An index of loss aversion

DOI10.1016/j.jet.2004.03.009zbMath1118.91057OpenAlexW2107566558MaRDI QIDQ1779809

Peter P. Wakker, Veronika Köbberling

Publication date: 1 June 2005

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2004.03.009

zbMATH Keywords

Prospect theoryRisk aversionRank-dependence

Mathematics Subject Classification ID

Related Items (63)

Expected utility theory and inner and outer measures of loss aversion ⋮ Introduction to the special issue in honor of Peter Wakker ⋮ Individual-level loss aversion in riskless and risky choices ⋮ Risk aversion for losses and the Nash bargaining solution ⋮ Risk preferences and development revisited ⋮ Risk aversion and expected utility of consumption over time ⋮ Technical Note—Ranking Distributions When Only Means and Variances Are Known ⋮ A parametric analysis of prospect theory's functionals for the general population ⋮ Probability weighting and L-moments ⋮ S-shaped narrow framing, skewness and the demand for insurance ⋮ Pareto utility ⋮ Financial market equilibria with heterogeneous agents: CAPM and market segmentation ⋮ Can loss aversion explain sourcing diversification under supply risk? ⋮ Loss Aversion and Consumption Plans with Stochastic Reference Points ⋮ Static portfolio choice under cumulative prospect theory ⋮ Loss aversion ⋮ Prospect theory in multiple price list experiments: further insights on behaviour in the loss domain ⋮ Optimal investment with transaction costs under cumulative prospect theory in discrete time ⋮ A central limit theorem, loss aversion and multi-armed bandits ⋮ Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Reference Dependence and Market Participation ⋮ Multi-stock portfolio optimization under prospect theory ⋮ Unnamed Item ⋮ All at once! A comprehensive and tractable semi-parametric method to elicit prospect theory components ⋮ A preference foundation for constant loss aversion ⋮ Optimal investment and consumption when allowing terminal debt ⋮ Comparing uncertainty aversion towards different sources ⋮ The Kalai-Smorodinsky bargaining solution with loss aversion ⋮ Do financial professionals behave according to prospect theory? An experimental study ⋮ Detecting heterogeneous risk attitudes with mixed gambles ⋮ When normative and descriptive diverge: how to bridge the difference ⋮ Solving the St. Petersburg paradox in cumulative prospect theory: the right amount of probability weighting ⋮ Prospect theory and tax evasion: a reconsideration of the Yitzhaki puzzle ⋮ OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION ⋮ All over the map: A worldwide comparison of risk preferences ⋮ Prospect and Markowitz stochastic dominance ⋮ PROFIT SHARING IN HEDGE FUNDS ⋮ Optimal consumption sequences under habit formation and satiation ⋮ A tractable method to measure utility and loss aversion under prospect theory ⋮ Randomized strategies and prospect theory in a dynamic context ⋮ A simple non-parametric method for eliciting prospect theory's value function and measuring loss aversion under risk and ambiguity ⋮ Framing effects in public goods: prospect theory and experimental evidence ⋮ On probabilities and loss aversion ⋮ Expected utility theory and prospect theory: One wedding and a decent funeral ⋮ Loss aversion and perceptual risk aversion ⋮ The behavioural components of risk aversion ⋮ Rethinking risk attitude: Aspiration as pure risk ⋮ Behavioral heterogeneity in dynamic search situations: theory and experimental evidence ⋮ Reference-dependent expected utility with incomplete preferences ⋮ Fragility of the commons under prospect-theoretic risk attitudes ⋮ Some covariance inequalities for non-monotonic functions with applications to mean-variance indifference curves and bank hedging ⋮ Certainty-based marking on multiple-choice items: psychometrics meets decision theory ⋮ The ratio bias phenomenon: fact or artifact? ⋮ Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers ⋮ A revealed reference point for prospect theory ⋮ Portfolio performance evaluation with loss aversion ⋮ The participation puzzle with reference-dependent expected utility preferences ⋮ The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory ⋮ Joint pricing and inventory control for additive demand models with reference effects ⋮ Downside loss aversion: winner or loser? ⋮ Loss aversion and scale compatibility in two-attribute trade-offs ⋮ What is loss aversion? ⋮ Loss averse behavior

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