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Construction of probability metrics on classes of investors

Author

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  • Stoyanov, Stoyan V.
  • Rachev, Svetlozar T.
  • Fabozzi, Frank J.

Abstract

We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.

Suggested Citation

  • Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Construction of probability metrics on classes of investors," Economics Letters, Elsevier, vol. 103(1), pages 45-48, April.
  • Handle: RePEc:eee:ecolet:v:103:y:2009:i:1:p:45-48
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    References listed on IDEAS

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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. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
    3. Manel Baucells & Franz H. Heukamp, 2006. "Stochastic Dominance and Cumulative Prospect Theory," Management Science, INFORMS, vol. 52(9), pages 1409-1423, September.
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