Stochastic Dominance and Cumulative Prospect Theory

Published Online:https://doi.org/10.1287/mnsc.1060.0537

References

  • Abdellaoui M. Parameter-free elicitation of utility and probability weighting functions. Management Sci. (2000) 46(11):1497–1512LinkGoogle Scholar
  • Abdellaoui M., Bleichrodt H., Paraschiv C. Measuring loss aversion under prospect theory: A parameter-free approach. (2005a) . Working paper, Erasmus University, Rotterdam, The Netherlands; and GRID, ESTP and ENSAM-Paris, FranceGoogle Scholar
  • Abdellaoui M., Vossmann F., Weber M. Choice-based elicitation and decomposition of decision weights for gains and losses under uncertainty. Management Sci. (2005b) 51(9):1348–1399LinkGoogle Scholar
  • Baucells M., Heukamp F. Reevaluation of the results of Levy and Levy (2002). Organ. Behav. Human Decision Processes (2004) 94(1):15–21CrossrefGoogle Scholar
  • Benartzi S., Thaler R. Myopic loss aversion and the equity premium puzzle. Quart. J. Econom. (1995) 110(1):75–92CrossrefGoogle Scholar
  • Birnbaum M. Three new tests of independence that differentiate models of risky decision making. Management Sci. (2005) 51(9):1346–1358LinkGoogle Scholar
  • Bowman D., Minehart D., Rabin M. Loss aversion in a consumption-savings model. J. Econom. Behav. Organ. (1999) 38(2):155–178CrossrefGoogle Scholar
  • Camerer C., Kagel J., Roth A. Individual decision making. Handbook of Experimental Economics (1995) (Princeton University Press, Princeton, NJ) 617–703Google Scholar
  • Camerer C., Hogarth R. The effects of financial incentives in experiments: A review and capital-labor-production framework. J. Risk Uncertainty (1999) 19(1–3):7–42CrossrefGoogle Scholar
  • Chew S., Karni E., Safra Z. Risk aversion in the theory of expected utility with rank dependent probabilities. J. Econom. Theory (1987) 42(2):370–381CrossrefGoogle Scholar
  • Gonzalez R., Wu G. On the shape of the probability weighting function. Cognitive Psych. (1999) 38(1):129–166CrossrefGoogle Scholar
  • Kahneman D., Tversky A. Prospect theory: An analysis of decision under risk. Econometrica (1979) 47(2):263–291CrossrefGoogle Scholar
  • Langer T., Weber M. Prospect theory, mental accounting and differences in aggregated and segregated evaluation of lottery portfolios. Management Sci. (2001) 47(5):716–733LinkGoogle Scholar
  • Lattimore P., Baker J., Witte A. The influence of probability on risky choice—A parametric examination. J. Econom. Behav. Organ. (1992) 17:377–400CrossrefGoogle Scholar
  • Levy H. Stochastic dominance and expected utility: Survey and analysis. Management Sci. (1992) 38(4):555–593LinkGoogle Scholar
  • Levy M., Levy H. Prospect theory: Much ado about nothing? Management Sci. (2002) 48(10):1334–1349LinkGoogle Scholar
  • Levy H., Wiener Z. Stochastic dominance and prospect dominance with subjective weighting functions. J. Risk Uncertainty (1998) 16(2):147–163CrossrefGoogle Scholar
  • Payne J. It is whether you win or lose: The importance of the overall probabilities of winning or losing in risky choice. J. Risk Uncertainty (2005) 30:5–19CrossrefGoogle Scholar
  • Prelec D. The probability weighting function. Econometrica (1998) 66(3):497–528CrossrefGoogle Scholar
  • Quiggin J.Generalized Expected Utility Theory/The Rank-Dependent Expected Utility Model (1993) (Kluwer-Nijhoff, Amsterdam, The Netherlands) CrossrefGoogle Scholar
  • Rothschild M., Stiglitz J. Increasing risk. I. A. definition. J. Econom. Theory (1970) 2:225–243CrossrefGoogle Scholar
  • Schmidt U., Traub S. An experimental test of loss aversion. J. Risk Uncertainty (2002) 25(3):233–249CrossrefGoogle Scholar
  • Strichartz R.The Way of Analysis (1995) (Jones and Bartlett Publishers, Boston, MA) Google Scholar
  • Tversky A., Kahneman D. Advances in prospect theory—Cumulative representation of uncertainty. J. Risk Uncertainty (1992) 5:297–323CrossrefGoogle Scholar
  • Tversky A., Wakker P. Risk attitudes and decision weights. Econometrica (1995) 63(6):1255–1280CrossrefGoogle Scholar
  • Wakker P. The data of Levy and Levy (2002), “Prospect theory: Much ado about nothing?” actually support prospect theory. Management Sci. (2003) 49(7):979–981LinkGoogle Scholar
  • Wakker P., Tversky A. An axiomization of cumulative prospect theory. J. Risk Uncertainty (1993) 49(7):147–176CrossrefGoogle Scholar
  • Wu G., Markle A. An empirical test of gain-loss separability in prospect theory. (2005) . Working paper, University of Chicago, Chicago, ILGoogle Scholar
  • Wu G., Zhang J., Gonzalez R., Koehler D., Harvey N. Decision under risk. Blackwell Handbook of Judgment and Decision Making (2004) (Blackwell, Oxford, UK) 399–423CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.