Risk aversion in cumulative prospect theory

被引：105

作者：

Schmidt, Ulrich ^{[1
,2
]}

Zank, Horst ^{[3
]}

机构：

[1] Univ Kiel, Dept Econ, D-24098 Kiel, Germany

[2] Kiel Inst World Econ, D-24105 Kiel, Germany

[3] Univ Manchester, Dept Econ, Sch Social Sci, Manchester M13 9PL, Lancs, England

来源：

MANAGEMENT SCIENCE | 2008年 / 54卷 / 01期

关键词：

cumulative prospect theory; loss aversion; risk aversion; second-order stochastic dominance; decision analysis theory; risk;

D O I：

10.1287/mnsc.1070.0762

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper characterizes the conditions for strong risk aversion and second-order stochastic dominance for cumulative prospect theory. Strong risk aversion implies a convex weighting function for gains and a concave one for losses. It does not necessarily imply a concave utility function. The latter does follow if the weighting functions are continuous. By investigating the exact relationship between loss aversion and strong risk aversion, a natural index for the degree of loss aversion is derived.

引用

页码：208 / 216

页数：9

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