On the potential for observational equivalence in experiments on risky choice when a power value function is assumed

DOI10.1016/J.ECONLET.2011.12.116MaRDI QIDQ1925671zbMATH OpenOpenAlexFDO

Authors David Peel, Jie Zhang

Publication date 18 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/55624/1/10.pdf

zbMATH Keywords

cumulative prospect theorylotteriesMarkowitz modelprobability distortionexpo-value utility functionpower value function

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory
• Cumulative prospect theory's functional menagerie
• A note on the utility function under prospect theory
• Advances in prospect theory: cumulative representation of uncertainty
• Behavioral assumptions for a class of utility theories: a program of experiments

Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• Averting risk in the face of large losses: Bernoulli vs. Tversky and Kahneman
• Cumulative prospect theory's functional menagerie
• Parameter-Free Elicitation of Utility and Probability Weighting Functions
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory: much ado about nothing?
• Reconciling introspective utility with revealed preference: experimental arguments based on prospect theory
• Violations of the betweenness axiom and nonlinearity in probability

Cited in

(1)

• The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory

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