Prelec, Drazen - In: Econometrica 66 (1998) 3, pp. 497-528
A probability weighting function w(p) is a prominent feature of several nonexpected utility theories, including prospect theory and rank-dependent models. Empirical estimates indicate that w(p) is regressive with respect to the diagonal (w(p) p for small p, and w(p) p for large p), s-shaped...