Prospect theory for continuous distributions

DOI10.1007/s11166-007-9029-2zbMath1133.91503OpenAlexW2099430988MaRDI QIDQ2481255

Mei Wang, Marc Oliver Rieger

Publication date: 9 April 2008

Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/4268/3/PT-continuous.pdf

zbMATH Keywords

Prospect theoryCumulative prospect theoryContinuityFirst-order stochastic dominanceProbability weighting

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (9)

Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms ⋮ Non-cooperative games with prospect theory players and dominated strategies ⋮ Comment on Cenci et al. (2015): ``Half-full or half-empty? A model of decision making under risk ⋮ Optimal inequality behind the veil of ignorance ⋮ The correct formula of 1979 prospect theory for multiple outcomes ⋮ Evolutionary stability of prospect theory preferences ⋮ European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions ⋮ Prospect theory for continuous distributions: a preference foundation ⋮ Behavioral premium principles

Cites Work

• Testing prospect theories using probability tradeoff consistency
• A comparison of five models that predict violations of first-order stochastic dominance in risky decision making
• Advances in prospect theory: cumulative representation of uncertainty
• Coalescing, event commutativity, and theories of utility
• Common consequence conditions in decision making under risk
• Violations of the betweenness axiom and nonlinearity in probability
• Existence and uniqueness of monotone measure-preserving maps
• Cumulative prospect theory and the St. Petersburg paradox
• The Framing of Decisions and the Psychology of Choice
• Prospect Theory: An Analysis of Decision under Risk
• Curvature of the Probability Weighting Function
• Unbounded Utility for Savage's “Foundations of Statistics,” and Other Models

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