A simple model of cumulative prospect theory

B-Tier
Journal: Journal of Mathematical Economics
Year: 2009
Volume: 45
Issue: 3-4
Pages: 308-319

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The present paper combines loss attitudes and linear utility by providing an axiomatic analysis of cumulative prospect theory (CPT) in the framework for decision under uncertainty. We derive a two-sided variant of Choquet expected utility (CEU) with possibly different capacities for gains and for losses, and linear utility. Naturally, utility may have a kink at the status quo, which allows for the exhibition of loss aversion. The central condition of our model is termed independence of common increments.

Technical Details

RePEc Handle
repec:eee:mateco:v:45:y:2009:i:3-4:p:308-319
Journal Field
Theory
Author Count
2
Added to Database
2026-01-29