Search Results - subject:"Probability weighting"

Stochastic Dominance and Cumulative Prospect Theory

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

function and the probability weighting function. Assuming empirically relevant weighting functions, we can reject the inverse S … theory. The new definitions include preferences represented by S-shaped value functions, inverse S-shaped probability … weighting functions, and loss aversion. The stochastic dominance conditions supply a framework to test different features of …

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

Testing Prospect Theories Using Probability Tradeoff Consistency

Wu, George; Zhang, Jiao; Abdellaoui, Mohammed - In: Journal of Risk and Uncertainty 30 (2005) 2, pp. 107-131

theory (CPT; Tversky and Kahneman, 1992), use different composition rules to combine the value function and the probability … weighting function and hence value gambles with two or more non-zero outcomes differently. Previous tests of OPT and CPT have …

Persistent link: https://www.econbiz.de/10005678191

Back to the St. Petersburg Paradox?

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

's probability weighting function. …

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

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

This paper reports the results of an experimental parameter-free elicitation and decomposition of decision weights under uncertainty. Assuming cumulative prospect theory, utility functions were elicited for gains and losses at an individual level using the tradeoff method. Subsequently, decision...

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

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

Abdellaoui, Mohammed; Vossman, Frank; Weber, Martin - C.E.P.R. Discussion Papers - 2003

This Paper reports the results of an experimental parameter-free elicitation and decomposition of decision weights under uncertainty. Assuming cumulative prospect theory, utility functions were elicited for gains and losses at an individual level using the trade-off method. Then decision weights...

Persistent link: https://www.econbiz.de/10005792132

The Pearson system of utility functions

LiCalzi, Marco; Sorato, Annamaria - EconWPA - 2003

This paper describes a parametric family of utility functions for decision analysis. The parameterization is obtained by embedding the HARA class in a four-parameter representation for the risk aversion function. The resulting utility functions have only four shapes: concave, convex, S-shaped,...

Persistent link: https://www.econbiz.de/10005118574

The Data of Levy and Levy (2002) ÜProspect Theory: Much Ado About Nothing?Ý Actually Support Prospect Theory

Wakker, Peter P. - In: Management Science 49 (2003) 7, pp. 979-981

simply applying prospect theory formulas. The mistake of Levy and Levy is that they, incorrectly, thought that probability … weighting could be ignored. …

Persistent link: https://www.econbiz.de/10009191720

Risk Attitudes of Children and Adults: Choices Over Small and Large Probability Gains and Losses

Harbaugh, William T.; Krause, Kate; Vesterlund, Lise - The Field Experiments Website - 2002

In this paper we examine how risk attitudes change with age. We present participants from age 5 to 65 with choices between simple gambles and the expected value of the gambles. The gambles are over both gains and losses, and vary in the probability of the non-zero payoff. Surprisingly, we find...

Persistent link: https://www.econbiz.de/10005490027

Risk Attitudes of Children and Adults: Choices Over Small and Large Probability Gains and Losses

Harbaugh, William; Krause, Kate; Vesterlund, Lise - In: Experimental Economics 5 (2002) 1, pp. 53-84

In this paper we examine how risk attitudes change with age. We present participants from age 5 to 64 with choices between simple gambles and the expected value of the gambles. The gambles are over both gains and losses, and vary in the probability of the non-zero payoff. Surprisingly, we find...

Persistent link: https://www.econbiz.de/10005711730

A Parameter-Free Elicitation of the Probability Weighting Function in Medical Decision Analysis

Bleichrodt, Han; Pinto, Jose Luis - In: Management Science 46 (2000) 11, pp. 1485-1496

An important reason why people violate expected utility theory is probability weighting. Previous studies on the … probability weighting function typically assume a specific parametric form, exclude heterogeneity in individual preferences, and … exclusively consider monetary decision making. This study presents a method to elicit the probability weighting function in rank …

Persistent link: https://www.econbiz.de/10009203796