Search Results - subject:"Weighting function"

European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions

Nardon, Martina; Pianca, Paolo - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 249-274

Persistent link: https://www.econbiz.de/10011993474

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

Grevenbrock, Nils; Groneck, Max; Ludwig, Alexander; … - 2019

This paper investigates the roles psychological biases play in 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. Our estimates...

Persistent link: https://www.econbiz.de/10012062116

Behavioral premium principles

Nardon, Martina; Pianca, Paolo - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 229-257

Persistent link: https://www.econbiz.de/10012065213

Problems of utility and prospect theories. A discontinuity of Prelec’s function

Harin, Alexander - Volkswirtschaftliche Fakultät, … - 2014

A possibility of the existence of a discontinuity of Prelec’s (probability weighting) function W(p) at the probability … p = 1 is discussed. This possibility is supported by the Aczél–Luce question whether Prelec’s weighting function W(p) is …

Persistent link: https://www.econbiz.de/10011109059

Problems of utility and prospect theories. Certainty effect near certainty

Harin, Alexander - Volkswirtschaftliche Fakultät, … - 2014

. The need supported by the Aczél–Luce question whether Prelec’s weighting function W(p) is equal to 1 at p = 1, by the … results of the experiments of the certainty effect near the certainty show that Prelec’s (probability) weighting function can …

Persistent link: https://www.econbiz.de/10011109350

Is data interpretation in utility and prospect theories unquestionably correct?

Harin, Alexander - Volkswirtschaftliche Fakultät, … - 2014

)=1 (whether the Prelec weighting function equals 1 at p=1). A purely mathematical theorem proves W(1)<1. Because of this evident …

Persistent link: https://www.econbiz.de/10011112592

Problems of utility and prospect theories. A ”certain-uncertain” inconsistency of the random-lottery incentive system

Harin, Alexander - Volkswirtschaftliche Fakultät, … - 2014

Three main groups of results have been obtained: 1) The question is emphasized whether the probability weighting … function W(p) is continuous. If W(p) reveals a discontinuity at p=1, then this is a topological feature. This can qualitatively …

Persistent link: https://www.econbiz.de/10011112848

A dual theory approach to estimating risk preferences in the parimutuel betting market

Suhonen, Niko; Saastamoinen, Jani; Lindén, Mikael - In: Empirical economics : a journal of the Institute for … 54 (2018) 3, pp. 1335-1351

Persistent link: https://www.econbiz.de/10011949530

Probability interference in expected utility theory

Charles-Cadogan, G. - In: Journal of mathematical economics 78 (2018), pp. 163-175

Persistent link: https://www.econbiz.de/10012105561

Tests des modèles de décision en situation de risque : le cas des parieurs hippiques en France

Charpin, Ariane - In: Revue économique : revue bimestrielle 69 (2018) 5, pp. 779-803

Persistent link: https://www.econbiz.de/10011960118