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An Axiomatization of Linear Cumulative Prospect Theory with Applications to Portfolio Selection and Insurance Demand
16 references·1 citing·29 second hop
An Axiomatization of Linear Cumulative Prospect Theory with Applications to Portfolio Selection and Insurance Demand (2002)An Axiomatization of Linear Cumulative Pr…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Anomalies: Risk Aversion (2001)Anomalies: Risk AversionAn Experiment on Risk Taking and Evaluation Periods (1997)An Experiment on Risk Taking …Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Status quo bias in decision making (1988)Status quo bias in decision m…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Contingent weighting in judgment and choice. (1988)Contingent weighting in judgm…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Toward a positive theory of consumer choice (1980)Toward a positive theory of c…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…The theory of decision making. (1954)The theory of decision making.The Utility of Wealth (1952)The Utility of WealthINDIVIDUAL DIFFERENCES & INSTANCE BASED DECISION MAKING: PUTTING "BOUNDED RATIONALITY" TO THE TEST (2012)INDIVIDUAL DIFFERENCES & INST…The Utility Analysis of Choices Involving Risk (1948)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Rational choice and the structure of the environment. (1956)A Protection Motivation Theory of Fear Appeals and Attitude Change1 (1975)From Intentions to Actions: A Theory of Planned Behavior (1985)Theory of games and economic behavior (2019)The Structure of Scientific Revolutions (1963)Prospect Theory: An Analysis of Decision under Risk (1979)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)Judgment under Uncertainty: Heuristics and Biases (1974)The Framing of Decisions and the Psychology of Choice (1981)Construal-level theory of psychological distance. (2010)Judgment under Uncertainty: Heuristics and Biases (1975)Individual differences in reasoning: Implications for the rationality debate? (2000)A theory of anticipated utility (1982)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Utility Theory for Decision Making (1971)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Psychology and Economics (1997)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)
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References

  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1988Status quo bias in decision making5,912 cited
  • 1980Toward a positive theory of consumer choice5,574 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1954The theory of decision making.2,708 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1952The Utility of Wealth1,845 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited
  • 1988Contingent weighting in judgment and choice.1,585 cited
  • 1997An Experiment on Risk Taking and Evaluation Periods1,280 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2001Anomalies: Risk Aversion957 cited

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  • 2012INDIVIDUAL DIFFERENCES & INSTANCE BASED DECISION MAKING: PUTTING "BOUNDED RATIONALITY" TO THE TEST3 cited