Search Results - subject:"Weighting function"

Cognition, optimism and the formation of age-dependent survival beliefs

Grevenbrock, Nils; Groneck, Max; Ludwig, Alexander; … - 2018

This paper investigates the roles psychological biases play in empirically estimated deviations between subjective survival beliefs (SSBs) and objective survival probabilities (OSPs). We model deviations between SSBs and OSPs through age-dependent inverse S-shaped probability weighting functions...

Persistent link: https://www.econbiz.de/10011796058

Capitalizing on prospect theory value : the Asian developed stock markets

Ohk, Seungbin; Ju, Biung-Ghi - In: Japan and the world economy : international journal of … 57 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012888141

Prospect theory and narrow framing bias : evidence from emerging markets

Nascimento Junior, Arnaldo João do; Klotzle, Marcelo Cabus - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 90-101

Persistent link: https://www.econbiz.de/10012655196

Identification and estimation issues in exponential smooth transition autoregressive models

Buncic, Daniel - 2017

conditional mean of the model. Secondly, the exponential regime weighting function can behave like an indicator function (or dummy …, particularly for the modelling of real exchange rates. We show that the exponential function is ill-suited as a regime weighting … function because of two undesirable properties. Firstly, it can be well approximated by a quadratic function in the threshold …

Persistent link: https://www.econbiz.de/10011943314

Identification and estimation issues in exponential smooth transition autoregressive models

Buncic, Daniel - 2017

Persistent link: https://www.econbiz.de/10011747829

Cognition, optimism and the formation of age-dependent survival beliefs

Grevenbrock, Nils; Groneck, Max; Ludwig, Alexander; … - 2020

Persistent link: https://www.econbiz.de/10012219145

Probability weighting and default risk : a possible explanation for distressed stock puzzles

Yamazaki, Akira - In: Quantitative finance 20 (2020) 5, pp. 745-767

Persistent link: https://www.econbiz.de/10012262617

“Luce problem” and discontinuity of Prelec’s function at p = 1

Harin, Alexander - Volkswirtschaftliche Fakultät, … - 2015

This short paper is devoted to two items: 1) An analysis of Prelec’s weighting function at the probability p = 1 is … referred to as the “Luce problem”). 2) The question of possible discontinuity of Prelec’s weighting function at p = 1 is …

Persistent link: https://www.econbiz.de/10011259321

Iterated Expectations under Rank-Dependent Expected Utility and Model Consistency

Stomper, Alex; Vierø, Marie-Louise - Economics Department, Queen's University - 2015

Under expected utility theory, compound lotteries can be valued by "iterating" expectations: the expected utility of a compound lottery is the expected value of a simple lottery over prizes that are certainty equivalents to follow-up lotteries. We derive necessary and sufficient conditions for a...

Persistent link: https://www.econbiz.de/10008529045

Probability weighting functions

Nardon, Martina; Pianca, Paolo - 2015

Persistent link: https://www.econbiz.de/10011629608