Prospect Theory for Continuous Distributions Games and Prospects

Marc Oliver Rieger and Mei Wang
Additional contact information
Marc Oliver Rieger: ETH Zurich, Department of Mathematics
Mei Wang: University of Zurich, ISB

No 07-30, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We extend the original form of Prospect Theory by Kahneman and Tversky from finite lotteries to arbitrary probability distributions, thus paving the way for applications in economics and finance. Moreover, we suggest a method how to incorporate a crucial step of the “editing phase” into Prospect Theory and to remove in this way the discontinuity of the original model.

Keywords: Prospect Theory; Cumulative Prospect Theory; continuity; probability weighting; first-order stochastic dominance. (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2007-03
New Economics Papers: this item is included in nep-gth and nep-upt
References: Add references at CitEc
Citations:

Downloads: (external link)
http://ssrn.com/abstract=1020042 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0730

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().