The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory …

circumstances, this theory is not descriptively valid. The most promising alternative, cumulative prospect theory, is then presented … prospect theory either, so that a model which would explain all evidence on decisions under risk is still to be found. … above evidence. It is pointed out that there are other empirical observations which cannot be explained by cumulative …

Cumulative Prospect Theory and suggest that alternate explanations for the Allais Paradox must be sought. … Prospect Theory, the current leading theory of risky choice. However, the results of Experiment 2 are problematic for … do not increase the salience of the common consequence. The results of Experiment 1 are consistent with Cumulative …

This paper pits expected utility theory and cumulative prospect theory against each other as regards their descriptive … utility theory is not descriptively valid. The most promising alternative, cumulative prospect theory, is then presented in … evidence. It is pointed out that there are other empirical observations which cannot be explained by cumulative prospect theory …

Cumulative Prospect Theory (CPT) has been used in a wide variety of economic models as an alternative to Expected …

Prospect Theory. The new definitions include, among others, preferences represented by S-shaped value and inverse S … Prospect Theory. In the experimental part of the working paper we offer a test of several joint hypotheses on the value …We generalize and extend the second order stochastic dominance condition available for Expected Utility to Cumulative …

Two recently published studies argue that conventional parameterizations of cumulative prospect theory (CPT) fail to …

The purpose of this paper is to demonstrate that Cumulative Prospect Theory is a serious alternative for Expected …

The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … forth-order moments, making the investigation straightforward. Cumulative prospect theory utility is found to be positively … findings, among others, suggest that optimal cumulative prospect theory portfolios are not meanvariance efficient under the …