a decision-making process under ambiguity in which the decision-maker is supposed to split outcomes between familiar and unfamiliar ones. She is assumed to behave differently with respect to unfamiliar gains, unfamiliar losses and customary (familiar) outcomes. In...

Persistent link: https://www.econbiz.de/10005709936

Back to the St. Petersburg Paradox?

Blavatskyy, Pavlo R. - In: Management Science 51 (2005) 4, pp. 677-678

The conventional parameterizations of cumulative prospect theory do not explain the St. Petersburg paradox. To do so …

Persistent link: https://www.econbiz.de/10009191820

Three New Tests of Independence That Differentiate Models of Risky Decision Making

Birnbaum, Michael H. - In: Management Science 51 (2005) 9, pp. 1346-1358

) model, two should be satisfied and one can be violated. However, according to cumulative prospect theory (CPT), all three …

Persistent link: https://www.econbiz.de/10009209421

Choice-Based Elicitation and Decomposition of Decision Weights for Gains and Losses Under Uncertainty

Abdellaoui, Mohammed; Vossmann, Frank; Weber, Martin - In: Management Science 51 (2005) 9, pp. 1384-1399

under uncertainty. Assuming cumulative prospect theory, utility functions were elicited for gains and losses at an …

Persistent link: https://www.econbiz.de/10009214393