Violations of cumulative prospect theory in mixed gambles with moderate probabilities

Management Science

Volumn 52, Issue 8, 2006, Pages 1288-1290

  Baltussen, Guido ^a   Post, Thierry ^b   Van Vliet, Pim ^c  

^a TINBERGEN INSTITUTE   (Netherlands)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^c Robeco Quantitative Strategies   (Netherlands)

Author keywords

Cumulative prospect theory; Expected utility; Individual decision making under risk; Mixed gambles; Stochastic dominance

Indexed keywords

DECISION MAKING; INFORMATION MANAGEMENT; PROBABILITY; RISK ASSESSMENT;

CUMULATIVE PROSPECT THEORY; EXPECTED UTILITY; INDIVIDUAL DECISION MAKING UNDER RISKS; MIXED GAMBLES; STOCHASTIC DOMINANCE;

RANDOM PROCESSES;

EID: 33748291459     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1050.0544     Document Type: Article

References (4)

1. Baltussen, Guido, Thierry Post, Pim van Vliet. 2003. Violations of CPT in mixed gambles. Working paper, Social Science Research Network, http://ssrn.com/abstract=506582 (Dec).
2. Levy, M., H. Levy. 2002. Prospect theory: Much ado about nothing? Management Sci. 48(10) 1334-1349.
3. Tversky, A., D. Kahneman. 1992. Advances in prospect theory -Cumulative representation of uncertainty. J. Risk Uncertainty 5 297-323.
4. Wakker, P. P. 2003. The data of Levy and Levy (2002) Prospect theory: Much ado about nothing? actually support prospect theory. Management Sci. 49(7) 979-981.