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Non‐Monotonicity of the Tversky‐Kahneman Probability‐Weighting Function: A Cautionary Note

Citations

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Cited by:

  1. Valeri Zakamouline & Steen Koekebakker, 2009. "A Generalisation of the Mean†Variance Analysis," European Financial Management, European Financial Management Association, vol. 15(5), pages 934-970, November.
  2. Daniel Cavagnaro & Mark Pitt & Richard Gonzalez & Jay Myung, 2013. "Discriminating among probability weighting functions using adaptive design optimization," Journal of Risk and Uncertainty, Springer, vol. 47(3), pages 255-289, December.
  3. De Giorgi, Enrico & Hens, Thorsten & Rieger, Marc Oliver, 2010. "Financial market equilibria with cumulative prospect theory," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 633-651, September.
  4. Marc Oliver Rieger & Mei Wang & Thorsten Hens, 2017. "Estimating cumulative prospect theory parameters from an international survey," Theory and Decision, Springer, vol. 82(4), pages 567-596, April.
  5. Bahaji, Hamza & Casta, Jean-François, 2016. "Employee stock option-implied risk attitude under Rank-Dependent Expected Utility," Economic Modelling, Elsevier, vol. 52(PA), pages 144-154.
  6. Kelvin Balcombe & Iain Fraser, 2015. "Parametric preference functionals under risk in the gain domain: A Bayesian analysis," Journal of Risk and Uncertainty, Springer, vol. 50(2), pages 161-187, April.
  7. Stephen G Dimmock & Roy Kouwenberg & Olivia S Mitchell & Kim Peijnenburg, 2021. "Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field," The Review of Financial Studies, Society for Financial Studies, vol. 34(9), pages 4524-4563.
  8. repec:dau:papers:123456789/9550 is not listed on IDEAS
  9. Foster, Joshua & Deck, Cary & Farmer, Amy, 2019. "Behavioral demand effects when buyers anticipate inventory shortages," European Journal of Operational Research, Elsevier, vol. 276(1), pages 217-234.
  10. Salvatore Greco & Fabio Rindone, 2014. "The bipolar Choquet integral representation," Theory and Decision, Springer, vol. 77(1), pages 1-29, June.
  11. Dichtl, Hubert & Drobetz, Wolfgang, 2011. "Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1683-1697, July.
  12. Martina Nardon & Paolo Pianca, 2015. "Probability weighting functions," Working Papers 2015:29, Department of Economics, University of Venice "Ca' Foscari".
  13. Hamza Bahaji, 2018. "Are employee stock option exercise decisions better explained through the prospect theory?," Annals of Operations Research, Springer, vol. 262(2), pages 335-359, March.
  14. Priyodorshi Banerjee & Shashwat Khare & P. Srikant, 2018. "Learning to Set the Reserve Price Optimally in Laboratory First Price Auctions," Games, MDPI, vol. 9(4), pages 1-16, October.
  15. repec:dau:papers:123456789/13098 is not listed on IDEAS
  16. Azevedo, Eduardo M. & Gottlieb, Daniel, 2012. "Risk-neutral firms can extract unbounded profits from consumers with prospect theory preferences," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1291-1299.
  17. Santos-Pinto, Luís & Astebro, Thomas & Mata, José, 2009. "Preference for Skew in Lotteries: Evidence from the Laboratory," MPRA Paper 17165, University Library of Munich, Germany.
  18. Ryan O. Murphy & Robert H. W. ten Brincke, 2018. "Hierarchical Maximum Likelihood Parameter Estimation for Cumulative Prospect Theory: Improving the Reliability of Individual Risk Parameter Estimates," Management Science, INFORMS, vol. 64(1), pages 308-328, January.
  19. Behnam Malakooti, 2015. "Double Helix Value Functions, Ordinal/Cardinal Approach, Additive Utility Functions, Multiple Criteria, Decision Paradigm, Process, and Types (Z Theory I)," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 1353-1400, November.
  20. Roger J. Jiao & Feng Zhou & Chih-Hsing Chu, 2017. "Decision theoretic modeling of affective and cognitive needs for product experience engineering: key issues and a conceptual framework," Journal of Intelligent Manufacturing, Springer, vol. 28(7), pages 1755-1767, October.
  21. Dierkes, Maik & Germer, Stephan & Sejdiu, Vulnet, 2020. "Probability distortion, asset prices, and economic growth," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 84(C).
  22. Matteo Del Vigna, 2011. "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics 2011-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  23. Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2016. "The role of a representative reinsurer in optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 196-204.
  24. Rieger, Marc Oliver, 2014. "Evolutionary stability of prospect theory preferences," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 1-11.
  25. Chao Gong & Chunhui Xu & Ji Wang, 2018. "An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio Choice Problem Under Cumulative Prospect Theory," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 227-252, June.
  26. Zhuang, Sheng Chao & Weng, Chengguo & Tan, Ken Seng & Assa, Hirbod, 2016. "Marginal Indemnification Function formulation for optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 65-76.
  27. Liurui Deng & Traian A. Pirvu, 2019. "Multi-Period Investment Strategies under Cumulative Prospect Theory," JRFM, MDPI, vol. 12(2), pages 1-15, May.
  28. Marie Pfiffelmann, 2011. "Solving the St. Petersburg Paradox in cumulative prospect theory: the right amount of probability weighting," Theory and Decision, Springer, vol. 71(3), pages 325-341, September.
  29. Häckel, Björn & Pfosser, Stefan & Tränkler, Timm, 2017. "Explaining the energy efficiency gap - Expected Utility Theory versus Cumulative Prospect Theory," Energy Policy, Elsevier, vol. 111(C), pages 414-426.
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