Risk Aversion in Cumulative Prospect Theory
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- Bahamonde-Birke, Francisco J., 2018. "Estimating the reference frame: A smooth twice-differentiable utility function for non-compensatory loss-averse decision-making," Journal of choice modelling, Elsevier, vol. 28(C), pages 71-81.
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"Separating curvature and elevation: A parametric probability weighting function,"
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"Third-generation prospect theory,"
Journal of Risk and Uncertainty, Springer, vol. 36(3), pages 203-223, June.
- Schmidt, Ulrich & Starmer, Chris & Sugden, Robert, 2008. "Third-generation prospect theory," Open Access Publications from Kiel Institute for the World Economy 28932, Kiel Institute for the World Economy (IfW Kiel).
- Yang-Yu Liu & Jose C Nacher & Tomoshiro Ochiai & Mauro Martino & Yaniv Altshuler, 2014. "Prospect Theory for Online Financial Trading," PLOS ONE, Public Library of Science, vol. 9(10), pages 1-7, October.
- Ulrich Schmidt & Horst Zank, 2005. "What is Loss Aversion?," Journal of Risk and Uncertainty, Springer, vol. 30(2), pages 157-167, January.
- Ulrich Schmidt & Horst Zank, 2007.
"Linear cumulative prospect theory with applications to portfolio selection and insurance demand,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 30(1), pages 1-18, May.
- U Schmidt & H Zank, 2002. "Linear Cumulative Prospect Theory with Applications to Portfolio Selection and Insurance Demand," Economics Discussion Paper Series 0208, Economics, The University of Manchester.
- Maier, Johannes & Rüger, Maximilian, 2010. "Measuring Risk Aversion Model-Independently," Discussion Papers in Economics 11873, University of Munich, Department of Economics.
- Ryan, Matthew J., 2006. "Risk aversion in RDEU," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 675-697, September.
- Horst Zank, 2010. "On probabilities and loss aversion," Theory and Decision, Springer, vol. 68(3), pages 243-261, March.
- Yang-Yu Liu & Jose C. Nacher & Tomoshiro Ochiai & Mauro Martino & Yaniv Altshuler, 2014. "Prospect Theory for Online Financial Trading," Papers 1402.6393, arXiv.org, revised Mar 2014.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2003-03-03 (Risk Management)
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