LEVY, HAIM; ORKAN, MICHAL - In: Annals of Financial Economics (AFE) 07 (2012) 02, pp. 1250006-1
When one prospect is certain and the other uncertain, Cumulative Prospect Theory employs the certainty equivalent methodology to estimate Decision Weights (DW). However, DW may be different with two uncertain prospects. In this study, we neutralize the "certainty effect" and propose Stochastic...