Prospect theory for continuous distributions: a preference foundation

DOI10.1007/S11166-011-9118-0MaRDI QIDQ544845zbMATHOpenAlexFDO

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

zbMATH Keywords

Continuous distributionsPreference foundationsProspect theoryUnbounded utility

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Prospect theory for continuous distributions
• Unbounded probabilistic sophistication
• Unbounded expected utility and continuity
• Additive utility in prospect theory
• scientific article; zbMATH DE number 4079112

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• Advances in prospect theory: cumulative representation of uncertainty
• Alternative Approaches to the Theory of Choice in Risk-Taking Situations
• An axiomatization of cumulative prospect theory
• An axiomatization of cumulative prospect theory for decision under risk
• Expected utility with purely subjective non-additive probabilities
• Maxmin expected utility with non-unique prior
• Optimal demand for contingent claims when agents have law invariant utilities
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Preference Foundations for Nonexpected Utility: A Generalized and Simplified Technique
• Probabilistic insurance
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory for continuous distributions
• Prospect theory. For risk and ambiguity.
• Rank- and sign-dependent linear utility models for finite first-order gambles
• Static portfolio choice under cumulative prospect theory
• Subjective Probability and Expected Utility without Additivity
• Unbounded Utility for Savage's “Foundations of Statistics,” and Other Models

Cited in

(15)

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

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