Linear cumulative prospect theory with applications to portfolio selection and insurance demand
From MaRDI portal
Publication:2644367
DOI10.1007/S10203-007-0066-8zbMATH Open1218.91038OpenAlexW2145905438WikidataQ58318744 ScholiaQ58318744MaRDI QIDQ2644367FDOQ2644367
Authors: Ulrich Schmidt, Horst Zank 
Publication date: 31 August 2007
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-007-0066-8
Recommendations
- Pricing insurance contracts under cumulative prospect theory
- A Satisficing Chance Constrained Model in the Portfolio Selection of Insurance Lines and Investments
- Linear Optimization in C (Ω) and Portfolio Insurance
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Optimal portfolio choice for an insurer with loss aversion
- Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
- Static portfolio choice under cumulative prospect theory
- Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model
- Portfolios choices under cumulative prospect theory in the case of discrete distribution
Cites Work
- Title not available (Why is that?)
- The Dual Theory of Choice under Risk
- Risk, ambiguity and the Savage axioms
- Advances in prospect theory: cumulative representation of uncertainty
- Prospect Theory: An Analysis of Decision under Risk
- An axiomatization of cumulative prospect theory
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
- Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
- Prospect theory and asset prices
- Risk Aversion and Wealth Effects on Portfolios with Many Assets
- Risk aversion in the theory of expected utility with rank dependent probabilities
- Violations of the independence axiom in common ratio problems: An experimental test of some competing hypotheses
- A new axiomatization of rank-dependent expected utility with tradeoff consistency for equally likely outcomes
- A simple model of cumulative prospect theory
Cited In (9)
- Linear Optimization in C (Ω) and Portfolio Insurance
- A simple model of cumulative prospect theory
- Truncated linear zero utility pricing and actuarial protection models
- Characterizations of risk aversion in cumulative prospect theory
- Risk preferences and development revisited
- Pricing insurance contracts under cumulative prospect theory
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- On probabilities and loss aversion
- Static portfolio choice under cumulative prospect theory
This page was built for publication: Linear cumulative prospect theory with applications to portfolio selection and insurance demand
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2644367)
