Search Results - subject:"probability weighting function"

Zank, Horst; Schmidt, Ulrich; Diecidue, Enrico - Institut für Volkswirtschaftslehre, … - 2007

This paper provides behavioral foundations for parametric weighting functions under rankdependent utility. This is achieved by decomposing the independence axiom of expected utility into separate meaningful properties. These conditions allow us to characterize rank-dependent utility with power...

Persistent link: https://www.econbiz.de/10005082875

A shocking experiment: New evidence on probability weighting and common ratio violations

Berns, Gregory S.; Capra, C. Monica; Moore, Sara; … - In: Judgment and Decision Making 2 (2007) August, pp. 234-242

weighting function proposed by Tversky and Kahneman (1992) are similar to those obtained in previous studies of lottery choice … lotteries consisting of real non-monetary adverse outcomes, electric shocks. Our estimation of the parameters of the probability …

Persistent link: https://www.econbiz.de/10005773118

Stochastic Dominance and Cumulative Prospect Theory

Baucells Alibés, Baucells Alibés Manel; Heukamp, … - Fundación BBVA - 2007

function and the probability weighting function. Assuming empirically relevant weighting functions, we can reject the inverse S …

Persistent link: https://www.econbiz.de/10008683579

What Determines the Shape of the Probability Weighting Function?

Fehr-Duda, Helga; Schürer, Marc; Schubert, Renate - 2006

When valuing risky prospects, people typically overweight small probabilities and underweight medium and large probabilities, but there is vast heterogeneity in individual behavior. We explore the relationship between person-specific probability weights, estimated from investment decisions in a...

Persistent link: https://www.econbiz.de/10011753119

What determines the shape of the probability weighting function?

Fehr-Duda, Helga; Schürer, Marc; Schubert, Renate - 2006

Persistent link: https://www.econbiz.de/10003352587

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 … incorporate (i) and (ii). Third, we show that if RDU or CP are combined with our new probability weighting function, then a … making under risk; Prelec’s probability weighting function; Higher order Prelec probability weighting functions; Behavioral …

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