is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of the convergence of the error … means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as … distribution-invariant coherent risk measures. …

In the framework of expected utility theory, risk attitudes are entirely captured by the curvature of the utility … function. In cumulative prospect theory (CPT) risk attitudes have an additional dimension: the weighting of probabilities. With … towards risk, what is the relation between them? We ran a controlled laboratory experiment to answer this question. Our …

Economics and management science share the tradition of ordering risk aversion by fitting the best expected utility (EU … sole index of risk attitude. (Cumulative) Prospect theory (CPT) has demonstrated various empirical deficiencies of EU and … introduced the weighting of probabilities as an additional component to capture risk attitude. However, if utility curvature and …

Despite extensive studies, the nature of risk attitudes remains a vigorously discussed question in economics and … psychology. In expected utility theory, attitudes towards risk originate from changes in marginal utility. Cumulative prospect …

Cumulative Prospect Theory (PT) introduced the weighting of probabilities as an additional component to capture risk … describing risky behavior in general, would still capture most of the variance of individual risk aversion. This study provides …

wealth allocation among consumption, risky, and risk-free financial assets. We employ a two-dimensional utility setting in …

decision making under risk. Both theories incorporate well-known deviations from Expected Utility Maximization such as the … Allais paradox or the fourfold pattern of risk attitudes. Stochastic Expected Utility Theory parsimoniously extends the …