The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory

DOI10.1016/J.ECONLET.2009.09.007zbMath1179.91074OpenAlexW2063538096MaRDI QIDQ1046312

Jie Zhang, David A. Peel

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/45565/1/10.pdf

zbMATH Keywords

cumulative prospect theoryexpo-power value functionexponential value function

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• What is loss aversion?
• Advances in prospect theory: cumulative representation of uncertainty
• Violations of the betweenness axiom and nonlinearity in probability
• An index of loss aversion
• Curvature of the Probability Weighting Function
• The Probability Weighting Function
• Myopic Loss Aversion and the Equity Premium Puzzle
• A simple test of expected utility theory using professional traders
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• A further examination of cumulative prospect theory parameterizations

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