Prospect Theory: Much Ado about Nothing?

Prospect Theory: Much Ado about Nothing?

Prospect theory is a paradigm challenging the expected utility paradigm. One of the fundamental components of prospect theory is the S-shaped value function. The value function is mainly justified by experimental investigation of the certainty equivalents of prospects confined either to the negative...

Ausführliche Beschreibung

Bibliographische Detailangaben
Veröffentlicht in:Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 48(2002), 10, Seite 1334-1349
1. Verfasser: Levy, Moshe (VerfasserIn)
Weitere Verfasser: Levy, Haim
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2002
Zugriff auf das übergeordnete Werk:Management Science
Schlagworte:Prospect Theory Prospect Stochastic Dominance Markowitz Stochastic Dominance Behavioral sciences Economics Mathematics
LEADER 01000caa a22002652 4500
001 JST056228678
003 DE-627
005 20240622021215.0
007 cr uuu---uuuuu
008 150324s2002 xx |||||o 00| ||eng c
035 |a (DE-627)JST056228678 
035 |a (JST)822640 
040 |a DE-627  |b ger  |c DE-627  |e rakwb 
041 |a eng 
100 1 |a Levy, Moshe  |e verfasserin  |4 aut 
245 1 0 |a Prospect Theory: Much Ado about Nothing? 
264 1 |c 2002 
336 |a Text  |b txt  |2 rdacontent 
337 |a Computermedien  |b c  |2 rdamedia 
338 |a Online-Ressource  |b cr  |2 rdacarrier 
520 |a Prospect theory is a paradigm challenging the expected utility paradigm. One of the fundamental components of prospect theory is the S-shaped value function. The value function is mainly justified by experimental investigation of the certainty equivalents of prospects confined either to the negative or to the positive domain, but not of mixed prospects, which characterize most actual investments. We conduct an experimental study with mixed prospects, using, for the first time, recently developed investment criteria called Prospect Stochastic Dominance (PSD) and Markowitz Stochastic Dominance (MSD). We reject the S-shaped value function, showing that at least 62%-76% of the subjects cannot be characterized by such preferences. We find support for the Markowitz utility function, which is a reversed S-shaped function-exactly the opposite of the prospect theory value function. It is possible that the previous results supporting the S-shaped value function are distorted because the prospects had only positive or only negative outcomes, presenting hypothetical situations which individuals do not usually face, and which are certainly not common in financial markets. 
540 |a Copyright 2002 INFORMS 
650 4 |a Prospect Theory 
650 4 |a Prospect Stochastic Dominance 
650 4 |a Markowitz Stochastic Dominance 
650 4 |a Behavioral sciences  |x Behavioral economics  |x Prospect theory 
650 4 |a Economics  |x Microeconomics  |x Economic utility  |x Utility functions 
650 4 |a Behavioral sciences  |x Leisure studies  |x Recreation  |x Games  |x Gambling  |x Betting 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial analysis  |x Risk management  |x Risk aversion 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial investments  |x Investors 
