Linear cumulative prospect theory with applications to portfolio selection and insurance demand
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Bibliographic InfoArticle provided by Springer in its journal Decisions in Economics and Finance.
Volume (Year): 30 (2007)
Issue (Month): 1 (05)
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Web page: http://link.springer.de/link/service/journals/10203/index.htm
Other versions of this item:
- U Schmidt & H Zank, 2002. "Linear Cumulative Prospect Theory with Applications to Portfolio Selection and Insurance Demand," The School of Economics Discussion Paper Series 0208, Economics, The University of Manchester.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- U Schmidt & H Zank, 2002.
"A Simple Model of Cumulative Prospect Theory,"
The School of Economics Discussion Paper Series
0206, Economics, The University of Manchester.
- Doherty, Neil A & Eeckhoudt, Louis, 1995. "Optimal Insurance without Expected Utility: The Dual Theory and the Linearity of Insurance Contracts," Journal of Risk and Uncertainty, Springer, vol. 10(2), pages 157-79, March.
- Amos Tversky & Daniel Kahneman, 1979.
"Prospect Theory: An Analysis of Decision under Risk,"
Levine's Working Paper Archive
7656, David K. Levine.
- Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March.
- Hong, Chew Soo & Karni, Edi & Safra, Zvi, 1987. "Risk aversion in the theory of expected utility with rank dependent probabilities," Journal of Economic Theory, Elsevier, vol. 42(2), pages 370-381, August.
- Schmidt, Ulrich & Horst Zank, 2002.
"Risk Aversion in Cumulative Prospect Theory,"
Royal Economic Society Annual Conference 2002
162, Royal Economic Society.
- Schmidt, Ulrich & Zank, Horst, 2001. "A new axiomatization of rank-dependent expected utility with tradeoff consistency for equally likely outcomes," Journal of Mathematical Economics, Elsevier, vol. 35(4), pages 483-491, July.
- Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- Cass, David & Stiglitz, Joseph E, 1972. "Risk Aversion and Wealth Effects on Portfolios with Many Assets," Review of Economic Studies, Wiley Blackwell, vol. 39(3), pages 331-54, July.
- Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
- Wakker, Peter & Tversky, Amos, 1993. " An Axiomatization of Cumulative Prospect Theory," Journal of Risk and Uncertainty, Springer, vol. 7(2), pages 147-75, October.
- Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory And Asset Prices," The Quarterly Journal of Economics, MIT Press, vol. 116(1), pages 1-53, February.
- Horst Zank, 2010. "On probabilities and loss aversion," Theory and Decision, Springer, vol. 68(3), pages 243-261, March.
- Bernard, Carole & Ghossoub, Mario, 2009. "Static Portfolio Choice under Cumulative Prospect Theory," MPRA Paper 15446, University Library of Munich, Germany.
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