Best, Michael; Grauer, Robert; Hlouskova, Jaroslava; … - In: Computational Economics 44 (2014) 1, pp. 45-65
Prospect theory postulates that the utility function is characterized by a kink (a point of non-differentiability) that distinguishes gains from losses. In this paper we present an algorithm that efficiently solves the linear version of the kinked-utility problem. First, we transform the...