Cumulative prospect theory (CPT) utility function
Risk Aversion in Cumulative Prospect Theory
... variant utility is a linear/exponential function, and in the second case it is a power ...the utility function is non-concave, in particular loss seeking behavior is allowed in a region around ...
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Stochastic Dominance and Cumulative Prospect Theory
... weighting function (pwf) that reflects the subjective probability distortion shown by most ...the utility function, namely, S-shaped, inverse S-shaped, concave, and ...value function, this ...
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Wagering on more than one outcome in an event in Cumulative Prospect Theory and Rank Dependent Utility
... same cumulative weighting of subjective probabilities for multiple outcomes is as subsequently assumed in CPT of Tversky and Kahneman (1992) except the worst outcome rather than the best outcome is weighted ...
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Stochastic Models for Assets Allocation under the Framework of Prospect and Cumulative Prospect Theory
... The problem solution for the EU-investor is similar to the solution of classical Merton portfolio choice problem where returns are assumed to be normally distributed, and the investor has the Constant Relative Risk ...
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Static Portfolio Choice under Cumulative Prospect Theory
... of Cumulative Prospect Theory (CPT) and defines the CPT-objective function; Section 3 introduces the model and the portfolio selection problem, and derives the optimal holding in the risky ...
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Static Portfolio Choice under Cumulative Prospect Theory
... of Cumulative Prospect Theory (CPT) and defines the CPT-objective function; Section 3 introduces the model and the portfolio selection problem, and derives the optimal holding in the risky ...
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Bounded Cumulative Prospect Theory: Some Implications for Gambling Outcomes
... power utility violates the assumption of loss aversion for low enough stakes, (also pointed out by Köbberling and Wakker (2005), Schmidt and Zank (2005) and Law and Peel ...power function is also not ...
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Cumulative Prospect Theory, employee exercise behaviour and stock options cost assessment
... expected utility subject to hedging restrictions. The option holder utility function is assumed to be of the isoelastic form: “ u w ( ) = w 1 − γ / 1 ( − γ ) ” where “γ” is the constant relative risk ...
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An Axiomatization of Linear Cumulative Prospect Theory with Applications to Portfolio Selection and Insurance Demand
... of utility and decision weights and above that to imply sign-dependence, most conditions that are employed in the derivation of general CPT are rather ...where utility is a power ...for utility, much ...
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Cumulative prospect theory and gambling
... losses, we calculate that in order to bet $10, with win-probability of 0.5, the agent would need to win at least $18.13 (plausibly less than that of the students in the Kahneman-Tversky experiments). In addition, this ...
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Cumulative Prospect Theory and the St.Petersburg Paradox
... the utility function alone cannot guarantee the expected utility to be ...ity function like u(x) := x 0.8 , the expected utility is still infinitely ...concave utility ...
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Cumulative prospect theory and the St. Petersburg paradox
... expected utility, in which a strictly concave utility function makes the subjective utility of the large outcome no longer high enough to compensate the very low probability associated with ...
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Cumulative Prospect Theory for Parametric and Multiattribute Utilities
... In cumulative prospect theory models, different behavior concerning gains and losses is per- ...of utility can reveal loss ...multilinear utility for decision models under ...a ...
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Static Portfolio Choice under Cumulative Prospect Theory
... to Cumulative Prospect ...a function of a generalized Omega measure of the distribution of the excess return on the risky asset over the risk-free ...a Cumulative Prospect Theory ...
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Static Portfolio Choice under Cumulative Prospect Theory
... to Cumulative Prospect ...a function of a generalized Omega measure of the distribution of the excess return on the risky asset over the risk-free ...a Cumulative Prospect Theory ...
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aaa Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies
... the cumulative prospect theory, in order to better choose a passive investment strategy on the long term, which could be applied to a target annuity plan for individual ...the prospect ...
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Loss aversion and ruinous optimal wagers in cumulative prospect theory
... their utility, called value function in Cumulative Prospect Theory, by wagering all or large proportions of their wealth on actuarially unfair ...value function over losses that ...
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Insurance premium calculation under continuous cumulative prospect theory
... expected utility theory. In the literature related to prospect theory, in its original and cumulative versions, and rank dependent utility theory, several functional forms ...
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Multi Outcome Lotteries: Prospect Theory vs Relative Utility
... regression function. This is precisely the case with Cumulative Prospect ...This theory is a two equation model and the result is a combination of both ...functions. Cumulative ...
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Multi-Outcome Lotteries: Prospect Theory vs. Relative Utility
... uses Cumulative Prospect ...Relative Utility Function, which strongly resembles the utility function hypothesized by Markowitz ...relative utility model follows Expected ...
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