An Axiomatization of Cumulative Prospect Theory for Decision Under Risk
AbstractCumulative prospect theory was introduced by Tversky and Kahneman to combine the empirical realism of their original prospect theory with the theoretical advantages of rank-dependent utility. Preference axiomatizations were provided in several papers. All exosting axiomatizations, however, only consider decision under uncertainty, and no axiomatization has as yet been provided for decision under risk. Providing the latter is the purpose of this note. The axiomatization is considerably simpler than those for uncertainty.
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Bibliographic InfoPaper provided by UniversitÃ© PanthÃ©on-Sorbonne (Paris 1) in its series Papiers d'Economie MathÃ©matique et Applications with number 98.51.
Length: 13 pages
Date of creation: 1998
Date of revision:
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RISK ; DECISION MAKING ; ECONOMETRICS;
Other versions of this item:
- Chateauneuf, Alain & Wakker, Peter, 1999. "An Axiomatization of Cumulative Prospect Theory for Decision under Risk," Journal of Risk and Uncertainty, Springer, vol. 18(2), pages 137-45, August.
- 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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