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

共 43 条

[21] RANK-DEPENDENT AND SIGN-DEPENDENT LINEAR UTILITY-MODELS FOR BINARY GAMBLES [J].

LUCE, RD .

JOURNAL OF ECONOMIC THEORY, 1991, 53 (01) :75-100

[22] Ranked additive utility representations of gambles: Old and new axiomatizations [J].

Luce, RD ;

Marley, AAJ .

JOURNAL OF RISK AND UNCERTAINTY, 2005, 30 (01) :21-62

[23] RANK-DEPENDENT AND SIGN-DEPENDENT LINEAR UTILITY-MODELS FOR FINITE 1ST-ORDER GAMBLES [J].

LUCE, RD ;

FISHBURN, PC .

JOURNAL OF RISK AND UNCERTAINTY, 1991, 4 (01) :29-59

[24] Independence properties Vis-A-Vis several utility representations [J].

Marley, AAJ ;

Luce, RD .

THEORY AND DECISION, 2005, 58 (01) :77-143

[25] AN EXPERIMENTAL STUDY OF THE AUCTION-VALUE OF AN UNCERTAIN OUTCOME [J].

PRESTON, MG ;

BARATTA, P .

AMERICAN JOURNAL OF PSYCHOLOGY, 1948, 61 (02) :183-193

[26] RISK PERCEPTION AND THE ANALYSIS OF RISK ATTITUDES [J].

QUIGGIN, J .

AUSTRALIAN JOURNAL OF AGRICULTURAL ECONOMICS, 1981, 25 (02) :160-169

[27] A THEORY OF ANTICIPATED UTILITY [J].

QUIGGIN, J .

JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 1982, 3 (04) :323-343

[28] INCREASING RISK .1. DEFINITION [J].

ROTHSCHILD, M ;

STIGLITZ, JE .

JOURNAL OF ECONOMIC THEORY, 1970, 2 (03) :225-243

[29] SUBJECTIVE-PROBABILITY AND EXPECTED UTILITY WITHOUT ADDITIVITY [J].

SCHMEIDLER, D .

ECONOMETRICA, 1989, 57 (03) :571-587

[30] What is loss aversion? [J].

Schmidt, U ;

Zank, H .

JOURNAL OF RISK AND UNCERTAINTY, 2005, 30 (02) :157-167

← 1 2 3 4 5 →