Stochastic Dominance and Cumulative Prospect Theory

We generalize and extend the second-order stochastic dominance condition for expected utility to cumulative prospect theory. The new definitions include preferences represented by S-shaped value functions, inverse S-shaped probability weighting functions, and loss aversion. The stochastic dominance...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 52(2006), 9, Seite 1409-1423
1. Verfasser:	Baucells, Manel (VerfasserIn)
Weitere Verfasser:	Heukamp, Franz H.
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2006
Zugriff auf das übergeordnete Werk:	Management Science
Schlagworte:	second-order stochastic dominance cumulative prospect theory value function probability weighting function Behavioral sciences Mathematics Economics