Construction of probability metrics on classes of investors

DOI10.1016/j.econlet.2009.01.021zbMath1178.91046OpenAlexW2076290150MaRDI QIDQ1046359

Stoyan V. Stoyanov, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 21 December 2009

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.01.021

zbMATH Keywords

probability metricscumulative prospect theory

Mathematics Subject Classification ID

Decision theory (91B06) Stochastic models in economics (91B70)

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Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• Probability metrics with applications in finance
• Prospect Theory: An Analysis of Decision under Risk
• Mass transhipment problems and ideal metrics