EconStor >
Institut für Weltwirtschaft (IfW), Kiel >
Economists Online >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/28865
  
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

Files in This Item:

There are no files associated with this item.

No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/28865

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.