On a derivation of the Goldstein-Einhorn probability weighting functions (Q785652)
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scientific article; zbMATH DE number 7229527
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a derivation of the Goldstein-Einhorn probability weighting functions |
scientific article; zbMATH DE number 7229527 |
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On a derivation of the Goldstein-Einhorn probability weighting functions (English)
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7 August 2020
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The author derives a necessary and sufficient condition for the indifference bid price on the family of all binary lotteries to coincide with the expected value for binary gambles. The condition is that the probability weighting function must be of Goldstein-Einhorn type (see [\textit{W. M. Goldstein} and \textit{H. J. Einhorn}, Expression theory and the preference reversal phenomenon, Psychol. Rev. 94, 236--254 (1987)]).
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utility representation
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probability weighting function
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Goldstein-Einhorn functions
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indifference pricing
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positive homogeneity
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