Search Results - subject:"Weighting function"

A simple derivation of Prelec’s probability weighting function

Dhami, Sanjit; al-Nowaihi, Ali - Department of Economics, Leicester University - 2005

DEPARTMENT OF ECONOMICS A SIMPLE DERIVATION OF PRELEC’S PROBABILITY WEIGHTING FUNCTION …/20 July 2005 A simple derivation of Prelec’s probability weighting function Ali al-Nowaihi ∗ Sanjit Dhami † June 2005 …’s probability weighting function, Compound invariance, Reduction invariance, Power invariance, Prospect theory, Al- gebraic …

Persistent link: https://www.econbiz.de/10005422702

Insurance and Probability Weighting Functions

Dhami, Sanjit; al-Nowaihi, Ali - Department of Economics, Leicester University - 2005

with our new probability weighting function, then a decision maker will not buy insurance against a loss of sufficiently … low probability; in agreement with the evidence. We also show that our weighting function solves the St. Petersburg … incorporate (i) and (ii). Third, we show that if RDU or CP are combined with our new probability weighting function, then a …

Persistent link: https://www.econbiz.de/10005422703

Behavioral biases and the representative agent

Jouini, Elyès; Napp, Clotilde - In: Theory and Decision 73 (2012) 1, pp. 97-123

Persistent link: https://www.econbiz.de/10010865809

Dynamic portfolio choice and asset pricing with narrow framing and probability weighting

Giorgi, Enrico G. De; Legg, Shane - In: Journal of Economic Dynamics and Control 36 (2012) 7, pp. 951-972

This paper shows that the framework proposed by Barberis and Huang (2009) to incorporate narrow framing and loss aversion into dynamic models of portfolio choice and asset pricing can be extended to also account for probability weighting and for a value function that is convex on losses and...

Persistent link: https://www.econbiz.de/10010577447

Dynamic portfolio choice and asset pricing with narrow framing and probability weighting

De Giorgi, Enrico; Legg, Shane - In: Journal of economic dynamics & control 36 (2012) 7, pp. 951-972

Persistent link: https://www.econbiz.de/10009573428

Accounting for optimism and pessimism in expected utility

Webb, Craig S.; Zank, Horst - In: Journal of Mathematical Economics 47 (2011) 6, pp. 706-717

We provide a preference foundation for decision under risk resulting in a model where probability weighting is linear as long as the corresponding probabilities are not extreme (i.e., 0 or 1). This way, most of the elegance and mathematical tractability of expected utility is maintained and also...

Persistent link: https://www.econbiz.de/10011065401

Risk and rationality: The effects of mood and decision rules on probability weighting

Fehr-Duda, Helga; Epper, Thomas; Bruhin, Adrian; … - In: Journal of Economic Behavior & Organization 78 (2011) 1, pp. 14-24

Empirical research has shown that people tend to overweight small probabilities and underweight large probabilities when valuing risky prospects, but little is known about factors influencing the shape of the probability weighting curve. Based on a laboratory experiment with monetary incentives,...

Persistent link: https://www.econbiz.de/10010576964

Competence effects for choices involving gains and losses

Resende, José Lara; Wu, George - In: Journal of Risk and Uncertainty 40 (2010) 2, pp. 109-132

Persistent link: https://www.econbiz.de/10008552550

The influence of fear in decisions: Experimental evidence

Chanel, Olivier; Chichilnisky, Graciela - In: Journal of Risk and Uncertainty 39 (2009) 3, pp. 271-298

Persistent link: https://www.econbiz.de/10008527130

Portfolio Selection with Narrow Framing: Probability Weighting Matters

Giorgi, Enrico G. De; Legg, Shane - School of Economics and Political Science, Universität … - 2009

This paper extends the model with narrow framing suggested by Barberis and Huang (2009) to also account for probability weighting and a convex-concave value function in the specification of cumulative prospect theory preferences on narrowly framed assets. We show that probability weighting is...

Persistent link: https://www.econbiz.de/10005256493