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Linear Cumulative Prospect Theory with Applications to Portfolio Selection and Insurance Demand

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  • U Schmidt
  • H Zank

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Paper provided by Economics, The University of Manchester in its series The School of Economics Discussion Paper Series with number 0208.

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Date of creation: 2002
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Handle: RePEc:man:sespap:0208

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  1. 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.
  2. Schmidt, Ulrich & Zank, Horst, 2009. "A simple model of cumulative prospect theory," Journal of Mathematical Economics, Elsevier, vol. 45(3-4), pages 308-319, March.
  3. 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.
  4. 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.
  5. 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.
  6. U Schmidt & H Zank, 2002. "Risk Aversion in Cumulative Prospect Theory," The School of Economics Discussion Paper Series 0207, Economics, The University of Manchester.
  7. 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.
  8. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March.
  9. 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.
  10. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
  11. Wakker, Peter & Tversky, Amos, 1993. " An Axiomatization of Cumulative Prospect Theory," Journal of Risk and Uncertainty, Springer, vol. 7(2), pages 147-75, October.
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Cited by:
  1. Bernasconi, Michele & Corazzini, Luca & Seri, Raffaello, 2014. "Reference dependent preferences, hedonic adaptation and tax evasion: Does the tax burden matter?," Journal of Economic Psychology, Elsevier, vol. 40(C), pages 103-118.
  2. Kaluszka, Marek & Krzeszowiec, MichaƂ, 2012. "Pricing insurance contracts under Cumulative Prospect Theory," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 159-166.
  3. Bernard, Carole & Ghossoub, Mario, 2009. "Static Portfolio Choice under Cumulative Prospect Theory," MPRA Paper 15446, University Library of Munich, Germany.

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