Third-generation prospect theory

被引：197

作者：

Schmidt, Ulrich ^{[3
,4
]}

Starmer, Chris ^{[1
]}

Sugden, Robert ^{[2
]}

机构：

[1] Univ Nottingham, Sch Econ, Nottingham NG7 2RD, England

[2] Univ E Anglia, Sch Econ, Norwich NR4 7TJ, Norfolk, England

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

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

来源：

JOURNAL OF RISK AND UNCERTAINTY | 2008年 / 36卷 / 03期

基金：

英国经济与社会研究理事会;

关键词：

prospect theory; preference reversal; reference dependence;

D O I：

10.1007/s11166-008-9040-2

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We present a new theory of decision under uncertainty: third-generation prospect theory (PT(3)). This retains the predictive power of previous versions of prospect theory, but extends that theory by allowing reference points to be uncertain while decision weights are specified in a rank-dependent way. We show that PT(3) preferences respect a state-conditional form of stochastic dominance. The theory predicts the observed tendency for willingness-to-accept valuations of lotteries to be greater than willingness-to-pay valuations. When PT(3) is made operational by using simple functional forms with parameter values derived from existing experimental evidence, it predicts observed patterns of the preference reversal phenomenon.

引用

页码：203 / 223

页数：21

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