The behavioural components of risk aversion
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Publication:995651
DOI10.1016/j.jmp.2006.10.003zbMath1141.91357OpenAlexW1984774990MaRDI QIDQ995651
Publication date: 3 September 2007
Published in: Journal of Mathematical Psychology (Search for Journal in Brave)
Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe0458.pdf
Related Items (8)
A Behavioural Approach to the Pricing of European Options ⋮ Static portfolio choice under cumulative prospect theory ⋮ Covered Call Writing and Framing: A Cumulative Prospect Theory Approach ⋮ European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions ⋮ Coordination after gains and losses: is prospect theory's value function predictive for games? ⋮ A Note on the Shape of the Probability Weighting Function ⋮ Behavioral premium principles ⋮ Insurance premium-based shortfall risk measure induced by cumulative prospect theory
Cites Work
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- What is loss aversion?
- Risk aversion in the theory of expected utility with rank dependent probabilities
- Advances in prospect theory: cumulative representation of uncertainty
- Separating marginal utility and probabilistic risk aversion
- Risk seeking with diminishing marginal utility in a non-expected utility model
- An index of loss aversion
- Arrow-Pratt risk aversion, risk premium and decision weights
- Rethinking risk attitude: Aspiration as pure risk
- Characterizing optimism amd pessimism directly through comonotonicity
- Parameter-Free Elicitation of Utility and Probability Weighting Functions
- Relative Risk Aversion
- Prospect Theory: An Analysis of Decision under Risk
- Curvature of the Probability Weighting Function
- The Probability Weighting Function
- The Dual Theory of Choice under Risk
- Statistical modelling of asymmetric risk in asset returns
- Risk Aversion in the Small and in the Large
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