Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39795 
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dc.contributor.authorBroll, Udoen
dc.contributor.authorEgozcue, Martínen
dc.contributor.authorWong, Wing-Keungen
dc.contributor.authorZitikis, Ričardasen
dc.date.accessioned2010-07-02-
dc.date.accessioned2010-09-09T09:45:25Z-
dc.date.available2010-09-09T09:45:25Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/39795-
dc.description.abstractThe prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved. For example, the nature of monotonicity of the indifference curve depends on the underlying mean. Price hedging decisions also become more complex within the prospect theory. We discuss these topics in detail and offer a general result concerning the sign of a covariance from which we then infer desired properties of the indifference curve and also justify hedging decisions within the prospect theory. We illustrate our general considerations with a thoroughly worked out example.en
dc.language.isoengen
dc.publisher|aTechnische Universität Dresden, Fakultät Wirtschaftswissenschaften |cDresdenen
dc.relation.ispartofseries|aDresden Discussion Paper Series in Economics |x05/10en
dc.subject.jelD01en
dc.subject.jelD03en
dc.subject.jelD21en
dc.subject.jelD81en
dc.subject.ddc330en
dc.subject.keywordprospect theoryen
dc.subject.keywordmean-variance modelen
dc.subject.keywordindifference curveen
dc.subject.keywordprice uncertaintyen
dc.subject.keywordhedgingen
dc.subject.stwTheorie der Unternehmungen
dc.subject.stwProduktionen
dc.subject.stwEntscheidung bei Unsicherheiten
dc.subject.stwHedgingen
dc.subject.stwProspect Theoryen
dc.subject.stwPreisen
dc.subject.stwRisikoen
dc.subject.stwTheorieen
dc.titleProspect theory and hedging risks-
dc.type|aWorking Paperen
dc.identifier.ppn63051397Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tuddps:0510en

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