Gain-loss hedging and cumulative prospect theory

DOI10.1016/J.MATHSOCSCI.2024.07.003MaRDI QIDQ6637006zbMATH OpenFDO

Authors Lorenzo Bastianello, Alain Chateauneuf, Bernard Cornet

Publication date 12 November 2024

Published in Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.MATHSOCSCI.2024.07.003

zbMATH Keywords

Choquet integralcomonotonicitycumulative prospect theorygain-loss hedgingŠipoš integral

Mathematics Subject Classification ID

Utility theory (91B16)

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Cites work

• A Definition of Subjective Probability
• A simple model of cumulative prospect theory
• Advances in prospect theory: cumulative representation of uncertainty
• An axiomatization of cumulative prospect theory
• An axiomatization of cumulative prospect theory for decision under risk
• Characterizing optimism amd pessimism directly through comonotonicity
• Cumulative prospect theory for parametric and multiattribute utilities.
• scientific article; zbMATH DE number 3658095 (Why is no real title available?)
• scientific article; zbMATH DE number 3434895 (Why is no real title available?)
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• Integral Representation Without Additivity
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• Modeling attitudes towards uncertainty and risk through the use of Choquet integral
• On the intuition of rank-dependent utility
• On the use of capacities in modeling uncertainty aversion and risk aversion
• Prospect theory. For risk and ambiguity.
• Risk, ambiguity and the Savage axioms
• Strength of preference over complementary pairs axiomatizes alpha-MEU preferences
• Subjective Probability and Expected Utility without Additivity
• Sul significato soggettivo della probabilità.
• The comonotonic sure-thing principle
• The Dual Theory of Choice under Risk
• Violations of the independence axiom in common ratio problems: An experimental test of some competing hypotheses

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