An Axiomatization of Cumulative Prospect Theory for Decision under Risk

Journal of Risk and Uncertainty

Volumn 18, Issue 2, 1999, Pages 137-145

  Chateauneuf, Alain ^a   Wakker, Peter ^b  

^a UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

^b LEIDEN UNIVERSITY MEDICAL CENTER   (Netherlands)

Author keywords

Comonotonicity; Prospect theory; Rank dependence; Rank dependent utility; Sign dependence; Tradeoff consistency

Indexed keywords

EID: 0033455867     PISSN: 08955646     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1007886529870     Document Type: Article

References (16)

1. Abdellaoui, Mohammed. (1998). "Eliciting Utilities and Decision Weights under Cumulative Prospect Theory," Working Paper, GRID, ENS, Cachan, France.
2. Bleichrodt, Han, and J. Luis Pinto. (1998a). "The Validity of QALYs When Expected Utility Theory No Longer Holds," iMTA, Erasmus University, Rotterdam, The Netherlands.
3. Bleichrodt, Han, and J. Luis Pinto. (1998b). "A Parameter-Free Elicitation of the Probability Weighting Function in Medical Decision Making," iMTA, Erasmus University, Rotterdam, The Netherlands.
4. Bouzit, Abdel M., and Guy Gleyses. (1996). "Empirical Estimation of RDEU Preference Functional in Agricultural Production," GRID, ENS, Cachan, France.
5. Chateauneuf, Alain, and Peter P. Wakker. (1993). "From Local to Global Additive Representation," Journal of Mathematical Economics 22, 523-545.
6. Dugundji, James. (1966). Topology. Boston: Allyn and Bacon.
7. Fennema, Hein, and Marcel A.L.M. van Assen. (1998). "Measuring the Utility of Losses by Means of the Tradeoff Method," Journal of Risk and Uncertainty 17, 277-295.
8. Fishburn, Peter C. (1978). "On Handa's "New Theory of Cardinal Utility" and the Maximization of Expected Return," Journal of Political Economy 86, 321-324.
9. Kahneman, Daniel, and Amos Tversky. (1979). "Prospect Theory: An Analysis of Decision under Risk," Econometrica 47, 263-291.
10. Luce, R. Duncan, and Peter C. Fishburn. (1991). "Rank- and Sign-Dependent Linear Utility Models for Finite First-Order Gambles," Journal of Risk and Uncertainty 4, 29-59.
11. Quiggin, John. (1981). "Risk Perception and Risk Aversion among Australian Farmers," Australian Journal of Agricultural Economics 25, 160-169.
12. Starmer, Chris, and Robert Sugden. (1989). "Violations of the Independence Axiom in Common Ratio Problems: An Experimental Test of Some Competing Hypotheses," Annals of Operations Research 19, 79-101.
13. Tversky, Amos, and Daniel Kahneman. (1992). "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty 5, 297-323.
14. Wakker, Peter P. (1994). "Separating Marginal Utility and Probabilistic Risk Aversion," Theory and Decision 36, 1-44.
15. Wakker, Peter P., and Daniel Deneffe. (1996). "Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown," Management Science 42, 1131-1150.
16. Wakker, Peter P., and Amos Tversky. (1993). "An Axiomatization of Cumulative Prospect Theory," Journal of Risk and Uncertainty 1, 147-176.