Linear cumulative prospect theory with applications to portfolio selection and insurance demand

DOI10.1007/S10203-007-0066-8MaRDI QIDQ2644367zbMATH OpenOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

Individual preferences (91B08) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
• A new axiomatization of rank-dependent expected utility with tradeoff consistency for equally likely outcomes
• A simple model of cumulative prospect theory
• Advances in prospect theory: cumulative representation of uncertainty
• 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: An Analysis of Decision under Risk
• 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
• Risk, ambiguity and the Savage axioms
• The Dual Theory of Choice under Risk
• Violations of the independence axiom in common ratio problems: An experimental test of some competing hypotheses

Cited in

(9)

• On probabilities and loss aversion
• Static portfolio choice under cumulative prospect theory
• 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

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