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| Title: | | A simple model of cumulative prospect theory |
| Authors: | | Schmidt, Ulrich Zank, Horst |
| Issue Date: | | 2009 |
| Citation: | | [Volume:] 45 [Issue:] 3 [Pages:] 308-319 [Journal:] Journal of mathematical economics [ISBN:] 0304-4068 |
| Abstract: | | The present paper combines loss attitudes and linear utility by providing an axiomatic analysis of cumulative prospect theory (CPT) in the framework for decision under uncertainty. We derive a two-sided variant of Choquet expected utility (CEU) with possibly different capacities for gains and for losses, and linear utility. Naturally, utility may have a kink at the status quo, which allows for the exhibition of loss aversion. The central condition of our model is termed independence of common increments. |
| Subjects: | | Comonotonic sure-thing principle Cumulative prospect theory Linear utility Loss aversion |
| JEL: | | D81 |
| Persistent Identifier of the first edition: | | doi:10.1016/j.jmateco.2008.12.001 |
| Document Type: | | Article |
| Appears in Collections: | | Economists Online
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