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Advances in Prospect Theory: Cumulative Representation of Uncertainty

by Amos Tversky, Daniel Kahneman - JOURNAL OF RISK AND UNCERTAINTY, 5:297-323 (1992) , 1992
"... We develop a new version of prospect theory that employs cumulative rather than separable decision weights and extends the theory in several respects. This version, called cumulative prospect theory, applies to uncertain as well as to risky prospects with any number of outcomes, and it allows differ ..."
Abstract - Cited by 1717 (17 self) - Add to MetaCart
We develop a new version of prospect theory that employs cumulative rather than separable decision weights and extends the theory in several respects. This version, called cumulative prospect theory, applies to uncertain as well as to risky prospects with any number of outcomes, and it allows

Prospect theory: An analysis of decisions under risk

by Daniel Kahneman, Amos Tversky - Econometrica , 1979
"... Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at ..."
Abstract - Cited by 6312 (30 self) - Add to MetaCart
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at

Prospect Theory for continuous distrbutions

by Marc Oliver, Rieger Mei Wang , 2006
"... Prospect Theory for continuous distrbutions ..."
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Prospect Theory for continuous distrbutions

Prospect theory and asset prices

by Nicholas Barberis, Ming Huang, Tano Santos - Quarterly Journal of Economics , 2001
"... We study asset prices in an economy where investors derive direct utility not only from consumption but also from fluctuations in the value of their financial wealth. They are loss averse over these fluctuations, and the degree of loss aversion depends on their prior investment performance. We find ..."
Abstract - Cited by 121 (2 self) - Add to MetaCart
that our framework can help explain the high mean, excess volatility, and predictability of stock returns, as well as their low correlation with consumption growth. The design of our model is influenced by prospect theory and by experimental evidence on how prior outcomes affect risky choice. I.

Prospect theory

by unknown authors
"... Rank-dependent utility theory ..."
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Rank-dependent utility theory

Composition Rules in Prospect Theory

by Richard Gonzalez, George Wu , 2003
"... Abstract: Original and cumulative prospect theory differ in the composition rule used to combine the probability weighting function and the value function. We test these composition rules by performing a novel test. We apply estimates of prospect theory’s weighting and value function obtained from t ..."
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Abstract: Original and cumulative prospect theory differ in the composition rule used to combine the probability weighting function and the value function. We test these composition rules by performing a novel test. We apply estimates of prospect theory’s weighting and value function obtained from

Prospect Theory for continuous distrbutions

by Marc Oliver Rieger, Mei Wang , 2006
"... Prospect Theory is a widely accepted descriptive framework to model decisions under risk. However, it is limited to situations with finitely many outcomes. Moreover, it is discontinuous, i.e., small changes in a lottery can produce large differences in its utility, contrary to experiments. In this a ..."
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Prospect Theory is a widely accepted descriptive framework to model decisions under risk. However, it is limited to situations with finitely many outcomes. Moreover, it is discontinuous, i.e., small changes in a lottery can produce large differences in its utility, contrary to experiments

Third-generation prospect theory

by Ulrich Schmidt, Chris Starmer, Robert Sugden , 2008
"... ... prospect theory (PT³). This retains the predictive power of previous versions of prospect theory, but extends that theory by allowing reference points to be uncertain while decision weights are specified in a rank-dependent way. We show that PT 3 preferences respect a state-conditional form of s ..."
Abstract - Cited by 19 (2 self) - Add to MetaCart
... prospect theory (PT³). This retains the predictive power of previous versions of prospect theory, but extends that theory by allowing reference points to be uncertain while decision weights are specified in a rank-dependent way. We show that PT 3 preferences respect a state-conditional form

‘prospect theory’and ‘cumulative prospect theory’

by Ali Al-nowaihi, Sanjit Dhami Y , 2010
"... Evidence shows that (i) people overweight low probabilities and underweight high probabilities, but (ii) ignore events of extremely low probability and treat extremely high probability events as certain. The main alternative decision theories, rank dependent utility (RDU) and cumulative prospect the ..."
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Evidence shows that (i) people overweight low probabilities and underweight high probabilities, but (ii) ignore events of extremely low probability and treat extremely high probability events as certain. The main alternative decision theories, rank dependent utility (RDU) and cumulative prospect

Prospect Theory and Higher Moments

by Martin Ågren, Martin Ågren, Martin Ågren , 2006
"... The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis, assuming returns are normal inverse Gaussian distributed. The normal inverse Gaussian distribution parametrizes the first- to forth-order moments, making the investigation straightforwar ..."
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The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis, assuming returns are normal inverse Gaussian distributed. The normal inverse Gaussian distribution parametrizes the first- to forth-order moments, making the investigation
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