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Prospect Theory for Continuous Distributions Games and Prospects

  • Marc Oliver Rieger

    (ETH Zurich, Department of Mathematics)

  • Mei Wang

    (University of Zurich, ISB)

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    We extend the original form of Prospect Theory by Kahneman and Tversky from finite lotteries to arbitrary probability distributions, thus paving the way for applications in economics and finance. Moreover, we suggest a method how to incorporate a crucial step of the “editing phase” into Prospect Theory and to remove in this way the discontinuity of the original model.

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    File URL: http://ssrn.com/abstract=1020042
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    Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 07-30.

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    Length: 21 pages
    Date of creation: Mar 2007
    Date of revision:
    Handle: RePEc:chf:rpseri:rp0730
    Contact details of provider: Web page: http://www.SwissFinanceInstitute.ch

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