Search Results - subject:"Weighting function"

Semiparametric estimation of probability weighting functions implicit in option prices

Boswijk, Herman Peter; Dalderop, Jeroen; Laeven, Roger J. A. - 2025 - This version: March 19, 2025

rank-dependent utility model. We nonparametrically estimate the probability weighting function using the kernel density of … the weighting function is inverse-S shaped, which is robust to various specifications of the utility function. …

Persistent link: https://www.econbiz.de/10015333127

Semiparametric estimation of probability weighting functions implicit in option prices

Boswijk, Herman Peter; Dalderop, Jeroen; Laeven, Roger J. A. - 2025

Persistent link: https://www.econbiz.de/10015361393

The slicing method : determining insensitivity regions of probability weighting functions

Egozcue, Martín; García, Luis Fuentes; Zitikis, Ričardas - In: Computational economics 61 (2023) 4, pp. 1369-1402

Persistent link: https://www.econbiz.de/10014327061

Composition rules in original and cumulative prospect theory

Gonzalez, Richard J.; Wu, George - In: Theory and decision : an international journal for … 92 (2022) 3/4, pp. 647-675

Persistent link: https://www.econbiz.de/10013192426

Intermediate cross-sectional prospect theory value in stock markets : a novel method

Eom, Cheoljun; Eom, Yunsung; Park, Jong Won - In: International review of financial analysis 93 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014543412

Forecasting stock volatility using time-distance weighting fundamental’s shocks

Mei, Xueting; Wang, Xinyu - In: Finance research letters 65 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014564298

Preferences over Time and under Uncertainty: Theoretical Foundations

al-Nowaihi, Ali; Dhami, Sanjit - 2021

We formulate a general theory of preferences over outcome-time-probability triplets and decompose uncertainty into risk and hazard. We define the delay, defer, shift and certainty functions that can be uniquely elicited from behaviour. These individually determine stationarity, the common...

Persistent link: https://www.econbiz.de/10012657921