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Cumulative prospect theory's functional menagerie

Journal of risk and uncertainty, 2006-03, Vol.32 (2), p.101-130 [Peer Reviewed Journal]

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Title:
Cumulative prospect theory's functional menagerie
Author: Stott, Henry P.
Subjects: Cumulative prospect theory ; Decision making ; Decision theory ; Economic uncertainty ; Expected utility ; Financial incentives ; Mathematical independent variables ; Mathematical methods ; Mathematical transformations ; Model testing ; Parametric models ; Probability ; Prospect theory ; Risk aversion ; Statistical methods ; Stochastic models ; Studies ; Term weighting ; Weighting functions
Is Part Of: Journal of risk and uncertainty, 2006-03, Vol.32 (2), p.101-130
Description: Many different functional forms have been suggested for both the value function and probability weighting function of Cumulative Prospect Theory (Tversky and Kahneman, 1992). There are also many stochastic choice functions available. Since these three components only make predictions when considered in combination, this paper examines the complete pattern of 256 model variants that can be constructed from twenty functions. All these variants are fit to experimental data and their explanatory power assessed. Significant interaction effects are observed. The best model has a power value function, a risky weighting function due to Prelec (1998), and a Logit function.
Publisher: New York: Spring Science + Business Media
Language: English
Identifier: ISSN: 0895-5646
EISSN: 1573-0476
DOI: 10.1007/s11166-006-8289-6
Source: ProQuest One Psychology
Alma/SFX Local Collection
ProQuest Central

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