An Axiomatization of Cumulative Prospect Theory for Decision under Risk
AbstractCumulative prospect theory was introduced by Tversky and Kahneman so as to combine the empirical realism of their original prospect theory with the theoretical advantages of Quiggin's rank-dependent utility. Preference axiomatizations were provided in several papers. All those axiomatizations, however, only consider decision under uncertainty. No axiomatization has been provided as yet for decision under risk, i.e., the case in which given probabilities are transformed. Providing the latter is the purpose of this note. The resulting axiomatization is considerably simpler than that for uncertainty. Copyright 1999 by Kluwer Academic Publishers
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Bibliographic InfoArticle provided by Springer in its journal Journal of Risk and Uncertainty.
Volume (Year): 18 (1999)
Issue (Month): 2 (August)
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Web page: http://www.springerlink.com/link.asp?id=100299
Other versions of this item:
- Chateauneuf, A. & Wakker, P., 1998. "An Axiomatization of Cumulative Prospect Theory for Decision Under Risk," Papiers d'Economie MathÃÂ©matique et Applications 98.51, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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