Prospect theory for continuous distributions: a preference foundation

DOI10.1007/S11166-011-9118-0zbMATH Open1214.91032OpenAlexW2143336709MaRDI QIDQ544845FDOQ544845

Authors: Amit Kothiyal, Vitalie Spinu, Peter P. Wakker 

Publication date: 16 June 2011

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

Full work available at URL: https://doi.org/10.1007/s11166-011-9118-0

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• scientific article; zbMATH DE number 4079112

zbMATH Keywords

Continuous distributionsPreference foundationsProspect theoryUnbounded utility

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

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Cited In (15)

• European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions
• A theoretical foundation of ambiguity measurement
• A survey of decision making and optimization under uncertainty
• Behavioral premium principles
• Probability weighting, stop-loss and the disposition effect
• Preferences over all random variables: incompatibility of convexity and continuity
• Preference Foundations for Nonexpected Utility: A Generalized and Simplified Technique
• Prospect theory for continuous distributions
• Risk behavior for gain, loss, and mixed prospects
• A quantitative theory of preferences: Some results on transition functions
• Optimal inequality behind the veil of ignorance
• Additive utility in prospect theory
• A revealed reference point for prospect theory
• Randomized strategies and prospect theory in a dynamic context
• Expected utility with uncertain probabilities theory

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