650 4 |a Economics  |x Microeconomics  |x Economic utility  |x Expected utility 
650 4 |a Mathematics  |x Mathematical expressions  |x Mathematical functions 
650 4 |a Economics  |x Economic research  |x Economic analysis  |x Economic value 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial management  |x Portfolio management 
650 4 |a Behavioral sciences  |x Psychology  |x Cognitive psychology  |x Intuition 
655 4 |a research-article 
700 1 |a Levy, Haim  |e verfasserin  |4 aut 
773 0 8 |i Enthalten in  |t Management Science  |d Institute for Operations Research and the Management Sciences, 1954  |g 48(2002), 10, Seite 1334-1349  |w (DE-627)320623602  |w (DE-600)2023019-9  |x 15265501  |7 nnns 
773 1 8 |g volume:48  |g year:2002  |g number:10  |g pages:1334-1349 
856 4 0 |u https://www.jstor.org/stable/822640  |3 Volltext 
912 |a GBV_USEFLAG_A 
912 |a SYSFLAG_A 
912 |a GBV_JST 
912 |a GBV_ILN_11 
912 |a GBV_ILN_20 
912 |a GBV_ILN_22 
912 |a GBV_ILN_23 
912 |a GBV_ILN_24 
912 |a GBV_ILN_31 
912 |a GBV_ILN_32 
912 |a GBV_ILN_39 
912 |a GBV_ILN_40 
912 |a GBV_ILN_60 
912 |a GBV_ILN_62 
912 |a GBV_ILN_63 
912 |a GBV_ILN_65 
912 |a GBV_ILN_69 
912 |a GBV_ILN_70 
912 |a GBV_ILN_90 
912 |a GBV_ILN_95 
912 |a GBV_ILN_100 
912 |a GBV_ILN_110 
912 |a GBV_ILN_120 
912 |a GBV_ILN_151 
912 |a GBV_ILN_152 
912 |a GBV_ILN_187 
912 |a GBV_ILN_224 
912 |a GBV_ILN_285 
912 |a GBV_ILN_374 
912 |a GBV_ILN_702 
912 |a GBV_ILN_2001 
912 |a GBV_ILN_2003 
912 |a GBV_ILN_2005 
912 |a GBV_ILN_2006 
912 |a GBV_ILN_2007 
912 |a GBV_ILN_2008 
912 |a GBV_ILN_2009 
912 |a GBV_ILN_2010 
912 |a GBV_ILN_2011 
912 |a GBV_ILN_2014 
912 |a GBV_ILN_2015 
912 |a GBV_ILN_2018 
912 |a GBV_ILN_2020 
912 |a GBV_ILN_2021 
912 |a GBV_ILN_2026 
912 |a GBV_ILN_2027 
912 |a GBV_ILN_2034 
912 |a GBV_ILN_2044 
912 |a GBV_ILN_2048 
912 |a GBV_ILN_2050 
912 |a GBV_ILN_2055 
912 |a GBV_ILN_2056 
912 |a GBV_ILN_2057 
912 |a GBV_ILN_2059 
912 |a GBV_ILN_2061 
912 |a GBV_ILN_2065 
912 |a GBV_ILN_2068 
912 |a GBV_ILN_2106 
912 |a GBV_ILN_2107 
912 |a GBV_ILN_2108 
912 |a GBV_ILN_2111 
912 |a GBV_ILN_2112 
912 |a GBV_ILN_2113 
912 |a GBV_ILN_2118 
912 |a GBV_ILN_2122 
912 |a GBV_ILN_2129 
912 |a GBV_ILN_2143 
912 |a GBV_ILN_2147 
912 |a GBV_ILN_2148 
912 |a GBV_ILN_2152 
912 |a GBV_ILN_2153 
912 |a GBV_ILN_2190 
912 |a GBV_ILN_2232 
912 |a GBV_ILN_2472 
912 |a GBV_ILN_2935 
912 |a GBV_ILN_2940 
912 |a GBV_ILN_2949 
912 |a GBV_ILN_2950 
912 |a GBV_ILN_4012 
912 |a GBV_ILN_4035 
912 |a GBV_ILN_4037 
912 |a GBV_ILN_4046 
912 |a GBV_ILN_4112 
912 |a GBV_ILN_4125 
912 |a GBV_ILN_4126 
912 |a GBV_ILN_4242 
912 |a GBV_ILN_4246 
912 |a GBV_ILN_4249 
912 |a GBV_ILN_4251 
912 |a GBV_ILN_4305 
912 |a GBV_ILN_4306 
912 |a GBV_ILN_4307 
912 |a GBV_ILN_4313 
912 |a GBV_ILN_4322 
912 |a GBV_ILN_4323 
912 |a GBV_ILN_4324 
912 |a GBV_ILN_4325 
912 |a GBV_ILN_4326 
912 |a GBV_ILN_4335 
912 |a GBV_ILN_4338 
912 |a GBV_ILN_4346 
912 |a GBV_ILN_4393 
912 |a GBV_ILN_4700 
951 |a AR 
952 |d 48  |j 2002  |e 10  |h 1334-1349